Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2012

• Donghyun Oh & Almas Heshmati & Hans Lööf, 2012, "Technical change and total factor productivity growth for Swedish manufacturing and service industries," Applied Economics, Taylor & Francis Journals, volume 44, issue 18, pages 2373-2391, June, DOI: 10.1080/00036846.2011.564147.
• M. Ali Choudhary & Adnan Haider, 2012, "Neural network models for inflation forecasting: an appraisal," Applied Economics, Taylor & Francis Journals, volume 44, issue 20, pages 2631-2635, July, DOI: 10.1080/00036846.2011.566190.
• Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2012, "Have structural changes eliminated the out-of-sample ability of financial variables to forecast real activity after the mid-1980s? Evidence from the Canadian economy," Applied Economics, Taylor & Francis Journals, volume 44, issue 30, pages 3965-3985, October, DOI: 10.1080/00036846.2011.583226.
• M. Ali Choudhary & Adnan Haider, 2012, "Neural network models for inflation forecasting: an appraisal," Applied Economics, Taylor & Francis Journals, volume 44, issue 20, pages 2631-2635, July, DOI: 10.1080/00036846.2011.566190.
• Andrew Patton & Allan Timmermann, 2012, "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 1-17, DOI: 10.1080/07350015.2012.634337.
• Pascal Lavergne & Valentin Patilea, 2012, "One for All and All for One: Regression Checks With Many Regressors," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 41-52, DOI: 10.1198/jbes.2011.07152.
• John M. Maheu & Thomas H. McCurdy & Yong Song, 2012, "Components of Bull and Bear Markets: Bull Corrections and Bear Rallies," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 3, pages 391-403, February, DOI: 10.1080/07350015.2012.680412.
• Victoria Prowse, 2012, "Modeling Employment Dynamics With State Dependence and Unobserved Heterogeneity," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 3, pages 411-431, April, DOI: 10.1080/07350015.2012.697851.
• Barbara Rossi & Atsushi Inoue, 2012, "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 3, pages 432-453, April, DOI: 10.1080/07350015.2012.693850.
• Lili Kang & Fei Peng, 2012, "A selection analysis of returns to education in China," Post-Communist Economies, Taylor & Francis Journals, volume 24, issue 4, pages 535-554, March, DOI: 10.1080/14631377.2012.729307.
• Giovanni Cerulli & Bianca Potì, 2012, "Evaluating the Robustness of the Effect of Public Subsidies on Firms' R&D: An Application to Italy," Journal of Applied Economics, Taylor & Francis Journals, volume 15, issue 2, pages 287-320, November, DOI: 10.1016/S1514-0326(12)60013-0.
• Nicolas Debarsy, 2012, "The Mundlak Approach in the Spatial Durbin Panel Data Model," Spatial Economic Analysis, Taylor & Francis Journals, volume 7, issue 1, pages 109-131, March, DOI: 10.1080/17421772.2011.647059.
• Doko Tchatoka, Firmin, 2012, "Testing for partial exogeneity with weak identification," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 14565, May, revised 31 May 2012.
• Doko Tchatoka, Firmin, 2012, "Specification tests with weak and invalid instruments," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 15063, Jun, revised 26 Jun 2012.
• Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2012, "Identification-robust inference for endogeneity parameters in linear structural models," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 15064, Aug, revised 01 Aug 2012.
• Kurmas Akdogan & Selen Baser & Meltem Gulenay Chadwick & Dilara Ertug & Timur Hulagu & Sevim Kosem & Fethi Ogunc & M. Utku Ozmen & Necati Tekatli, 2012, "Short-Term Inflation Forecasting Models For Turkey and a Forecast Combination Analysis," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1209.
• Oscar Jorda & Moritz HP. Schularick & Alan M. Taylor, 2012, "When Credit Bites Back: Leverage, Business Cycles and Crises," Working Papers Series, Institute for New Economic Thinking, number 20, Oct, DOI: 10.2139/ssrn.2682713.
• Rodney Strachan & Herman K. van Dijk, 2012, "Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-025/4, Mar.
• Magnus, J.R. & Wang, W., 2012, "Concept-Based Bayesian Model Averaging and Growth Empirics," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-017.
• Magnus, J.R. & Wang, W., 2012, "Concept-Based Bayesian Model Averaging and Growth Empirics," Other publications TiSEM, Tilburg University, School of Economics and Management, number 889f1e52-6cc4-470e-87ce-2.
• Javier Mencía & Enrique Sentana, 2012, "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, volume 94, issue 1, pages 133-152, February.
• Elena Andreou & Bas J. M. Werker, 2012, "An Alternative Asymptotic Analysis of Residual-Based Statistics," The Review of Economics and Statistics, MIT Press, volume 94, issue 1, pages 88-99, February.
• John B. Taylor & Volker Wieland, 2012, "Surprising Comparative Properties of Monetary Models: Results from a New Model Database," The Review of Economics and Statistics, MIT Press, volume 94, issue 3, pages 800-816, August.
• Marco Bee & Massimo Riccaboni & Stefano Schiavo, 2012, "A Trick of the (Pareto) Tail," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 1206.
• Fève, Patrick & Jidoud, Ahmat, 2012, "Identifying News Shocks from SVARs," TSE Working Papers, Toulouse School of Economics (TSE), number 12-287, Mar.
• Fève, Patrick & Jidoud, Ahmat, 2012, "News Shocks, Information Flows and SVARs," TSE Working Papers, Toulouse School of Economics (TSE), number 12-286, Mar.
• Massimiliano Caporin & Michael McAleer, 2012, "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-06, revised Apr 2012.
• Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012, "Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-14, Jun.
• Yasmin Briceño Santafé & Giampaolo Orlandoni Merli, 2012, "Determination of bank risk indicators and macroeconomic conditions in Venezuela (1997-2009)," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 37, issue 34, pages 55-88, july-dece.
• Barbara Rossi & Atsushi Inoue, 2012, "Out-of-sample forecast tests robust to the choice of window size," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1404, Apr.
• Barbara Rossi, 2012, "The changing relationship between commodity prices and equity prices in commodity exporting," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1405, Oct.
• Martínez Ibáñez, Óscar & Manjón Antolín, Miguel C. & Arauzo Carod, Josep Maria, 2012, "The Geographical Scope of Industrial Location Determinants: An Alternative Approach," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/212205.
• Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012, "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1202, Jan.
• Roberta DE SANTIS, 2012, "The Impact Of Growth On Biodiversity: An Empirical Assessment," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 7, issue 3(21)/ Fa, pages 283-290.
• Gordan Stojić, 2012, "Using Fuzzy Logic for Evaluating the Level of Countries’ (Regions’) Economic Development," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 59, issue 3, pages 293-310.
• Mirjana Miletić, 2012, "Estimating the Impact of the Balassa-Samuelson Effect in Central and Eastern European Countries: A Revised Analysis of Panel Data Cointegration Tests," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 59, issue 4, pages 475-499.
• Valente J. Matlaba & Mark Holmes & Philip McCann & Jacques Poot, 2012, "Agglomeration Externalities and 1981-2006 Regional Growth in Brazil," Working Papers in Economics, University of Waikato, number 12/07, Jun.
• Paweł Strawiński, 2012, "Small sample properties of matching with caliper," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2012-13.
• Irina Možajeva, 2012, "Multidimensional Health Modelling: Association between Socioeconomic Factors and Health in Latvia," Economic Research Guardian, Mutascu Publishing, volume 2, issue 2, pages 160-179, December.
• Zsuzsanna Csereklyei & Stefan Humer, 2012, "Modelling Primary Energy Consumption under Model Uncertainty," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp147, Nov.
• Csereklyei, Zsuzsanna & Humer, Stefan, 2012, "Modelling Primary Energy Consumption under Model Uncertainty," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 147, Nov.
• Tue Gørgens & Allan Würtz, 2012, "Testing a parametric function against a non‐parametric alternative in IV and GMM settings," Econometrics Journal, Royal Economic Society, volume 15, issue 3, pages 462-489, October, DOI: j.1368-423X.2012.00382.x.
• Jean‐Thomas Bernard & Jean‐Marie Dufour & Lynda Khalaf & Maral Kichian, 2012, "An identification‐robust test for time‐varying parameters in the dynamics of energy prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 4, pages 603-624, June.
• Markku Lanne & Arto Luoma & Jani Luoto, 2012, "Bayesian Model Selection And Forecasting In Noncausal Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 5, pages 812-830, August.
• Dennis Fok & Richard Paap & Bram Van Dijk, 2012, "A Rank‐Ordered Logit Model With Unobserved Heterogeneity In Ranking Capabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 5, pages 831-846, August.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012, "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 907-933, September.
• Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012, "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 934-955, September.
• 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: 10.1111/j.1538-4616.2012.00524.x.
• Qaiser Munir & Kok Sook Ching & Fumitaka Furouka & Kasim Mansur, 2012, "The Efficient Market Hypothesis Revisited: Evidence From The Five Small Open Asean Stock Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 57, issue 03, pages 1-12, DOI: 10.1142/S021759081250021X.
• Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2012, "Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-08.
• Aßmann, Christian & Boysen-Hogrefe, Jens & Pape, Markus, 2012, "The directional identification problem in Bayesian factor analysis: An ex-post approach," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-11.
• Tinschert, Jonas & Cremers, Heinz, 2012, "Fixed income strategies for trading and for asset management," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 191.
• Mora Rodriguez, Jhon James & Muro, Juan, 2012, "Consistent estimation of pseudo panels in the presence of selection bias," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-26.
• Qin, Duo & He, Xinhua, 2012, "Globalisation effect on inflation in the great moderation era: New evidence from G10 countries," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-56.
• Ulaşan, Bülent, 2012, "Cross-country growth empirics and model uncertainty: An overview," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-69, DOI: 10.5018/economics-ejournal.ja.2012-.
• Aßmann, Christian & Boysen-Hogrefe, Jens & Pape, Markus, 2012, "The directional identification problem in Bayesian factor analysis: An ex-post approach," Kiel Working Papers, Kiel Institute for the World Economy, number 1799.
• Schmidt, Sebastian & Wieland, Volker, 2012, "The new keynesian approach to dynamic general equilibrium modeling: Models, methods, and macroeconomic policy evaluation," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 52.
• Taylor, John B. & Wieland, Volker, 2012, "Surprising comparative properties of monetary models: Results from a new model database," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 66.
• Dickhaus, Thorsten, 2012, "Simultaneous statistical inference in dynamic factor models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-033.
• Landau, Katja & Klasen, Stephan & Zucchini, Walter, 2012, "Measuring Vulnerability to Poverty Using Long-Term Panel Data," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 66057.
• De Rassenfosse, Gaétan & Wastyn, Annelies, 2012, "Selection bias in innovation studies: A simple test," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 12-012.

2011

• E. Davis & Dilruba Karim & Iana Liadze, 2011, "Should multivariate early warning systems for banking crises pool across regions?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 147, issue 4, pages 693-716, November, DOI: 10.1007/s10290-011-0102-1.
• Pål Boug & Ådne Cappelen & Anders R. Swensen, 2011, "The new Keynesian Phillips curve: Does it fit Norwegian data?," Discussion Papers, Statistics Norway, Research Department, number 652, May.
• Markus Jochmann & Gary Koop, 2011, "Regime-Switching Cointegration," Working Papers, University of Strathclyde Business School, Department of Economics, number 1125, May.
• Miguel Belmonte & Gary Koop & Dimitris Korobilis, 2011, "Hierarchical Shrinkage in Time-Varying Parameter Models," Working Papers, University of Strathclyde Business School, Department of Economics, number 1137, Jun.
• Lütkepohl, Helmut & Proietti, Tommaso, 2011, "Does the Box-Cox transformation help in forecasting macroeconomic time series?," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 08/2011, Oct.
• Proietti, Tommaso, 2011, "The Multistep Beveridge-Nelson Decomposition," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 09/2011, Oct.
• Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011, "Why a diversified portfolio should include African assets," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 14, pages 1333-1340, DOI: 10.1080/13504851.2010.537617.
• WenShwo Fang & Stephen Miller, 2011, "The lag in effect of inflation targeting and policy evaluation," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 14, pages 1371-1375, DOI: 10.1080/13504851.2010.537624.
• Jorge Perdomo, 2011, "A methodological proposal to estimate changes of residential property value: case study developed in Bogota," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 16, pages 1577-1581, DOI: 10.1080/13504851.2011.554360.
• Timo Terasvirta & Zhenfang Zhao, 2011, "Stylized facts of return series, robust estimates and three popular models of volatility," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 1-2, pages 67-94, DOI: 10.1080/09603107.2011.523195.
• Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel R. Smith, 2011, "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 1, pages 150-160, January, DOI: 10.1198/jbes.2010.07318.
• Viktor Todorov & George Tauchen, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 3, pages 356-371, July, DOI: 10.1198/jbes.2010.08342.
• Bertil Wegmann & Mattias Villani, 2011, "Bayesian Inference in Structural Second-Price Common Value Auctions," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 3, pages 382-396, July, DOI: 10.1198/jbes.2011.08289.
• Andrew J. Patton & Allan Timmermann, 2011, "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 1-17, June, DOI: 10.1080/07350015.2012.634337.
• Pascal Lavergne & Valentin Patilea, 2011, "One for All and All for One: Regression Checks With Many Regressors," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 41-52, January, DOI: 10.1198/jbes.2011.07152.
• Firmin Doko Tchatoka, 2011, "Subset hypotheses testing and instrument exclusion in the linear IV regression," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 10668.
• Mahir Binici & Yin-Wong Cheung, 2011, "Exchange Rate Equations Based on Interest Rate Rules : In-Sample and Out-of-Sample Performance (Faiz Kurallarina Dayali Doviz Kuru Denklemleri : Orneklem Ici ve Disi Performans)," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1114.
• Mahir Binici & Yin-Wong Cheung, 2011, "Exchange Rate Dynamics under Alternative Optimal Interest Rate Rules," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1116.
• Efe Çağlar Çağli & Pinar Evrim Mandaci & Pinar Hakan Kahyaoğlu, 2011, "Volatility Shifts and Persistence in Variance: Evidence from the Sector Indices of Istanbul Stock Exchange," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 3, pages 119-140, December.
• Andrew J. Buck & George M. Lady, 2011, "Structural Sign Patterns and Reduced Form Restrictions," DETU Working Papers, Department of Economics, Temple University, number 1102, Jun.
• Andrew J. Buck & George M. Lady, 2011, "Structural Models, Information and Inherited Restrictions," DETU Working Papers, Department of Economics, Temple University, number 1103, Jun.
• Cem Cakmakli & Richard Paap & Dick J.C. van Dijk, 2011, "Modeling and Estimation of Synchronization in Multistate Markov-Switching Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-002/4, Jan.
• Rodney W. Strachan & Herman K. van Dijk, 2011, "Divergent Priors and well Behaved Bayes Factors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-006/4, Jan.
• Lennart F. Hoogerheide & David Ardia & Nienke Corre, 2011, "Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-020/4, Jan.
• Marcin Wojtowicz, 2011, "CDOs and the Financial Crisis: Credit Ratings and Fair Premia," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-022/2/DSF 8, Feb.
• Pieter A. Gautier & Aico van Vuuren, 2011, "A Flexible Test for Present Bias and Time Preferences using Land-Lease Contracts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-087/3, Jun.
• Lennart F. Hoogerheide & Francesco Ravazzolo & Herman K. van Dijk, 2011, "Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-131/4, Sep.
• Cem Cakmakli & Richard Paap & Dick van Dijk, 2011, "Measuring and Predicting Heterogeneous Recessions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-154/4, Nov, revised 15 Nov 2011.
• Frank A.G. den Butter & Harro B.J.B. Maas, 2011, "From Expert Judgment to Model based Monetary Analysis: The Case of the Dutch Central Bank in the Postwar Period," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-161/3, Nov.
• De Luca, G. & Magnus, J.R., 2011, "Bayesian Model Averaging and Weighted Average Least Squares : Equivariance, Stability, and Numerical Issues," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-082.
• Einmahl, J.H.J. & Magnus, J.R. & Kumar, K., 2011, "On the Choice of Prior in Bayesian Model Averaging," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-003.
• Poghosyan, K. & Magnus, J.R., 2011, "WALS estimation and forecasting in factor-based dynamic models with an application to Armenia," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-054.
• Poghosyan, K. & Boldea, O., 2011, "Structural versus Matching Estimation : Transmission Mechanisms in Armenia," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-104.
• De Luca, G. & Magnus, J.R., 2011, "Bayesian Model Averaging and Weighted Average Least Squares : Equivariance, Stability, and Numerical Issues," Other publications TiSEM, Tilburg University, School of Economics and Management, number 3aa66f2e-55c5-4ddb-8acf-7.
• Poghosyan, K. & Magnus, J.R., 2011, "WALS estimation and forecasting in factor-based dynamic models with an application to Armenia," Other publications TiSEM, Tilburg University, School of Economics and Management, number 419d588e-7827-4cdd-b989-4.
• Poghosyan, K. & Boldea, O., 2011, "Structural versus Matching Estimation : Transmission Mechanisms in Armenia," Other publications TiSEM, Tilburg University, School of Economics and Management, number cbb75e20-8475-4f79-ba65-d.
• Marco Bee & Massimo Riccaboni & Stefano Schiavo, 2011, "Pareto versus lognormal: a maximum entropy test," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 1102.
• Andersson, Henrik & Hammitt, James K. & Lindberg, Gunnar & Sundström, Kristian, 2011, "Willingness to Pay and Sensitivity to Time Framing: A Theoretical Analysis and an Application on Car Safety," TSE Working Papers, Toulouse School of Economics (TSE), number 11-271, Oct.
• Giuseppe De Luca & Jan R. Magnus, 2011, "Bayesian model averaging and weighted-average least squares: Equivariance, stability, and numerical issues," Stata Journal, StataCorp LLC, volume 11, issue 4, pages 518-544, December.
• Liam Delaney & Alan Fernihough & James P. Smith, 2011, "Exporting Poor Health: The Irish in England," Working Papers, Geary Institute, University College Dublin, number 201114 Keywords : healthy, Jul.
• Francisco J. Eransus & Alfonso Novales Cinca, 2011, "A statistical test for forecast evaluation under a discrete loss function," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-07.
• Philip Hans Franses & Michael McAleer & Rianne Legerstee:, 2011, "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-11.
• Massimiliano Caporin & Michael McAleer, 2011, "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-20.
• Olivier Bargain & Kristian Orsini & Andreas Peichl, 2011, "Labor Supply Elasticities in Europe and the US," Working Papers, School of Economics, University College Dublin, number 201114, Jul.
• Theo S Eicher & Lindy Helfman & Alex Lenkoski, 2011, "Robust FDI Determinants: Bayesian Model Averaging In The Presence Of Selection Bias," Working Papers, University of Washington, Department of Economics, number UWEC-2011-07-FC, Apr.
• Aloysius Deno Hervino, 2011, "Avoiding Risk In Working Capital Credit Distribution In Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, volume 3, issue 2, pages 199-210.
• Evren Caglar & Jagjit S. Chadha & Katsuyuki Shibayama, 2011, "Bayesian Estimation of DSGE models: Is the Workhorse Model Identified?," Studies in Economics, School of Economics, University of Kent, number 1125, Nov.
• Audrino, Francesco, 2011, "Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1112, Apr.
• Maria PASCU-NEDELCU, 2011, "Estimation of the Cost of Equity by Considering the Interdependences between Capital Markets," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 6, issue 2, pages 76-99.
• Andrea Vaona, 2011, "A panel data approach to price-value correlations," Working Papers, University of Verona, Department of Economics, number 14/2011, Oct.
• David E. Giles, 2011, "Interpreting Dummy Variables in Semi-logarithmic Regression Models: Exact Distributional Results," Econometrics Working Papers, Department of Economics, University of Victoria, number 1101, Jan.
• Paweł Strawiński, 2011, "Dynamic caliper matching," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2011-25.
• Marcello Pagnini & Valter Di Giacinto & Giacinto Micucci & Matteo Gomellini, 2011, "Mapping Local Productivity Advantages In Italy: Industrial Districts, Cities Or Both?," ERSA conference papers, European Regional Science Association, number ersa11p1806, Sep.
• Luca Fanelli & Giulio Palomba, 2011, "Simulation‐based tests of forward‐looking models under VAR learning dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 5, pages 762-782, August.
• Mateusz Mysliwski, 2011, "A microeconometric analysis of album sales success in the Polish music market," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 54, May.
• George Tauchen, 2011, "Stochastic Volatility in General Equilibrium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 04, pages 707-731, DOI: 10.1142/S2010139211000237.
• Li Donni, P & Peragine, V & Pignataro G, 2011, "Measuring equity in health: a normative decomposition," Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York, number 11/06, May.
• Knüppel, Malte, 2011, "Evaluating the calibration of multi-step-ahead density forecasts using raw moments," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2011,32.
• Förstemann, Till, 2011, "Improvements in rating models for the German corporate sector," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2011,11.
• Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2011, "Moment matching versus Bayesian estimation: Backward-looking behaviour in the new-Keynesian three-equations model," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2011-10.
• Dreger, Christian & Wolters, Jürgen, 2011, "Liquidity and Asset Prices: How Strong Are the Linkages?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 1, pages 43-52.
• Dreger, Christian & Wolters, Jürgen, 2011, "Money and inflation in the euro area during the financial crisis," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 300.
• Hewicker, Harald & Cremers, Heinz, 2011, "Modellierung von Zinsstrukturkurven," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 165.
• Kitlinski, Tobias & Schmidt, Torsten, 2011, "The Forecasting Performance of an Estimated Medium Run Model," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 301.
• Mehrhoff, Jens & Eiglsperger, Martin & Haine, Wim, 2011, "Seasonal adjustment and reliability of euro area GDP – Increased uncertainty in times of unusual developments?," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis, Verein für Socialpolitik / German Economic Association, number 48721.
• Cristina Amado & Timo Teräsvirta, 2011, "Modelling Volatility by Variance Decomposition," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-01, Jan.
• Timo Teräsvirta, 2011, "Nonlinear models for autoregressive conditional heteroskedasticity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-02, Jan.
• Stefano Grassi & Tommaso Proietti, 2011, "Characterizing economic trends by Bayesian stochastic model specification search," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-16, May.
• Cristina Amado & Timo Teräsvirta, 2011, "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-24, May.
• Anders Bredahl Kock & Timo Teräsvirta, 2011, "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-27, Aug.
• Anders Bredahl Kock & Timo Teräsvirta, 2011, "Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-28, Aug.
• Manuel Lukas, 2011, "Return Predictability, Model Uncertainty, and Robust Investment," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-42, Nov.
• Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011, "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-51, Dec.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011, "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-11, May.
• Dean Croushore, 2011, "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, volume 49, issue 1, pages 72-100, March.
• Walter Krämer, 2011, "The Cult of Statistical Significance – What Economists Should and Should Not Do to Make their Data Talk," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, volume 131, issue 3, pages 455-468, DOI: 10.3790/schm.131.3.455.
• Win, Heijman & Milic, Branislav B. & Bogdanov, Natalija, , "The “Rural-Sensitive Evaluation Model” for evaluation of local governments’ sensitivity to rural issues in Serbia," 122nd Seminar, February 17-18, 2011, Ancona, Italy, European Association of Agricultural Economists, number 99417, DOI: 10.22004/ag.econ.99417.
• Bastianin, Andrea & Manera, Matteo & Markandya, Anil & Scarpa, Elisa, 2011, "Oil Price Forecast Evaluation with Flexible Loss Functions," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 120042, Dec, DOI: 10.22004/ag.econ.120042.
• Bervejillo, Jose E. & Alston, Julian M. & Tumber, Kabir P., 2011, "The Economic Returns to Public Agricultural Research in Uruguay," Working Papers, Robert Mondavi Institute Center for Wine Economics, number 162518, Dec, DOI: 10.22004/ag.econ.162518.
• Ngongang, Elie, 2011, "Impact of Exchange Rate Policy on the Trade of Industrial Products in Sub-Saharan Africa from 1975 to 2007," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 7, issue 01-2, pages 1-27, March, DOI: 10.22004/ag.econ.143427.
• Bernard, Jean-Thomas & Gavin, Michael & Khalaf, Lynda & Voia, Marcel, 2011, "The Environmental Kuznets Curve: Tipping Points, Uncertainty and Weak Identification," Working Papers, University of Laval, Center for Research on the Economics of the Environment, Agri-food, Transports and Energy (CREATE), number 119109, Dec, DOI: 10.22004/ag.econ.119109.
• Elie BOURI, 2011, "An Attempt to Capture Leptokurtic of Returns and to Model Its Volatility: The Case of Beirut Stock Exchange," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 8, pages 259-271, December.
• Luca RICCETTI, 2011, "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 355, Jan.
• Christian Bluhm & Christoph Wagner, 2011, "Valuation and Risk Management of Collateralized Debt Obligations and Related Securities," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 193-222, December.
• Hedibert F. Lopes & Justin L. Tobias, 2011, "Confronting Prior Convictions: On Issues of Prior Sensitivity and Likelihood Robustness in Bayesian Analysis," Annual Review of Economics, Annual Reviews, volume 3, issue 1, pages 107-131, September.
• Craig Blackburn & Michael Sherris, 2011, "Consistent Dynamic Affine Mortality Model for Longevity Risk Applications," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201107, May.
• Christian Dreger & J¨¹rgen Wolters, 2011, "Liquidity and Asset Prices: How Strong are the Linkages?," Review of Economics & Finance, Better Advances Press, Canada, volume 1, pages 43-52, February.
• Grigori Fainstein & Igor Novikov, 2011, "The Comparative Analysis of Credit Risk Determinants In the Banking Sector of the Baltic States," Review of Economics & Finance, Better Advances Press, Canada, volume 1, pages 20-45, June.
• Johannes Vilsmeier, 2011, "Updating the Option Implied Probability of Default Methodology," Working Papers, Bavarian Graduate Program in Economics (BGPE), number 107, Oct.
• Agustín Maravall Herrero & Domingo Pérez Cañete, 2011, "Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series," Working Papers, Banco de España, number 1116, Jul.
• Leandro D�Aurizio & Stefano Iezzi, 2011, "Investment forecasting with business survey data," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 832, Nov.
• Luis Fernando Melo & Joan Camilo Granados, 2011, "Regulación y valor en riesgo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 29, issue 64, pages 110-177, July, DOI: 10.32468/Espe.6404.
• Vesna Karadžic & Tamara Backovic Vulic, 2011, "The Montenegrin Capital Market: Calendar Anomalies," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 56, issue 191, pages 107-122, October-D.
• Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011, "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 1, pages 150-160.
• Todorov, Viktor & Tauchen, George, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 356-371.
• Wegmann, Bertil & Villani, Mattias, 2011, "Bayesian Inference in Structural Second-Price Common Value Auctions," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 382-396.
• Kurt Brannas & Albina Soultanaeva, 2011, "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 11, issue 1, pages 109-124, July.
• Fernanda Cuitiño & Fiorella Tramontin & Leonardo Vicente, 2011, "Evaluación de indicadores de inflación subyacente para Uruguay," Documentos de trabajo, Banco Central del Uruguay, number 2011011, Dec.
• Chris Heaton & George Milunovich & Anthony Passé‐De Silva, 2011, "International Commodity Prices and the Australian Stock Market," The Economic Record, The Economic Society of Australia, volume 87, issue 276, pages 37-44, March.
• Vincent Vandenberghe, 2011, "Firm‐level Evidence on Gender Wage Discrimination in the Belgian Private Economy," LABOUR, CEIS, volume 25, issue 3, pages 330-349, September, DOI: j.1467-9914.2011.00524.x.
• Olivier Darné & Laurent Ferrara, 2011, "Identification of Slowdowns and Accelerations for the Euro Area Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 73, issue 3, pages 335-364, June.
• Paulo M. M. Rodrigues & Antonio Rubia, 2011, "The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 73, issue 4, pages 449-468, August.
• Jan Hanousek & Evžen Kočenda, 2011, "Foreign News and Spillovers in Emerging European Stock Markets," Review of International Economics, Wiley Blackwell, volume 19, issue 1, pages 170-188, February.
• Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2011, "EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?," Review of International Economics, Wiley Blackwell, volume 19, issue 1, pages 189-206, February.
• Alexander Mihailov & Fabio Rumler & Johann Scharler, 2011, "Inflation Dynamics in the New EU Member States: How Relevant Are External Factors?," Review of International Economics, Wiley Blackwell, volume 19, issue 1, pages 65-76, February.
• Massimiliano Caporin & Michael McAleer, 2011, "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 65, issue 2, pages 125-163, May, DOI: j.1467-9574.2010.00479.x.
• Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011, "Nowcasting GDP in real-time: A density combination approach," Working Paper, Norges Bank, number 2011/11, Sep.
• Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011, "Nowcasting GDP in Real-Time: A Density Combination Approach," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 1/2011, Sep.
• Konstantinos Theodoridis, 2011, "An efficient minimum distance estimator for DSGE models," Bank of England working papers, Bank of England, number 439, Oct.
• Christensen Timothy & Hurn Stan & Pagan Adrian, 2011, "Detecting Common Dynamics in Transitory Components," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 1, pages 1-28, February, DOI: 10.2202/1941-1928.1088.
• Lanne Markku & Saikkonen Pentti, 2011, "Noncausal Autoregressions for Economic Time Series," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 3, pages 1-32, October, DOI: 10.2202/1941-1928.1080.
• Sonia Ondo-Ndong & Sandra Rigot, 2011, "The Aggregated Leverage Ratio and the Detection of Financial Vulnerability :Evidence from the United States and European Countries," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 54, issue 1, pages 5-20.
• Doppelhofer, G. & Weeks, M., 2011, "Robust Growth Determinants," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1117, Jan.
• Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011, "Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/03, Jan.
• Massimiliano Caporin & Michael McAleer, 2011, "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/23, May.
• John V. Duca & John Muellbauer & Anthony Murphy, 2011, "Shifting Credit Standards and the Boom and Bust in U.S. House Prices," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0076, Mar.
• John V. Duca & John Muellbauer & Anthony Murphy, 2011, "House Prices and Credit Constraints: Making Sense of the U.S. Experience," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0077, Mar.
• Gernot Doppelhofer & Melvyn Weeks, 2011, "Robust Growth Determinants," CESifo Working Paper Series, CESifo, number 3354.
• Jim Malley & Ulrich Woitek, 2011, "Productivity Shocks and Aggregate Fluctuations in an Estimated Endogenous Growth Model with Human Capital," CESifo Working Paper Series, CESifo, number 3567.
• Mahir Binici & Yin-Wong Cheung, 2011, "Exchange Rate Dynamics under Alternative Optimal Interest Rate Rules," CESifo Working Paper Series, CESifo, number 3577.
• Pablo Pincheira, 2011, "A Bunch of Models, a Bunch of Nulls and Inference About Predictive Ability," Working Papers Central Bank of Chile, Central Bank of Chile, number 607, Jan.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2011, "An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices," CIRANO Working Papers, CIRANO, number 2011s-22, Feb.
• Jörgen Hansen & Xingfei Liu, 2011, "Estimating Labor Supply Responses and Welfare Participation: Using a Natural Experiment to Validate a Structural Labor Supply Model," CIRANO Working Papers, CIRANO, number 2011s-53, Jul.