Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2008

• Angelidis, Timotheos & Degiannakis, Stavros, 2008, "Volatility forecasting: intra-day vs. inter-day models," MPRA Paper, University Library of Munich, Germany, number 80434.
• Degiannakis, Stavros & Livada, Alexandra & Panas, Epaminondas, 2008, "Rolling-sampled parameters of ARCH and Levy-stable models," MPRA Paper, University Library of Munich, Germany, number 80464.
• Lanne, Markku & Saikkonen, Pentti, 2008, "Modeling Expectations with Noncausal Autoregressions," MPRA Paper, University Library of Munich, Germany, number 8411.
• Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso, 2008, "Extracting the Cyclical Component in Hours Worked: a Bayesian Approach," MPRA Paper, University Library of Munich, Germany, number 8967, May.
• Lorde, Troy & Francis, Brian & Waithe, Kimberly & Taylor, Timothy, 2008, "Interest Rate Determination in Small Developing Countries," MPRA Paper, University Library of Munich, Germany, number 95621, Jan.
• Degiannakis, Stavros, 2008, "Forecasting Vix," MPRA Paper, University Library of Munich, Germany, number 96307.
• Degiannakis, Stavros & Xekalaki, Evdokia, 2008, "SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework," MPRA Paper, University Library of Munich, Germany, number 96321.
• Angelidis, Timotheos & Degiannakis, Stavros, 2008, "Volatility forecasting: Intra-day versus inter-day models," MPRA Paper, University Library of Munich, Germany, number 96322.
• Goodwin, Barry K. & Holt, Matthew T. & Prestemon, Jeffery P., 2008, "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," MPRA Paper, University Library of Munich, Germany, number 9684, Apr.
• Jesse Rothstein, 2008, "Student Sorting and Bias in Value Added Estimation: Selection on Observables and Unobservables," Working Papers, Princeton University, School of Public and International Affairs, Education Research Section., number 1059, Jun.
• António Rua & Francisco Craveiro Dias, 2008, "Determining the number of factors in approximate factor models with global and group-specific factors," Working Papers, Banco de Portugal, Economics and Research Department, number w200809.
• José R. Maria & Sara Serra, 2008, "Forecasting investment: A fishing contest using survey data," Working Papers, Banco de Portugal, Economics and Research Department, number w200818.
• T M Christensen & A S Hurn & K A Lindsay, 2008, "It never rains but it pours: Modelling the persistence of spikes in electricity prices," NCER Working Paper Series, National Centre for Econometric Research, number 25, Jun.
• Adam Clements & A S Hurn & K A Lindsay, 2008, "Estimating the Payoffs of Temperature-based Weather Derivatives," NCER Working Paper Series, National Centre for Econometric Research, number 33, Aug.
• Adam Clements & A S Hurn & K A Lindsay, 2008, "Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives," NCER Working Paper Series, National Centre for Econometric Research, number 34, Sep.
• Hugo Gerard & Kristoffer Nimark, 2008, "Combining Multivariate Density Forecasts Using Predictive Criteria," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2008-02, May.
• Alexander Mihailov & Fabio Rumler & Johann Scharler, 2008, "The Small Open-Economy New Keynesian Phillips Curve: Empirical Evidence and Implied Inflation Dynamics," Economics Discussion Papers, Department of Economics, University of Reading, number em-dp2008-63, Nov.
• Kenneth Rogoff & Barbara Rossi & Yu-chin Chen, 2008, "Can Exchange Rates Forecast Commodity Prices?," 2008 Meeting Papers, Society for Economic Dynamics, number 540.
• Modest Fluvià & Ricard Rigall-i-Torrent & Anna Garriga, 2008, "Déficit en la provisión local de servicios públicos y tipología municipal," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 16, issue 3, pages 111-132, Winter.
• Sami Saafi, 2008, "Diffusion des innovations technologiques, emploi et théorie de compensation (The diffusion of technological innovations, employment and the compensation theory)," Working Papers, Laboratoire de Recherche sur l'Industrie et l'Innovation. ULCO / Research Unit on Industry and Innovation, number 184, May.
• Christopher Martin & Costas Milas, 2008, "The Sub-Prime Crisis and UK Monetary Policy," Working Paper series, Rimini Centre for Economic Analysis, number 31_08, Jan.
• Dean Fantazzini, 2008, "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 10, issue 2, pages 91-137.
• Dean Fantazzini, 2008, "Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 11, issue 3, pages 87-122.
• Dean Fantazzini, 2008, "Credit Risk Management," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 12, issue 4, pages 84-137.
• Emil Ershov, 2008, "A choice of the regression maximizing an unbiased estimate of the coefficient of determination," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 12, issue 4, pages 71-83.
• Stefananescu, Stefan, 2008, "Measuring the Socio-Economic Bipolarization Phenomenon," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 5, issue 1, pages 149-161, March.
• Ruxanda, Gheorghe & Botezatu, Andreea, 2008, "Spurious Regression And Cointegration. Numerical Example: Romania’S M2 Money Demand," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 5, issue 3, pages 51-62, September.
• Nicolae Balan, Mariana & Vasile, Valentina, 2008, "Impact Of Globalisation On The Evolution Of The Demographic Phenomenon," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 5, issue 4, pages 174-195, December.
• Jula, Dorin, 2008, "Economic Impact of Political Cycles – The Relevance of European experinces for Romania," Working Papers of Institute for Economic Forecasting, Institute for Economic Forecasting, number 081101, Nov.
• Stefania Gabriele & Corrado Pollastri & Michele Raitano, 2008, "Assessing the Increase of Italian Families Perceived Vulnerability," Rivista di Politica Economica, SIPI Spa, volume 98, issue 5, pages 293-324, September.
• Tommaso Proietti & Alessandra Luati, 2013, "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," CEIS Research Paper, Tor Vergata University, CEIS, number 272, Apr, revised 19 Apr 2013.
• João Cotter Salvado, 2008, "The Determinants of Health Care Utilization in Portugal: An Approach with Count Data Models," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 144, issue 3, pages 437-458, September.
• Pascal Lavergne & Valentin Patilea, 2008, "One for All and All for One:Regression Checks With Many Regressors," Discussion Papers, Department of Economics, Simon Fraser University, number dp08-06, Nov.
• Robert Pontius & Wideke Boersma & Jean-Christophe Castella & Keith Clarke & Ton Nijs & Charles Dietzel & Zengqiang Duan & Eric Fotsing & Noah Goldstein & Kasper Kok & Eric Koomen & Christopher Lippitt, 2008, "Comparing the input, output, and validation maps for several models of land change," The Annals of Regional Science, Springer;Western Regional Science Association, volume 42, issue 1, pages 11-37, March, DOI: 10.1007/s00168-007-0138-2.
• Abdulnasser Hatemi-J, 2008, "Tests for cointegration with two unknown regime shifts with an application to financial market integration," Empirical Economics, Springer, volume 35, issue 3, pages 497-505, November, DOI: 10.1007/s00181-007-0175-9.
• Trino-Manuel Ñíguez, 2008, "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, volume 10, issue 3, pages 169-196, September, DOI: 10.1007/s10108-007-9030-6.
• Matteo Barigozzi & Marco Capasso, 2008, "Nonfundamental Representations of the Relation between Technology Shocks and Hours Worked," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2008/09, Apr.
• Håvard Hungnes, 2008, "A Demand System for Input Factors when there are Technological Changes in Production," Discussion Papers, Statistics Norway, Research Department, number 556, Sep.
• Ådne Cappelen & Arvid Raknerud & Marina Rybalka, 2008, "The effects of R&D tax credits on patenting and innovations," Discussion Papers, Statistics Norway, Research Department, number 565, Nov.
• Olutomi I Adeyemi & David C Broadstock & Mona Chitnis & Lester C Hunt & Guy Judge, 2008, "Asymmetric Price Responses and the Underlying Energy Demand Trend: Are they Substitutes or Complements? Evidence from Modelling OECD Aggregate Energy Demand," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS), Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey, number 121, Oct.
• Ali Choudhary & Adnan Haider, 2008, "Neural Network Models for Inflation Forecasting: An Appraisal," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0808, Nov.
• Young-Bae Kim, 2008, "Is There A Trade-off Between Regional Growth and National Income? Theory and Evidence from the EU," School of Economics Discussion Papers, School of Economics, University of Surrey, number 1008, Nov.
• Daniel Buncic, 2008, "A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)," Discussion Papers, School of Economics, The University of New South Wales, number 2008-02, Feb.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers, School of Economics, The University of New South Wales, number 2008-10, May.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers, School of Economics, The University of New South Wales, number 2008-23, Oct.
• Daniele Fabbri & Chiara Monfardini, 2008, "Style of practice and assortative mating: a recursive probit analysis of Caesarean section scheduling in Italy," Applied Economics, Taylor & Francis Journals, volume 40, issue 11, pages 1411-1423, DOI: 10.1080/00036840600771395.
• Maritta Paloviita, 2008, "Comparing alternative Phillips curve specifications: European results with survey-based expectations," Applied Economics, Taylor & Francis Journals, volume 40, issue 17, pages 2259-2270, DOI: 10.1080/00036840600949439.
• Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008, "Rolling-sampled parameters of ARCH and Levy-stable models," Applied Economics, Taylor & Francis Journals, volume 40, issue 23, pages 3051-3067, DOI: 10.1080/00036840600994039.
• Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008, "The Volatility of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 46-78, DOI: 10.1080/07474930701853616.
• Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008, "Semiparametric diffusion estimation and application to a stock market index," Quantitative Finance, Taylor & Francis Journals, volume 8, issue 1, pages 81-92, DOI: 10.1080/14697680601026998.
• Stavros Degiannakis & Evdokia Xekalaki, 2008, "SPEC model selection algorithm for ARCH models: an options pricing evaluation framework," Applied Financial Economics Letters, Taylor & Francis Journals, volume 4, issue 6, pages 419-423, DOI: 10.1080/17446540701765258.
• V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008, "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-008/4, Jan.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-050/4, May.
• Oleg Sheremet & André Lucas, 2008, "Global Loss Diversification in the Insurance Sector," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-086/2, Sep.
• Rodney W. Strachan & Herman K. van Dijk, 2008, "Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-096/4, Oct.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-105/4, Nov.
• Magnus, J.R. & Powell, O.R. & Prüfer, P., 2008, "A Comparison of Two Averaging Techniques with an Application to Growth Empirics," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-39.
• Prüfer, P. & Tondl, G., 2008, "The FDI-Growth Nexus in Latin America : The Role of Source Countries and Local Conditions," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-61.
• Einmahl, J.H.J. & van Keilegom, I., 2008, "Tests for independence in nonparametric regression," Other publications TiSEM, Tilburg University, School of Economics and Management, number 4356c520-d1d5-4156-b5b7-0.
• Prüfer, P. & Tondl, G., 2008, "The FDI-Growth Nexus in Latin America : The Role of Source Countries and Local Conditions," Other publications TiSEM, Tilburg University, School of Economics and Management, number 73b28850-1597-4bcb-a76c-1.
• Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2008, "Nonparametric Tests for Treatment Effect Heterogeneity," The Review of Economics and Statistics, MIT Press, volume 90, issue 3, pages 389-405, August.
• Marmer, Vadim & Otsu, Taisuke, 2008, "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Microeconomics.ca working papers, Vancouver School of Economics, number vadim_marmer-2008-13, Oct, revised 25 Jul 2011.
• Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2008, "Comparison of Misspecified Calibrated Models: The Minimum Distance Approach," Microeconomics.ca working papers, Vancouver School of Economics, number vadim_marmer-2008-14, Oct, revised 28 Sep 2011.
• Luis H. B. Braido, 2008, "Evidence on the Incentive Properties of Share Contracts," Journal of Law and Economics, University of Chicago Press, volume 51, issue 2, pages 327-349, May, DOI: 10.1086/589663.
• Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2008, "Can Exchange Rates Forecast Commodity Prices?," Working Papers, University of Washington, Department of Economics, number UWEC-2008-11-FC, Feb, revised Oct 2009.
• Dimitris K. Christopoulos & Miguel Leon-Ledesma, 2008, "Testing for Granger (non)-Causality in a Time Varying Coefficient VAR Model," Studies in Economics, School of Economics, University of Kent, number 0802, Jan.
• Hugo Gerard & Kristoffer Nimark, 2008, "Combining multivariate density forecasts using predictive criteria," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1117, Aug, revised Oct 2008.
• Beatrice Pataracchia, 2008, "Design Limits in Regime-Switching Cases," Department of Economics University of Siena, Department of Economics, University of Siena, number 529, Mar.
• D. Aristei & Luca Pieroni, 2008, "Cointegration Rank Test and Long Run Specification: A Note on the Robustness of Structural Demand Systems," Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol, number 0809, Nov.
• Henri L.F. de Groot & Jacques Poot & Martijn J. Smit, 2008, "Agglomeration Externalities, Innovation and Regional Growth: Theoretical Perspectives and Meta-Analysis," Working Papers in Economics, University of Waikato, number 08/01, Feb.
• R. Aaberge & T. Wennemo & U. Colombino, 2008, "Evaluating Alternative Representations of the Choice Sets in Models of Labour Supply," CHILD Working Papers, CHILD - Centre for Household, Income, Labour and Demographic economics - ITALY, number wp20_08, Oct.
• Laura Griner Hill & Scott G. Goates & Robert Rosenman, 2008, "Detecting Selection Bias in Community Disseminations of Universal Family-Based Prevention Programs," Working Papers, School of Economic Sciences, Washington State University, number 2008-2, Apr.
• Michael G. Arghyrou & Maria Dolores Gadea, 2008, "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2008-05, May.
• Juselius, Mikael, 2008, "Cointegration implications of linear rational expectation models," Bank of Finland Research Discussion Papers, Bank of Finland, number 6/2008.
• Herwartz, Helmut, 2008, "Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-16.
• Mittnik, Stefan & Yener, Tina, 2008, "Value-at-Risk and expected shortfall for rare events," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/14.
• Bjørnstad, Roger & Nymoen, Ragnar, 2008, "The New Keynesian Phillips curve tested on OECD panel data," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-4.
• Mercereau, Benoît & Miniane, Jacques Alain, 2008, "Should We Trust the Empirical Evidence from Present Value Models of the Current Account?," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-10.
• Fanelli, Luca, 2008, "Evaluating the New Keynesian Phillips Curve under VAR-Based Learning," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-15.
• Sucarrat, Genaro, 2008, "Forecast Evaluation of Explanatory Models of Financial Return Variability," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-18.
• Juselius, Mikael, 2008, "Testing the New Keynesian Model on U.S. and Euro Area Data," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-23.
• Bjørnstad, Roger & Nymoen, Ragnar, 2008, "The New Keynesian Phillips Curve Tested on OECD Panel Data," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-18, DOI: 10.5018/economics-ejournal.ja.2008-.
• Juselius, Mikael, 2008, "Testing the New Keynesian Model on U.S. and Euro Area Data," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-26, DOI: 10.5018/economics-ejournal.ja.2008-.
• Fanelli, Luca, 2008, "Evaluating New Keynesian Phillips Curve under VAR-Based Learning," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-24, DOI: 10.5018/economics-ejournal.ja.2008-.
• Mercereau, Benoît & Miniane, Jacques Alain, 2008, "Should We Trust the Empirical Evidence from Present Value Models of the Current Account?," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-36, DOI: 10.5018/economics-ejournal.ja.2008-.
• Scheufele, Rolf, 2008, "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 10/2008.
• Härdle, Wolfgang Karl & Mungo, Julius, 2008, "Value-at-risk and expected shortfall when there is long range dependence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-006.
• Jeong, Kiho & Härdle, Wolfgang Karl, 2008, "A consistent nonparametric test for causality in quantile," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-007.
• Schulz, Rainer & Werwatz, Axel, 2008, "House prices and replacement cost: A mMicro-level analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-013.
• Winschel, Viktor & Krätzig, Markus, 2008, "Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-018.
• Schulz, Rainer & Staiber, Markus & Wersing, Martin & Werwatz, Axel, 2008, "The accuracy of long-term real estate valuations," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-019.
• Winschel, Viktor & Krätzig, Markus, 2008, "JBendge: An object-oriented system for solving, estimating and selecting nonlinear dynamic models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-034.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Pigorsch, Uta, 2008, "Measuring and modeling risk using high-frequency data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-045.
• Hautsch, Nikolaus & Jeleskovic, Vahidin, 2008, "Modelling high-frequency volatility and liquidity using multiplicative error models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-047.
• Hautsch, Nikolaus, 2008, "Testing multiplicative error models using conditional moment tests," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-067.
• Blaskowitz, Oliver J. & Herwartz, Helmut, 2008, "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-073.
• Seymen, Atilim, 2008, "A Comparative Study on the Role of Stochastic Trends in U.S. Macroeconomic Fluctuations, 1954-1988," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 08-007.

2007

• B. Jourdain, 2007, "Stochastic flow approach to Dupire’s formula," Finance and Stochastics, Springer, volume 11, issue 4, pages 521-535, October, DOI: 10.1007/s00780-007-0042-8.
• Giorgio Canarella & Stephen Pollard, 2007, "A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 54, issue 4, pages 445-462, December, DOI: 10.1007/s12232-007-0025-2.
• Martin Melecký & Luboš Komárek, 2007, "The Behavioral Equilibrium Exchange Rate of the Czech Koruna," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 14, issue 1, pages 105-121, May, DOI: 10.1007/s11300-007-0136-1.
• Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007, "A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2007/19, Sep.
• Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007, "A Review of Nonfundamentalness and Identification in Structural VAR Models," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2007/22, Oct.
• Pål Boug & Ådne Cappelen & Anders Rygh Swensen, 2007, "The New Keynesian Phillips Curve revisited," Discussion Papers, Statistics Norway, Research Department, number 500, Mar.
• Roger Bjørnstad & Eilev S. Jansen, 2007, "The NOK/euro exhange rate after inflation targeting: The interest rate rules," Discussion Papers, Statistics Norway, Research Department, number 501, May.
• Pål Boug & Andreas Fagereng, 2007, "Exchange rate volatility and export performance: A cointegrated VAR approach," Discussion Papers, Statistics Norway, Research Department, number 522, Nov.
• Robert Kohn & Rachida Ouysse, 2007, "Bayesian Variable Selection of Risk Factors in the APT Model," Discussion Papers, School of Economics, The University of New South Wales, number 2007-32, Oct.
• Stavros Degiannakis & Evdokia Xekalaki, 2007, "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 2, pages 149-171, DOI: 10.1080/09603100500461686.
• Sungbae An & Frank Schorfheide, 2007, "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, volume 26, issue 2-4, pages 113-172, DOI: 10.1080/07474930701220071.
• Jana Eklund & Sune Karlsson, 2007, "Forecast Combination and Model Averaging Using Predictive Measures," Econometric Reviews, Taylor & Francis Journals, volume 26, issue 2-4, pages 329-363, DOI: 10.1080/07474930701220550.
• Stavros Degiannakis & Evdokia Xekalaki, 2007, "Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes," Applied Financial Economics Letters, Taylor & Francis Journals, volume 3, issue 1, pages 31-37, DOI: 10.1080/17446540600706833.
• Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2007, "Economic Base Multipliers Revisited," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0807, Jun.
• Charles S. Bos & Phillip Gould, 2007, "Dynamic Correlations and Optimal Hedge Ratios," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-025/4, Feb.
• Henri L.F. de Groot & Jacques Poot & Martijn J. Smit, 2007, "Agglomeration, Innovation and Regional Development: Theoretical Perspectives and Meta-Analysis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-079/3, Oct.
• Peter R. Mueser & Kenneth R. Troske & Alexey Gorislavsky, 2007, "Using State Administrative Data to Measure Program Performance," The Review of Economics and Statistics, MIT Press, volume 89, issue 4, pages 761-783, November.
• Lib?na »ernohorsk? & Jan »ernohorsk?, 2007, "Potential Attitudes Solving the Problems of Banking Stability," Working Papers, Tallinn School of Economics and Business Administration, Tallinn University of Technology, number 164.
• Hannah C Lambert, 2007, "The Development of British Military Masculinities through Symbolic Resources," Working Papers, Geary Institute, University College Dublin, number 200711, May.
• Olivier Bargain, 2007, "On modeling household labor supply with taxation," Working Papers, School of Economics, University College Dublin, number 200711, Aug.
• Valadkhani, Abbas, 2007, "Macroeconometric Modelling In An Oil Exporting Country: The Case Of Iran," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp07-14.
• Fabio Canova, 2007, "How much structure in empirical models?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1054, Oct.
• Korenok Oleg, 2007, "Bayesian Methods in Nonlinear Time Series," Working Papers, VCU School of Business, Department of Economics, number 0703, Mar.
• Judith A. Clarke, 2007, "On Weighted Estimation in Linear Regression in th Presence of Parameter Uncertainty," Econometrics Working Papers, Department of Economics, University of Victoria, number 0701, Apr.
• Pierre Siklos, 2008, "Revisiting the Coyne Affair: A Singular Event That Changed the Course of Canadian Monetary History," Working Papers, Wilfrid Laurier University, Department of Economics, number eg0047, revised 2008.
• Sadayuki Ono, 2007, "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers, Department of Economics, University of York, number 07/05, Mar.
• Paloviita, Maritta, 2007, "Estimating a small DSGE model under rational and measured expectations: some comparisons," Bank of Finland Research Discussion Papers, Bank of Finland, number 14/2007.
• Laakkonen, Helinä, 2007, "Exchange rate volatility, macro announcements and the choice of intraday sasonality filtering method," Bank of Finland Research Discussion Papers, Bank of Finland, number 23/2007.
• Scharnagl, Michael & Schumacher, Christian, 2007, "Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2007,09.
• Günnel, Stefan & Tödter, Karl-Heinz, 2007, "Does Benford's law hold in economic research and forecasting?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2007,32.
• Hautsch, Nikolaus, 2007, "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," CFS Working Paper Series, Center for Financial Studies (CFS), number 2007/25.
• Scholtz, Hellmut D., 2007, "Minderung der Risiken bei Wertpapieranlagen zur Altersvorsorge mit marktneutralen Anlagestrategien," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 48, issue 10, pages 182-190.
• Tondl, Gabriele & Prüfer, Patricia, 2007, "Does it Make a Difference? Comparing Growth Effects of European and North American FDI in Latin America," Proceedings of the German Development Economics Conference, Göttingen 2007, Verein für Socialpolitik, Research Committee Development Economics, number 26.
• Franchi, Massimo & Jusélius, Katarina, 2007, "Taking a DSGE Model to the Data Meaningfully," Economics Discussion Papers, Kiel Institute for the World Economy, number 2007-6.
• Franchi, Massimo & Jusélius, Katarina, 2007, "Taking a DSGE Model to the Data Meaningfully," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 1, pages 1-38, DOI: 10.5018/economics-ejournal.ja.2007-.
• Arnold, Matthias & Weißbach, Rafael, 2007, "Testing large-dimensional correlation," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2007,15.
• Tsay, Wen-Jen & Härdle, Wolfgang Karl, 2007, "A generalized ARFIMA process with Markov-switching fractional differencing parameter," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-022.
• Härdle, Wolfgang Karl & Mungo, Julius, 2007, "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-027.
• Hautsch, Nikolaus, 2007, "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-052.
• Ager, Philipp & Kappler, Marcus & Osterloh, Steffen, 2007, "The Accuracy and Efficiency of the Consensus Forecasts: A Further Application and Extension of the Pooled Approach," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 07-058.
• Michael Artis & Jos� G. Clavel & Mathias Hoffmann & Dilip Nachane, 2007, "Harmonic Regression Models: A Comparative Review with Applications," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 333, Sep.
• Tim Bollerslev & Michael Gibson & Hao Zhou, 2007, "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-16, Aug.
• Paul Alagidede, 2007, "Return Dynamics in North African Stock Markets," The African Finance Journal, Africagrowth Institute, volume 9, issue 1, pages 39-52.
• Nicholas Odhiambo, 2007, "Does Interest Rate Liberalisation Really Improve the Allocative Efficiency of Investment? Kenya's Experience," The African Finance Journal, Africagrowth Institute, volume 9, issue 1, pages 53-69.
• Yelou, Clement & Larue, Bruno & Tran, Kien C., 2007, "Estimation and Inference for Threshold Effects in Panel Data Stochastic Frontier Models," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 9769, DOI: 10.22004/ag.econ.9769.
• Power, Gabriel J. & Turvey, Calum G., 2007, "Spurious Long Memory in Commodity Futures: Implications for Agribusiness Option Pricing," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 9782, DOI: 10.22004/ag.econ.9782.
• Bellver, Jeronimo Aznar & Guitart, Vicente Estruch, 2007, "Valoracion de activos ambientales mediante metodos multicriterio. Aplicacion a la valoracion del Parque Natural del Alto Tajo," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 7, issue 13, pages 1-20, DOI: 10.22004/ag.econ.7999.
• Scarpa, Elisa & Longo, Chiara & Manera, Matteo & Markandya, Anil, 2007, "Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting," International Energy Markets Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 12118, DOI: 10.22004/ag.econ.12118.
• Ren, Yu & Shimotsu, Katsumi, 2007, "Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273602, Jun, DOI: 10.22004/ag.econ.273602.
• Kasahara, Hiroyuki & Shimotsu, Katsumi, 2007, "Nonparametric Identification and Estimation of Multivariate Mixtures," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273629, Dec, DOI: 10.22004/ag.econ.273629.
• Xu, Hai Yan & Ward, Bert D. & Nartea, Gilbert V., 2007, "An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 3, issue 01-2, pages 1-18, DOI: 10.22004/ag.econ.50157.
• Luca FANELLI & Giulio PALOMBA, 2007, "Simulation-Based Tests of Forward-Looking Models Under VAR Learning Dynamics," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 298, Sep.
• Petar Bantchev, 2007, "Strategic Solutions for Combining of Marketing Mix Elements," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 117-143.
• Anita Staneva, 2007, "Econometric analysis of Labour Market in Bulgaria - 1991-2006," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 144-172.
• David Bolder & Tiago Rubin, 2007, "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis," Staff Working Papers, Bank of Canada, number 07-13, DOI: 10.34989/swp-2007-13.
• Fousseni Chabi-Yo & Dietmar Leisen & Eric Renault, 2007, "Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing," Staff Working Papers, Bank of Canada, number 07-47, DOI: 10.34989/swp-2007-47.
• Carlos Enrique Carrasco Gutiérrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2007, "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Working Papers Series, Central Bank of Brazil, Research Department, number 139, Jun.
• Atilla Çifter & Alper Özün, 2007, "The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 1, issue 1, pages 7-34.
• Fabio Canova & Luca Sala, 2007, "Back to square one: identification issues in DSGE models," Working Papers, Banco de España, number 0715, Jun.
• Fabio Busetti & Andrew Harvey, 2007, "Testing for trend," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 614, Feb.
• Hernán Rincón & Édgar Caicedo & Norberto Rodríguez, 2007, "Exchange rate pass-through effects: a disaggregate analysis of Colombian imports of manufactured goods," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 25, issue 54, pages 90-121, June, DOI: 10.32468/Espe.5403.
• Eric Jondeau & Jean-Guillaume Sahuc, 2007, "Testing heterogeneity within the euro area," Working papers, Banque de France, number 181.
• Céline Poilly, 2007, "Does Money Matter for the Identification of Monetary Policy Shocks: A DSGE Perspective," Working papers, Banque de France, number 184.
• Chauvin, V. & Devulder, A., 2007, "Maquette d’inflation zone euro," Bulletin de la Banque de France, Banque de France, issue 167, pages 77-94.
• David Afshartous & Michael Wolf, 2007, "Avoiding ‘data snooping’ in multilevel and mixed effects models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 170, issue 4, pages 1035-1059, October, DOI: 10.1111/j.1467-985X.2007.00494.x.
• Sophocles N. Brissimis & Matthaios D. Delis, 2007, "Identification of a Loan Supply Function: A Cross-Country Test for the Existence of a Bank Lending Channel," Working Papers, Bank of Greece, number 54, Jan.
• Chae-Shick Chung & Jong Sung Lee, 2007, "Empirical Investigation of Stochastic Volatility Interest Rate Models using the EMM: The Case of Korea (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 13, issue 3, pages 41-69, September.
• Pesaran, B. & Pesaran, M.H., 2007, "Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0734, Jun.
• Carlos Santos, 2007, "Discriminating mean and variance shifts," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 14, Aug.
• Minford, Patrick & Meenagh, David & Wang, Jiang, 2007, "Growth and relative living standards - testing Barriers to Riches on post-war panel data," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2007/12, Apr.
• Theodoridis, Konstantinos, 2007, "Dynamic Stochastic General Equilibrium (DSGE) Priors for Bayesian Vector Autoregressive (BVAR) Models: DSGE Model Comparison," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2007/15, Jun.
• Yener Kandogan, 2007, "Sensitivity of international blocs´ trade effect to alternative specifications of the gravity equation," Journal of Applied Economics, Universidad del CEMA, volume 10, pages 337-360, November.
• Stephen Machin & Sandra McNally & Costas Meghir, 2007, "Resources and Standards in Urban Schools," CEE Discussion Papers, Centre for the Economics of Education, LSE, number 0076, Feb.
• Gernot Doppelhofer & Melvyn Weeks, 2007, "Jointness of Growth Determinants," CESifo Working Paper Series, CESifo, number 1978.
• Sonja Munz, 2007, "Beschäftigungs- und familienpolitische Aspekte der Teilzeitarbeit im Lichte des Teilzeit- und Befristungsgesetzes - eine Evaluierung," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 29, September.
• Gernot Nerb & Heinz Schmalholz & Matthias Dischinger & Wolfgang Eggert & Thomas Fester & Reinhard Hild & Thomas Kiessl & Josef Lachner & Carsten Pohl & Michael Reinhard & Björn Frank & Heike Belitz & , 2006, "Chances and Risks of a Modified General Framework for the Service Enterprises from the EU Service Directive," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 29, February.
• Johannes Mayr & Dirk Ulbricht, 2007, "Log versus level in VAR forecasting: 16 Million empirical answers - expect the unexpected," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 42.
• Johannes Mayr & Dirk Ulbricht, 2007, "VAR Model Averaging for Multi-Step Forecasting," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 48.
• Gabriele Fiorentini & Enrique Sentana, 2007, "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers, CEMFI, number wp2007_0713.
• Alejandro Gaviria & Carlos Medina & MarÔøΩa del Mar Palau, 2007, "Las Consecuencias Econ√Ìmicas De Un Nombre At√Çpico. El Caso Colombiano," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 3108, May.
• Hernán Rincón & �dgar Caicedo & Norberto Rodr�guez, 2007, "Exchange rate pass-through effects: A disaggregate analysis of Colombian imports of manufactured goods," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 25, issue 54, pages 90-121, DOI: 10.32468/Espe.5403.
• María Isabel Restrepo & Diana Constanza Restrepo, 2007, "El canal del crédito bancario en Colombia: 1995-2005. Una aproximación mediante modelos de umbral," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Dennys MarrugoTorrente, 2007, "Evaluación de los modelos de pronóstico aplicados para la demanda turística internacional hacia Colombia," Revista Panorama Económico, Universidad de Cartagena, volume 0, issue 0, pages 1-18.
• Raúl Quejada Pérez & Felipe Del R�o Carrasquilla, 2007, "Evaluación de la influencia de la revaluación del tipo de cambio sobre la demanda de turismo en Colombia," Revista Panorama Económico, Universidad de Cartagena, volume 0, issue 0, pages 1-23.
• HOOGERHEIDE, Lennart F. & VAN DIJK, Herman K. & VAN OEST, Rutger D., 2007, "Simulation based Bayesian econometric inference: principles and some recent computational advances," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007015, Mar.
• BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen V.K., 2007, "Theory and inference for a Markov switching GARCH model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007055, Aug.
• BOUADDI, Mohammed & ROMBOUTS, Jeroen V.K., 2007, "Mixed exponential power asymmetric conditional heteroskedasticity," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007097, Dec.
• Minford, Patrick & Wang, Jiang & Meenagh, David, 2007, "Growth and relative living standards - testing Barriers to Riches on post-war panel data," CEPR Discussion Papers, Centre for Economic Policy Research, number 6288, May.
• Giannone, Domenico & D’Agostino, Antonello, 2007, "Comparing Alternative Predictors Based on Large-Panel Factor Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 6564, Nov.
• Pascal Lavergne & Valentin Patilea, 2007, "One for All and All for One : Regression Checks with Many Regressors"," Working Papers, Center for Research in Economics and Statistics, number 2007-12.
• Timotheos Angelidis & Stavros Degiannakis, 2007, "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers, University of Crete, Department of Economics, number 0701, Jan.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2007, "Purchasing Power Parity Among Developing Countries and Their Trade-Partners: Evidence from Selected CEECs and Implications for Their Membership of EU," Working Papers, University of Crete, Department of Economics, number 0716, Oct.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2007, "Estimating the Equilibrium Effective Exchange Rate for Potential EMU members," Working Papers, University of Crete, Department of Economics, number 0719, Mar.