Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2022

• Freyaldenhoven, Simon, 2022, "Factor models with local factors — Determining the number of relevant factors," Journal of Econometrics, Elsevier, volume 229, issue 1, pages 80-102, DOI: 10.1016/j.jeconom.2021.04.006.
• Peng, Jingfu & Yang, Yuhong, 2022, "On improvability of model selection by model averaging," Journal of Econometrics, Elsevier, volume 229, issue 2, pages 246-262, DOI: 10.1016/j.jeconom.2020.12.003.
• Todorov, Viktor, 2022, "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 255-280, DOI: 10.1016/j.jeconom.2021.04.005.
• De Luca, Giuseppe & Magnus, Jan R. & Peracchi, Franco, 2022, "Sampling properties of the Bayesian posterior mean with an application to WALS estimation," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 299-317, DOI: 10.1016/j.jeconom.2021.04.008.
• Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona, 2022, "How should parameter estimation be tailored to the objective?," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 535-558, DOI: 10.1016/j.jeconom.2020.12.014.
• Inoue, Atsushi & Kilian, Lutz, 2022, "Joint Bayesian inference about impulse responses in VAR models," Journal of Econometrics, Elsevier, volume 231, issue 2, pages 457-476, DOI: 10.1016/j.jeconom.2021.05.010.
• Diebold, Francis X. & Rudebusch, Glenn D., 2022, "Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections," Journal of Econometrics, Elsevier, volume 231, issue 2, pages 520-534, DOI: 10.1016/j.jeconom.2020.12.007.
• Blackburn, McKinley L., 2022, "Testing for coefficient differences across nested linear regression specifications," Econometrics and Statistics, Elsevier, volume 23, issue C, pages 1-18, DOI: 10.1016/j.ecosta.2021.03.007.
• Pagan, Adrian & Robinson, Tim, 2022, "Excess shocks can limit the economic interpretation," European Economic Review, Elsevier, volume 145, issue C, DOI: 10.1016/j.euroecorev.2022.104120.
• Korobilis, Dimitris, 2022, "A new algorithm for structural restrictions in Bayesian vector autoregressions," European Economic Review, Elsevier, volume 148, issue C, DOI: 10.1016/j.euroecorev.2022.104241.
• Nazemi, Abdolreza & Baumann, Friedrich & Fabozzi, Frank J., 2022, "Intertemporal defaulted bond recoveries prediction via machine learning," European Journal of Operational Research, Elsevier, volume 297, issue 3, pages 1162-1177, DOI: 10.1016/j.ejor.2021.06.047.
• Fianu, Emmanuel Senyo & Ahelegbey, Daniel Felix & Grossi, Luigi, 2022, "Modeling risk contagion in the Italian zonal electricity market," European Journal of Operational Research, Elsevier, volume 298, issue 2, pages 656-679, DOI: 10.1016/j.ejor.2021.06.052.
• Bastos, João A. & Matos, Sara M., 2022, "Explainable models of credit losses," European Journal of Operational Research, Elsevier, volume 301, issue 1, pages 386-394, DOI: 10.1016/j.ejor.2021.11.009.
• Silveira, Douglas & Vasconcelos, Silvinha & Resende, Marcelo & Cajueiro, Daniel O., 2022, "Won’t Get Fooled Again: A supervised machine learning approach for screening gasoline cartels," Energy Economics, Elsevier, volume 105, issue C, DOI: 10.1016/j.eneco.2021.105711.
• Meira, Erick & Cyrino Oliveira, Fernando Luiz & de Menezes, Lilian M., 2022, "Forecasting natural gas consumption using Bagging and modified regularization techniques," Energy Economics, Elsevier, volume 106, issue C, DOI: 10.1016/j.eneco.2021.105760.
• Pincheira-Brown, Pablo & Bentancor, Andrea & Hardy, Nicolás & Jarsun, Nabil, 2022, "Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis," Energy Economics, Elsevier, volume 106, issue C, DOI: 10.1016/j.eneco.2021.105802.
• Kilian, Lutz, 2022, "Understanding the estimation of oil demand and oil supply elasticities," Energy Economics, Elsevier, volume 107, issue C, DOI: 10.1016/j.eneco.2022.105844.
• Ren, Xiaohang & Duan, Kun & Tao, Lizhu & Shi, Yukun & Yan, Cheng, 2022, "Carbon prices forecasting in quantiles," Energy Economics, Elsevier, volume 108, issue C, DOI: 10.1016/j.eneco.2022.105862.
• Kilian, Lutz, 2022, "Facts and fiction in oil market modeling," Energy Economics, Elsevier, volume 110, issue C, DOI: 10.1016/j.eneco.2022.105973.
• Hitz, Lukas & Mustafi, Ismail H. & Zimmermann, Heinz, 2022, "The pricing of volatility risk in the US equity market," International Review of Financial Analysis, Elsevier, volume 79, issue C, DOI: 10.1016/j.irfa.2021.101951.
• Ellington, Michael & Stamatogiannis, Michalis P. & Zheng, Yawen, 2022, "A study of cross-industry return predictability in the Chinese stock market," International Review of Financial Analysis, Elsevier, volume 83, issue C, DOI: 10.1016/j.irfa.2022.102249.
• Kurosaki, Tetsuo & Kim, Young Shin, 2022, "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102143.
• Kutuk, Yasin & Barokas, Lina, 2022, "Multivariate CDS risk premium prediction with SOTA RNNs on MI[N]T countries," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102198.
• Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel, 2022, "Measuring systemic risk during the COVID-19 period: A TALIS3 approach," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102304.
• Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2022, "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102365.
• Tran, Quang Van & Kukal, Jaromir, 2022, "A novel heavy tail distribution of logarithmic returns of cryptocurrencies," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102574.
• Jin, Chenglu & Lu, Xingyu & Zhang, Yihan, 2022, "Market reaction, COVID-19 pandemic and return distribution," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102701.
• Achakzai, Muhammad Atif Khan & Juan, Peng, 2022, "Using machine learning Meta-Classifiers to detect financial frauds," Finance Research Letters, Elsevier, volume 48, issue C, DOI: 10.1016/j.frl.2022.102915.
• González-Pla, Francisco & Lovreta, Lidija, 2022, "Modeling and forecasting firm-specific volatility: The role of asymmetry and long-memory," Finance Research Letters, Elsevier, volume 48, issue C, DOI: 10.1016/j.frl.2022.102931.
• Shang, Yue & Wei, Yu & Chen, Yongfei, 2022, "Cryptocurrency policy uncertainty and gold return forecasting: A dynamic Occam's window approach," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103251.
• Gaillard, Aurélie & García-Lorenzo, Borja & Renaud, Thomas & Wittwer, Jérôme, 2022, "Does integrated care mean fewer hospitalizations? An evaluation of a French field experiment," Health Policy, Elsevier, volume 126, issue 8, pages 786-794, DOI: 10.1016/j.healthpol.2022.05.009.
• Meng, Jin & Chan, Kung-Sik, 2022, "Penalized quasi-likelihood estimation of generalized Pareto regression – consistent identification of risk factors for extreme losses," Insurance: Mathematics and Economics, Elsevier, volume 104, issue C, pages 60-75, DOI: 10.1016/j.insmatheco.2022.01.005.
• Henckaerts, Roel & Antonio, Katrien, 2022, "The added value of dynamically updating motor insurance prices with telematics collected driving behavior data," Insurance: Mathematics and Economics, Elsevier, volume 105, issue C, pages 79-95, DOI: 10.1016/j.insmatheco.2022.03.011.
• Hu, Changyue & Quan, Zhiyu & Chong, Wing Fung, 2022, "Imbalanced learning for insurance using modified loss functions in tree-based models," Insurance: Mathematics and Economics, Elsevier, volume 106, issue C, pages 13-32, DOI: 10.1016/j.insmatheco.2022.04.010.
• Malavasi, Matteo & Peters, Gareth W. & Shevchenko, Pavel V. & Trück, Stefan & Jang, Jiwook & Sofronov, Georgy, 2022, "Cyber risk frequency, severity and insurance viability," Insurance: Mathematics and Economics, Elsevier, volume 106, issue C, pages 90-114, DOI: 10.1016/j.insmatheco.2022.05.003.
• Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2022, "Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models," International Journal of Forecasting, Elsevier, volume 38, issue 1, pages 51-73, DOI: 10.1016/j.ijforecast.2019.08.007.
• Taylor, James W., 2022, "Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio," Journal of Banking & Finance, Elsevier, volume 140, issue C, DOI: 10.1016/j.jbankfin.2022.106519.
• Hersh, Jonathan & Lang, Bree J. & Lang, Matthew, 2022, "Car accidents, smartphone adoption and 3G coverage," Journal of Economic Behavior & Organization, Elsevier, volume 196, issue C, pages 278-293, DOI: 10.1016/j.jebo.2022.01.033.
• Alam, Jessica & Georgalos, Konstantinos & Rolls, Harrison, 2022, "Risk preferences, gender effects and Bayesian econometrics," Journal of Economic Behavior & Organization, Elsevier, volume 202, issue C, pages 168-183, DOI: 10.1016/j.jebo.2022.08.013.
• Kashaev, Nail & Aguiar, Victor H., 2022, "A random attention and utility model," Journal of Economic Theory, Elsevier, volume 204, issue C, DOI: 10.1016/j.jet.2022.105487.
• Leippold, Markus & Wang, Qian & Zhou, Wenyu, 2022, "Machine learning in the Chinese stock market," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 64-82, DOI: 10.1016/j.jfineco.2021.08.017.
• Wada, Tatsuma, 2022, "Out-of-sample forecasting of foreign exchange rates: The band spectral regression and LASSO," Journal of International Money and Finance, Elsevier, volume 128, issue C, DOI: 10.1016/j.jimonfin.2022.102719.
• Palazzi, Rafael Baptista & Meira, Erick & Klotzle, Marcelo Cabus, 2022, "The sugar-ethanol-oil nexus in Brazil: Exploring the pass-through of international commodity prices to national fuel prices," Journal of Commodity Markets, Elsevier, volume 28, issue C, DOI: 10.1016/j.jcomm.2022.100257.
• Arsić, Milojko & Mladenović, Zorica & Nojković, Aleksandra, 2022, "Macroeconomic performance of inflation targeting in European and Asian emerging economies," Journal of Policy Modeling, Elsevier, volume 44, issue 3, pages 675-700, DOI: 10.1016/j.jpolmod.2022.06.002.
• Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022, "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.102926.
• de Boer, Henk-Wim & Jongen, Egbert L.W. & Kabatek, Jan, 2022, "The effectiveness of fiscal stimuli for working parents," Labour Economics, Elsevier, volume 76, issue C, DOI: 10.1016/j.labeco.2022.102152.
• Black, Dan A. & Joo, Joonhwi & LaLonde, Robert & Smith, Jeffrey A. & Taylor, Evan J., 2022, "Simple Tests for Selection: Learning More from Instrumental Variables," Labour Economics, Elsevier, volume 79, issue C, DOI: 10.1016/j.labeco.2022.102237.
• Bui, Quynh & Ślepaczuk, Robert, 2022, "Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 592, issue C, DOI: 10.1016/j.physa.2021.126784.
• Ahelegbey, Daniel Felix & Giudici, Paolo, 2022, "NetVIX — A network volatility index of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 594, issue C, DOI: 10.1016/j.physa.2022.127017.
• Masoud, Najeb & Al-Utaibi, Ghassan, 2022, "The determinants of cybersecurity risk disclosure in firms’ financial reporting: Empirical evidence," Research in Economics, Elsevier, volume 76, issue 2, pages 131-140, DOI: 10.1016/j.rie.2022.07.001.
• López-Martín, Carmen & Arguedas-Sanz, Raquel & Muela, Sonia Benito, 2022, "A cryptocurrency empirical study focused on evaluating their distribution functions," International Review of Economics & Finance, Elsevier, volume 79, issue C, pages 387-407, DOI: 10.1016/j.iref.2022.02.021.
• Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022, "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.ribaf.2021.101554.
• González-Sánchez, Mariano, 2022, "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.ribaf.2021.101595.
• Franke, Reiner, 2022, "An empirical test of a fundamental Harrod-Kaldor business cycle model," Structural Change and Economic Dynamics, Elsevier, volume 60, issue C, pages 1-14, DOI: 10.1016/j.strueco.2021.11.001.
• Shobande, Olatunji A. & Asongu, Simplice A., 2022, "The Critical Role of Education and ICT in Promoting Environmental Sustainability in Eastern and Southern Africa: A Panel VAR Approach," Technological Forecasting and Social Change, Elsevier, volume 176, issue C, DOI: 10.1016/j.techfore.2022.121480.
• de Blasio, Guido & D'Ignazio, Alessio & Letta, Marco, 2022, "Gotham city. Predicting ‘corrupted’ municipalities with machine learning," Technological Forecasting and Social Change, Elsevier, volume 184, issue C, DOI: 10.1016/j.techfore.2022.122016.
• Granguillhome Ochoa, Rogelio & Lach, Samantha & Masaki, Takaaki & Rodríguez-Castelán, Carlos, 2022, "Mobile internet adoption in West Africa," Technology in Society, Elsevier, volume 68, issue C, DOI: 10.1016/j.techsoc.2021.101845.
• Nchofoung, Tii N. & Asongu, Simplice A., 2022, "ICT for sustainable development: Global comparative evidence of globalisation thresholds," Telecommunications Policy, Elsevier, volume 46, issue 5, DOI: 10.1016/j.telpol.2021.102296.
• Bernt P. Stigum, 2022, "Consumer Choice under Certainty and Uncertainty in Applied Econometrics," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 65, issue 1, pages 1-27.
• Liu Yang & Kajal Lahiri & Adrian Pagan, 2022, "Getting the ROC into Sync," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2022-01, Jan.
• Daniel Buncic & Adrian Pagan, 2022, "Discovering Stars: Problems in Recovering Latent Variables from Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2022-52, Sep.
• Bao H. Nguyen & Bo Zhang, 2022, "Forecasting Oil Prices: Can Large BVARs Help?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2022-65, Oct.
• Rogelio Mercado Jr. & Victor Pontines, 2022, "Which Financial Inclusion Indicators and Dimensions Matter for Income Inequality? A Bayesian Model Averaging Approach," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2022-67, Oct.
• Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2022, "Asymptotic properties of the weighted-average least squares (WALS) estimator," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 2203, revised Mar 2022.
• Jean-Marie Dufour & Vinh Nguyen, 2022, "Identification-robust Inference for Endogeneity Parameters in Models with an Incomplete Reduced Form," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology", DOI: 10.1108/S0731-90532021000043B014.
• Pedro Brinca & Nikolay Iskrev & Francesca Loria, 2022, "On Identification Issues in Business Cycle Accounting Models," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honour of Fabio Canova", DOI: 10.1108/S0731-90532022000044A004.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022, "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honour of Fabio Canova", DOI: 10.1108/S0731-90532022000044B001.

2021

• Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021, "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-13, Sep.
• Simplice A. Asongu & Joseph Nnanna, 2021, "Globalization, Governance and the Green Economy in Sub-Saharan Africa: Policy Thresholds," Research Africa Network Working Papers, Research Africa Network (RAN), number 21/015, Jan.
• Simplice A. Asongu & Tii N. Nchofoung, 2021, "The terrorism-finance nexus contingent on globalisation and governance dynamics in Africa," Research Africa Network Working Papers, Research Africa Network (RAN), number 21/016, Mar.
• Simplice A. Asongu & Rexon T. Nting, 2021, "The Mobile Phone in Governance for Environmental Sustainability in Sub-Saharan Africa," Research Africa Network Working Papers, Research Africa Network (RAN), number 21/035, Jan.
• Isaac K. Ofori, 2021, "Catching the Drivers of Inclusive Growth in Sub-Saharan Africa: An Application of Machine Learning," Research Africa Network Working Papers, Research Africa Network (RAN), number 21/044, Jan.
• Tii N. Nchofoung & Simplice A. Asongu, 2021, "ICT for Sustainable Development: Global Comparative Evidence of Globalisation Thresholds," Research Africa Network Working Papers, Research Africa Network (RAN), number 21/061, Jan.
• Isaac K. Ofori & Christopher Quaidoo & Pamela E. Ofori, 2021, "What Drives Financial Sector Development in Africa? Insights from Machine Learning," Research Africa Network Working Papers, Research Africa Network (RAN), number 21/074, Jan.
• Mihai Paunica & Alexandru Manole & Catalina Motofei & Gabriela-Lidia Tanase, 2021, "Resilience of the European Union Economies. An Analysis of the Granger Causality at the Level of the Gross Domestic Product," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 23, issue Special15, pages 914-914, November.
• Simplice A. Asongu & Joseph Nnanna, 2021, "Globalization, Governance and the Green Economy in Sub-Saharan Africa: Policy Thresholds," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 21/015, Jan.
• Simplice A. Asongu & Tii N. Nchofoung, 2021, "The terrorism-finance nexus contingent on globalisation and governance dynamics in Africa," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 21/016, Mar.
• Simplice A. Asongu & Rexon T. Nting, 2021, "The Mobile Phone in Governance for Environmental Sustainability in Sub-Saharan Africa," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 21/035, Jan.
• Isaac K. Ofori, 2021, "Catching the Drivers of Inclusive Growth in Sub-Saharan Africa: An Application of Machine Learning," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 21/044, Jan.
• Tii N. Nchofoung & Simplice A. Asongu, 2021, "ICT for Sustainable Development: Global Comparative Evidence of Globalisation Thresholds," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 21/061, Jan.
• Isaac K. Ofori & Christopher Quaidoo & Pamela E. Ofori, 2021, "What Drives Financial Sector Development in Africa? Insights from Machine Learning," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 21/074, Jan.
• Maranzano, Paolo & Cerdeira Bento, Joao Paulo & Manera, Matteo, , "The Role of Education and Income Inequality on Environmental Quality. A Panel Data Analysis of the EKC Hypothesis on OECD," FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 310225, DOI: 10.22004/ag.econ.310225.
• Gouel, Christophe & Legrand, Nicolas, 2021, "The Role of Storage in Commodity Markets: Indirect Inference Based on Grains Data," 2021 Conference, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management, number 316404, DOI: 10.22004/ag.econ.316404.
• Argyrios D. Kolokontes, 2021, "Reposition of Forward-to-Backward Input-Output Analysis," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 68, issue 2, pages 195-232, June, DOI: 10.47743/saeb-2021-0015.
• Vrins, Frédéric & Wang, Linqi, 2021, "Asymmetric short-rate model without lower bound," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021006, Aug.
• Lachlan O'Neill & Simon D Angus & Satya Borgohain & Nader Chmait & David Dowe, 2021, "Creating Powerful and Interpretable Models with Regression Networks," SoDa Laboratories Working Paper Series, Monash University, SoDa Laboratories, number 2021-09, Sep.
• Lachlan O'Neill & Nandini Anantharama & Wray Buntine & Simon D Angus, 2021, "Quantitative Discourse Analysis at Scale - AI, NLP and the Transformer Revolution," SoDa Laboratories Working Paper Series, Monash University, SoDa Laboratories, number 2021-12, Dec.
• Aneta Kosztowniak, 2021, "Reinvestment of earnings in Polish FDI inflows," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 71, issue 3, pages 465-485, September, DOI: 10.1556/032.2021.00023.
• Riccardo Lucchetti & Luca Pedini & Claudia Pigini, 2021, "Bayesian Model Averaging For Propensity Score Matching In Tax Rebate," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 457, Jun.
• Игсатов О.Р. // Igsatov О.R., 2021, "Анализ эффективности процентного канала в Казахстане // Analyzing effectiveness of the interest rate channel in Kazakhstan," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 1, pages 4-14.
• Константин Орлов // Konstantin Orlov, 2021, "Построение большой байесовской авторегрессионной модели для Казахстана // Building a Large Bayesian Vector Autoregression Model for Kazakhstan," Working Papers, National Bank of Kazakhstan, number #2021-1.
• Тулеуов Олжас // Tuleuov Olzhas & Багжанов Бекжан // Bagzhanov Bekzhan & Жузбаев Адам // Zhuzbayev Adam, 2021, "Роль фискальной политики в ценовой (не)стабильности в Казахстане: эмпирическая оценка и механизм макроэкономической балансировки // Role of the Fiscal Policy in the Price (In) Stability in Kazakhstan: Empiric Assessment and Macroeconomic Equilibratin," Working Papers, National Bank of Kazakhstan, number #2021-3.
• Marinho Bertanha, 2021, "Regression Discontinuity Design with Many Thresholds," Papers, arXiv.org, number 2101.01245, Jan.
• Francis X. Diebold & Maximilian Gobel, 2021, "A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting," Papers, arXiv.org, number 2101.10359, Jan, revised Jan 2022.
• Ivar Ekeland & Alfred Galichon & Marc Henry, 2021, "Optimal transportation and the falsifiability of incompletely specified economic models," Papers, arXiv.org, number 2102.04162, Feb, revised Feb 2021.
• Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021, "Deep Structural Estimation: With an Application to Option Pricing," Papers, arXiv.org, number 2102.09209, Feb.
• Tobias Hartl, 2021, "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," Papers, arXiv.org, number 2102.10067, Feb.
• Alberto Bisin & Andrea Moro, 2021, "Learning Epidemiology by Doing: The Empirical Implications of a Spatial-SIR Model with Behavioral Responses," Papers, arXiv.org, number 2102.10145, Feb, revised Jun 2021.
• Liyang Sun, 2021, "Empirical Welfare Maximization with Constraints," Papers, arXiv.org, number 2103.15298, Mar, revised Dec 2025.
• Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021, "Vector autoregression models with skewness and heavy tails," Papers, arXiv.org, number 2105.11182, May.
• Nail Kashaev & Victor H. Aguiar, 2021, "A Random Attention and Utility Model," Papers, arXiv.org, number 2105.11268, May, revised May 2022.
• Mikkel Bennedsen & Asger Lunde & Neil Shephard & Almut E. D. Veraart, 2021, "Inference and forecasting for continuous-time integer-valued trawl processes," Papers, arXiv.org, number 2107.03674, Jul, revised Feb 2023.
• Wei Li & Florentina Paraschiv & Georgios Sermpinis, 2021, "A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection," Papers, arXiv.org, number 2107.08808, Jul.
• Siddhartha Chib & Minchul Shin & Anna Simoni, 2021, "Bayesian Estimation and Comparison of Conditional Moment Models," Papers, arXiv.org, number 2110.13531, Oct.
• Joshua C. C. Chan, 2021, "Asymmetric Conjugate Priors for Large Bayesian VARs," Papers, arXiv.org, number 2111.07170, Nov.
• Dimitris Korobilis & Kenichi Shimizu, 2021, "Bayesian Approaches to Shrinkage and Sparse Estimation," Papers, arXiv.org, number 2112.11751, Dec.
• Sabyasachi Kar & Amaani Bashir & Mayank Jain, 2021, "New Approaches to Forecasting Growth and Inflation: Big Data and Machine Learning," IEG Working Papers, Institute of Economic Growth, number 446, Oct.
• Felix Brunner & Ruben Hipp, 2021, "Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers," Staff Working Papers, Bank of Canada, number 21-37, Aug, DOI: 10.34989/swp-2021-37.
• Claire Giordano & Marco Marinucci & Andrea Silvestrini, 2021, "Forecasting corporate capital accumulation in Italy: the role of survey-based information," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 596, Feb.
• Valentina Aprigliano & Simone Emiliozzi & Gabriele Guaitoli & Andrea Luciani & Juri Marcucci & Libero Monteforte, 2021, "The power of text-based indicators in forecasting the Italian economic activity," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1321, Mar.
• Maria Ludovica Drudi & Stefano Nobili, 2021, "A liquidity risk early warning indicator for Italian banks: a machine learning approach," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1337, Jun.
• Hernán Rincón-Castro & Pedro Rubiano-López & Lisseth Yaya-Garzón & Héctor M. Zárate-Solano, 2021, "Traspaso de la tasa de cambio a la inflación básica en Colombia: un análisis de parámetros cambiantes en el tiempo," Borradores de Economia, Banco de la Republica de Colombia, number 1177, Oct, DOI: 10.32468/be.1177.
• Amandine Tran, 2021, "Statistical Modelization of Overindebtedness," Working papers, Banque de France, number 807.
• Mathilde Gerardin & Martial Ranvier, 2021, "Enrichment of the Banque de France s monthly business survey: lessons from textual analysis of business leaders comments," Working papers, Banque de France, number 821.
• Florens Odendahl & Tatevik Sekhposyan & Barbara Rossi, 2021, "Evaluating Forecast Performance with State Dependence," Working Papers, Barcelona School of Economics, number 1295, Oct.
• María José Suarez & Jaume Garcia-Villar, 2021, "The Relevance of the Specification Assumptions when Modelling the Correlates of Physical Activity: an Analysis across Dimensions," Working Papers, Barcelona School of Economics, number 1296, Nov.
• Andrejs Bessonovs & Olegs Krasnopjorovs, 2021, "Short-term inflation projections model and its assessment in Latvia," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 21, issue 2, pages 184-204.
• Vrigazova Borislava, 2021, "The Proportion for Splitting Data into Training and Test Set for the Bootstrap in Classification Problems," Business Systems Research, Sciendo, volume 12, issue 1, pages 228-242, May, DOI: 10.2478/bsrj-2021-0015.
• Ksenia Mayorova & Nikita Fokin, 2021, "Nowcasting Growth Rates of Russia's Export and Import by Commodity Group," Russian Journal of Money and Finance, Bank of Russia, volume 80, issue 3, pages 34-48, September, DOI: 10.31477/rjmf.202103.34.
• Sergey Slobodyan & Raf Wouters, 2021, "Survey Expectations and Learning," Russian Journal of Money and Finance, Bank of Russia, volume 80, issue 2, pages 3-27, June, DOI: 10.31477/rjmf.202102.03.
• Roman Tikhonov & Aleksey Masyutin & Vadim Anpilogov, 2021, "The Relationship Between the Financial Performance of Banks and the Quality of Credit Scoring Models," Russian Journal of Money and Finance, Bank of Russia, volume 80, issue 2, pages 76-95, June, DOI: 10.31477/rjmf.202102.76.
• Tommaso Proietti & Alessandro Giovannelli, 2021, "Nowcasting monthly GDP with big data: A model averaging approach," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 184, issue 2, pages 683-706, April, DOI: 10.1111/rssa.12645.
• Pål Boug & Ådne Cappelen & Eilev S. Jansen & Anders Rygh Swensen, 2021, "The Consumption Euler Equation or the Keynesian Consumption Function?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 83, issue 1, pages 252-272, February, DOI: 10.1111/obes.12394.
• Don Bredin & Stilianos Fountas & Christos Savva, 2021, "Is British output growth related to its uncertainty? Evidence using eight centuries of data," Scottish Journal of Political Economy, Scottish Economic Society, volume 68, issue 3, pages 345-364, July, DOI: 10.1111/sjpe.12270.
• Jamie L. Cross & Bao H. Nguyen & Trung Duc Tran, 2021, "The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 06/2021, Nov.
• Zacharias Bragoudakis & Dimitrios Panas, 2021, "Investigating government spending multiplier for the US economy: empirical evidence using a triple lasso approach," Working Papers, Bank of Greece, number 292, Oct.
• Sahoko Furuta & Yudai Hatayama & Atsushi Kawakami & Yusuke Oh, 2021, "New Hedonic Quality Adjustment Method using Sparse Estimation," Bank of Japan Working Paper Series, Bank of Japan, number 21-E-8, Jul.
• Becker William & Paruolo Paolo & Saltelli Andrea, 2021, "Variable Selection in Regression Models Using Global Sensitivity Analysis," Journal of Time Series Econometrics, De Gruyter, volume 13, issue 2, pages 187-233, July, DOI: 10.1515/jtse-2018-0025.
• Elena Denisa Bala & Stelian Stancu, 2021, "Limiting informal economy in the context of business environment regulations. An analysis of -young- European Union members," Manager Journal, Faculty of Business and Administration, University of Bucharest, volume 33, issue 1, pages 55-66, May.
• Josué Diwambuena & Raquel Fonseca & Stefan Schubert, 2021, "Italian Labour Frictions and Wage Rigidities in an Estimated DSGE," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS88, Sep.
• Maurin Baillif & Matthieu de Lapparent & Evanthia Kazagli, 2021, "A Hybrid Approach to Real Estate Price Definition: A Case Study in Western Switzerland," Revue économique, Presses de Sciences-Po, volume 72, issue 6, pages 1055-1077.
• Palumbo, D., 2021, "Testing and Modelling Time Series with Time Varying Tails," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2111, Jan.
• Vesna Karadžić & Nikola Đalović, 2021, "Profitability Determinants of Big European Banks," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 10, issue 2, pages 39-56.
• Chou, Jenyu & Easaw, Joshy & Minford, Patrick, 2021, "Does Inattentiveness Matter for DSGE Modelling? An Empirical Investigation," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2021/35, Dec.
• Filip Stanek, 2021, "Optimal Out-of-Sample Forecast Evaluation under Stationarity," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp712, Nov.
• Douglas Silveira & Silvinha Vasconcelos & Marcelo Resende & Daniel O. Cajueiro, 2021, "Won't Get Fooled Again: A Supervised Machine Learning Approach for Screening Gasoline Cartels," CESifo Working Paper Series, CESifo, number 8835.
• Christiane Baumeister, 2021, "Measuring Market Expectations," CESifo Working Paper Series, CESifo, number 9305.
• Adam N. Smith & Stephan Seiler & Ishant Aggarwal, 2021, "Optimal Price Targeting," CESifo Working Paper Series, CESifo, number 9439.
• Tsutomu Watanabe & Tomoyoshi Yabu, 2021, "Japan’s Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Data," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-508, Feb.
• Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021, "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-09, Jan.
• Michael Mayer & Steven C. Bourassa & Martin Hoesli & Donato Scognamiglio, 2021, "Structured Additive Regression and Tree Boosting," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-83, Sep.
• Damir Filipović & Amir Khalilzadeh, 2021, "Machine Learning for Predicting Stock Return Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-95, Dec.
• Maxime Fajeau, 2021, "Too much finance or too many weak instruments?," International Economics, CEPII research center, issue 165, pages 14-36.
• Josué Diwambuena & Raquel Fonseca & Stefan Schubert, 2021, "Italian Labour Frictions and Wage Rigidities in an Estimated DSGE," CIRANO Working Papers, CIRANO, number 2021s-33, Sep.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021, "Moment tests of independent components," Working Papers, CEMFI, number wp2021_2102, Feb.
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• Ricardo Crisóstomo, 2021, "Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales," CNMV Documentos de Trabajo, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas, number CNMV Documentos de Trabaj.
• Javier Ojea-Ferreiro, 2021, "Deconstrucción del riesgo sistémico: Un método de prueba de resistencia inversa," CNMV Documentos de Trabajo, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas, number CNMV Documentos de Trabaj.
• Ricardo Crisóstomo, 2021, "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 7.
• Javier Ojea-Ferreiro, 2021, "Deconstructing systemic risk: A reverse stress testing approach," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 7.
• Nicol√°s Urdaneta Andrade, 2021, "¬øHombres "cracks" y mujeres "amables"? Sesgos de g√©nero en encuestas de profesores," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 19557, Aug.
• Smith, Adam & Seiler, Stephan & Aggarwal, Ishant, 2022, "Optimal Price Targeting," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 16096, Jul.
• Schorfheide, Frank & Chang, Minsu & Chen, Xiaohong, 2021, "Heterogeneity and Aggregate Fluctuations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 16183, May.
• Giacomini, Raffaella & Kitagawa, Toru & Read, Matthew, 2021, "Robust Bayesian Analysis for Econometrics," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 16488, Aug.
• Baumeister, Christiane, 2021, "Measuring Market Expectations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 16520, Sep.
• Kilian, Lutz, 2021, "Comment on Giacomini, Kitagawa and Read’s ‘Narrative Restrictions and Proxies’," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 16818, Dec.
• Zea Bermúdez, Patricia de & Marín Díazaraque, Juan Miguel & Rue, Havard & Veiga, Helena, 2021, "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31804, Jan.
• Minsu Chang & Xiaohong Chen & Frank Schorfheide, 2021, "Heterogeneity and Aggregate Fluctuations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2289, May.
• Тодор Кръстевич, 2021, "Моделиране На Вероятностния Избор При Покупка," Scientific Research Almanac, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, volume 29, issue 1 Year 20, pages 5-47.
• Simplice A. Asongu & Rexon T. Nting, 2021, "The Mobile Phone in Governance for Environmental Sustainability in Sub-Saharan Africa," Journal of Africa SEER Centre(ASC), Africa SEER Centre(ASC), number 21/013, Jan.
• Simplice A. Asongu & Tii N. Nchofoung, 2021, "The terrorism-finance nexus contingent on globalisation and governance dynamics in Africa," Journal of Africa SEER Centre(ASC), Africa SEER Centre(ASC), number 21/022, Mar.
• Jan Philipp Fritsche, 2021, "Labor-Intensive Firms Are a Catalyst for Monetary Policy and Its Distributive Effects," DIW Weekly Report, DIW Berlin, German Institute for Economic Research, volume 11, issue 35/36, pages 261-266.
• Armin Varmaz & Katharina Riebe & Sabrina Hegner, 2021, "Sustainable Financial Literacy and Preferences for Sustainable Investments among Young Adults," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 90, issue 4, pages 43-69, DOI: 10.3790/vjh.90.4.43.
• Jan Philipp Fritsche, 2021, "Arbeitsintensive Unternehmen sind ein Katalysator für Geldpolitik und ihre Verteilungseffekte," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 88, issue 36, pages 587-592.
• Jan Philipp Fritsche & Lea Steininger, 2021, "Zooming in on Monetary Policy - The Labor Share and Production Dynamics of Two Million Firms," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1967.
• Marica Valente, 2021, "Policy Evaluation of Waste Pricing Programs Using Heterogeneous Causal Effect Estimation," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1980.
• Nickel, Christiane & Fröhling, Annette & Álvarez, Luis J. & Willeke, Caroline & Zevi, Giordano & Osbat, Chiara & Ganoulis, Ioannis & Koester, Gerrit & Lis, Eliza & Peronaci, Romana & Hahn, Elke & Beka, 2021, "Inflation measurement and its assessment in the ECB’s monetary policy strategy review," Occasional Paper Series, European Central Bank, number 265, Sep.
• Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2021, "Economic predictions with big data: the illusion of sparsity," Working Paper Series, European Central Bank, number 2542, Apr.
• Korobilis, Dimitris & Landau, Bettina & Musso, Alberto & Phella, Anthoulla, 2021, "The time-varying evolution of inflation risks," Working Paper Series, European Central Bank, number 2600, Oct.
• Anton Lisin & Tomonobu Senjyu, 2021, "Renewable Energy Transition: Evidence from Spillover Effects in Exchange-Traded Funds," International Journal of Energy Economics and Policy, Econjournals, volume 11, issue 3, pages 184-190.
• Chaido Dritsaki & Dimitrios Niklis & Pavlos Stamatiou, 2021, "Oil Consumption Forecasting using ARIMA Models: An Empirical Study for Greece," International Journal of Energy Economics and Policy, Econjournals, volume 11, issue 4, pages 214-224.
• Bosede Ngozi Adeleye & Darlington Akam & Nasiru Inuwa & Muftau Olarinde & Victoria Okafor & Ifeoluwa Ogunrinola & Paul Adekola, 2021, "Investigating Growth-Energy-Emissions Trilemma in South Asia," International Journal of Energy Economics and Policy, Econjournals, volume 11, issue 5, pages 112-120.
• Chung, Hess & Fuentes-Albero, Cristina & Paustian, Matthias & Pfajfar, Damjan, 2021, "Latent variables analysis in structural models: A New decomposition of the kalman smoother," Journal of Economic Dynamics and Control, Elsevier, volume 125, issue C, DOI: 10.1016/j.jedc.2021.104097.
• Berger, Tino & Everaert, Gerdie & Pozzi, Lorenzo, 2021, "Testing for international business cycles: A multilevel factor model with stochastic factor selection," Journal of Economic Dynamics and Control, Elsevier, volume 128, issue C, DOI: 10.1016/j.jedc.2021.104134.
• Castle, Jennifer L. & Kurita, Takamitsu, 2021, "A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts," Journal of Economic Dynamics and Control, Elsevier, volume 128, issue C, DOI: 10.1016/j.jedc.2021.104139.
• Belomestny, Denis & Krymova, Ekaterina & Polbin, Andrey, 2021, "Bayesian TVP-VARX models with time invariant long-run multipliers," Economic Modelling, Elsevier, volume 101, issue C, DOI: 10.1016/j.econmod.2021.105531.
• Lehrer, Steven & Xie, Tian & Zhang, Xinyu, 2021, "Social media sentiment, model uncertainty, and volatility forecasting," Economic Modelling, Elsevier, volume 102, issue C, DOI: 10.1016/j.econmod.2021.105556.
• Lagomarsino, Elena, 2021, "Which nesting structure for the CES? A new selection approach based on input separability," Economic Modelling, Elsevier, volume 102, issue C, DOI: 10.1016/j.econmod.2021.105562.
• Cross, Jamie L. & Hou, Chenghan & Trinh, Kelly, 2021, "Returns, volatility and the cryptocurrency bubble of 2017–18," Economic Modelling, Elsevier, volume 104, issue C, DOI: 10.1016/j.econmod.2021.105643.
• Liu, Ding & Sun, Weihong & Chang, Long, 2021, "Monetary–fiscal policy regime and macroeconomic dynamics in China," Economic Modelling, Elsevier, volume 95, issue C, pages 121-135, DOI: 10.1016/j.econmod.2020.12.007.
• Ouyang, Zi-sheng & Yang, Xi-te & Lai, Yongzeng, 2021, "Systemic financial risk early warning of financial market in China using Attention-LSTM model," The North American Journal of Economics and Finance, Elsevier, volume 56, issue C, DOI: 10.1016/j.najef.2021.101383.
• Figà-Talamanca, Gianna & Focardi, Sergio & Patacca, Marco, 2021, "Regime switches and commonalities of the cryptocurrencies asset class," The North American Journal of Economics and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.najef.2021.101425.
• Bastianin, Andrea & Manera, Matteo, 2021, "A test of symmetry based on L-moments with an application to the business cycles of the G7 economies," Economics Letters, Elsevier, volume 198, issue C, DOI: 10.1016/j.econlet.2020.109662.
• Qiu, Yue, 2021, "Complete subset least squares support vector regression," Economics Letters, Elsevier, volume 200, issue C, DOI: 10.1016/j.econlet.2021.109737.
• Ciccarelli, Matteo & García, Juan Angel, 2021, "Expectation spillovers and the return of inflation," Economics Letters, Elsevier, volume 209, issue C, DOI: 10.1016/j.econlet.2021.110119.
• Lee, Sokbae & Liao, Yuan & Seo, Myung Hwan & Shin, Youngki, 2021, "Sparse HP filter: Finding kinks in the COVID-19 contact rate," Journal of Econometrics, Elsevier, volume 220, issue 1, pages 158-180, DOI: 10.1016/j.jeconom.2020.08.008.
• Perera, Indeewara & Silvapulle, Mervyn J., 2021, "Bootstrap based probability forecasting in multiplicative error models," Journal of Econometrics, Elsevier, volume 221, issue 1, pages 1-24, DOI: 10.1016/j.jeconom.2020.01.022.
• Smeekes, Stephan & Wijler, Etienne, 2021, "An automated approach towards sparse single-equation cointegration modelling," Journal of Econometrics, Elsevier, volume 221, issue 1, pages 247-276, DOI: 10.1016/j.jeconom.2020.07.021.
• Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021, "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 364-392, DOI: 10.1016/j.jeconom.2020.07.006.
• Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021, "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 451-467, DOI: 10.1016/j.jeconom.2020.07.010.
• Meitz, Mika & Saikkonen, Pentti, 2021, "Testing for observation-dependent regime switching in mixture autoregressive models," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 601-624, DOI: 10.1016/j.jeconom.2020.04.048.
• Delgado, Miguel A. & Arteaga-Molina, Luis A., 2021, "Testing constancy in varying coefficient models," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 625-644, DOI: 10.1016/j.jeconom.2020.07.041.
• Sun, Yuying & Hong, Yongmiao & Lee, Tae-Hwy & Wang, Shouyang & Zhang, Xinyu, 2021, "Time-varying model averaging," Journal of Econometrics, Elsevier, volume 222, issue 2, pages 974-992, DOI: 10.1016/j.jeconom.2020.02.006.
• Heiler, Phillip & Mareckova, Jana, 2021, "Shrinkage for categorical regressors," Journal of Econometrics, Elsevier, volume 223, issue 1, pages 161-189, DOI: 10.1016/j.jeconom.2020.07.051.