## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ C: Mathematical and Quantitative Methods

/ / C5: Econometric Modeling

/ / /

**C52: Model Evaluation, Validation, and Selection**

**This JEL code is mentioned in the follow RePEc Biblio entries:**

**This topic is covered by the following reading lists:**

Most recent items first, undated at the end.

**Estimating a Falsified Model: Some Impossibility Theorems**

*by*Andrew J. Buck & George M. Lady

**Multivariate Forecasting with BVARs and DSGE Models**

*by*Berg, Tim Oliver

**Correlation and efficiency of propensity score-based estimators for average causal effects**

*by*Pingel, Ronnie & Waernbaum, Ingeborg

**Accuracy and Poverty Impacts of Proxy Means-Tested Transfers: An Empirical Assessment for Bolivia**

*by*Stephan Klasen & Simon Lange

**How is credit scoring used to predict default in China?**

*by*Ha-Thu Nguyen

**Model Misspecification and Relaxing Rational Expectations**

*by*Lance Kent

**Small sample performance of indirect inference on DSGE models**

*by*Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael R.

**Prediciendo decisiones de agentes económicos: ¿Cómo determina el Banco de la República de Colombia la tasa de interés?**

*by*Gustavo Nicolás Páez

**Can a data-rich environment help identify the sources of model misspecification?**

*by*Francesca Monti

**Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models**

*by*Jan Frederik Kiviet & Milan Pleus & Rutger Poldermans

**Small sample performance of indirect inference on DSGE models**

*by*Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael

**Conditional determinants of FDI in fast emerging economies: an instrumental quantile regression approach**

*by*Simplice Asongu & Oasis Kodila-Tedika

**Drivers of FDI in Fast Growing Developing Countries: Evidence from Bundling and Unbundling Governance**

*by*Simplice Asongu & Jacinta C. Nwachukwu

**Averaging Across Asset Allocation Models**

*by*Peter Schanbacher

**Measuring the liquidity part of volume**

*by*Darolles, Serge & Fol, Gaëlle Le & Mero, Gulten

**Robustness of distance-to-default**

*by*Jessen, Cathrine & Lando, David

**Tests for overidentifying restrictions in Factor-Augmented VAR models**

*by*Han, Xu

**Econometric cross-country analysis of the living population social comfort**

*by*Leshchaykina, Marina

**La cópula GED bivariada. Una aplicación en entornos de crisis**

*by*Mendoza, Alfonso. & Galvanovskis, Evalds.

**Specifying parameters in computable general equilibrium models using optimal fingerprint detection methods**

*by*Koesler, Simon

**Structural labor supply models and wage exogeneity**

*by*Löffler, Max & Peichl, Andreas & Siegloch, Sebastian

**Assessing the Macroeconomic Forecasting Performance of Boosting**

*by*Wohlrabe, Klaus & Teresa, Buchen

**A score-test on measurement errors in rating transition times**

*by*Rafael Weißbach, Rafael & Voß, Sebastian

**Outperforming IMF Forecasts by the Use of Leading Indicators**

*by*Drechsel, Katja & Giesen, Sebastian & Lindner, Axel

**Monitoring Stationarity and Cointegration**

*by*Wagner, Martin & Wied, Dominik

**China's national production function since 1997: A reinvestigation**

*by*Zhu, Yanyuan & Feng, Xiao

**Testing for near I(2) trends when the signal to noise ratio is small**

*by*Juselius, Katarina

**Modeling dynamics of metal price series via state space approach with two common factors**

*by*Golosnoy, Vasyl & Rossen, Anja

**On the degree of homogeneity in dynamic heterogeneous panel data models**

*by*Offermanns, Christian J.

**Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte**

*by*Krasnosselski, Nikolai & Cremers, Heinz & Sanddorf, Walter

**Bank's strategies during the financial crisis**

*by*Recchioni, Maria Cristina & Tedeschi, Gabriele & Berardi, Simone

**Do media data help to predict German industrial production?**

*by*Kholodilin, Konstantin A. & Thomas, Tobias & Ulbricht, Dirk

**Impulse response matching estimators for DSGE models**

*by*Guerron-Quintana, Pablo & Inoue, Atsushi & Kilian, Lutz

**Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models**

*by*Warne, Anders & Coenen, Günter & Christoffel, Kai

**Identification of prior information via moment-matching**

*by*Sacht, Stephen

**Updating the option implied probability of default methodology**

*by*Vilsmeier, Johannes

**Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing**

*by*JIN SEO CHO & HALBERT WHITE

**Evaluating the performance of VaR models in energy markets**

*by*Sasa Zikovic & Rafal Weron & Ivana Tomas Zikovic

**The Impact of Brazilian Regional Development Funds on Regional Economic Growth: A spatial panel approach**

*by*Guilherme Resende & Tulio Cravo & Alexandre Carvalho

**Power laws in citation distributions: Evidence from Scopus**

*by*Michał Brzeziński

**Empirical modeling of the impact factor distribution**

*by*Michał Brzeziński

**Modelización econométrica de la demanda de turistas británicos a España**

*by*Marcos Álvarez-Díaz & Manuel González-Gómez & María Soledad Otero-Giráldez & Ana Belén Trigo Iglesias

**Precious Metals Under the Microscope: A High-Frequency Analysis**

*by*Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G.

**Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability**

*by*Buncic, Daniel & Piras, Gion Donat

**Forecasting Copper Prices with Dynamic Averaging and Selection Models**

*by*Buncic, Daniel & Moretto, Carlo

**Model comparisons in unstable environments**

*by*Raffaella Giacomini & Barbara Rossi

**Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts**

*by*Barbara Rossi & Tatevik Sekhposyan

**Alternative tests for correct specification of conditional predictive densities**

*by*Barbara Rossi & Tatevik Sekhposyan

**A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process**

*by*Christian M. Hafner & Michael McAleer

**On the Invertibility of EGARCH**

*by*Guillaume Gaetan Martinet & Michael McAleer

**A statistical test for forecast evaluation under a discrete loss function**

*by*Francisco Javier Eransus & Alfonso Novales Cinca

**Parameter Estimation Error in Tests of Predictive Performance under Discrete Loss Functions**

*by*Francisco Javier Eransus & Alfonso Novales Cinca

**A One Line Derivation of EGARCH**

*by*Michael McAleer & Christian M. Hafner

**Incorrectly accounting for preference heterogeneity in choice experiments: what are the implications for welfare measurement?**

*by*Catalina M. Torres & Sergio Colombo & Nick Hanley

**A Significance Test for Covariates in Nonparametric Regression**

*by*Lavergne, Pascal & Maistre, Samuel & Patilea, Valentin

**Powerful nonparametric checks for quantile regression**

*by*Maistre, Samuel & Lavergne, Pascal & Patilea, Valentin

**A New Approach to Model Verification, Falsification and Selection**

*by*Andrew J. Buck & George M. Lady

**Openness to International Trade and Economic Growth : A Cross-Country Empirical Investigation**

*by*Bulent Ulasan

**The Risk Return Relationship: Evidence from Index Return and Realised Variance Series**

*by*Minxian Yang

**CES Technology and Business Cycle Fluctuations**

*by*Cristiano Cantore & Paul Levine & Joseph Pearlman & Bo Yang

**Model uncertainty in panel vector autoregressive models**

*by*Gary Koop & Dimitris Korobilis

**Incorrectly accounting for preference heterogeneity in choice experiments: what are the implications for welfare measurement?**

*by*Cati Torres & Sergio Colombo & Nick Hanley

**Quasi-Bayesian Model Selection**

*by*Atsushi Inoue & Mototsugu Shintania

**Jackknife Model Averaging for Quantile Regressions**

*by*Xun Lu & Liangjun Su

**A Combined Approach to the Inference of Conditional Factor Models**

*by*Yan Li & Liangjun Su & Yuewu Xu

**Inverting a matrix function around a singularity via local rank factorization**

*by*Massimo Franchi & Paolo Paruolo

**Modelling Stock Return Volatility Dynamics in Selected African Markets**

*by*Daniel King and Ferdi Botha

**Consistent Pretesting for Jumps**

*by*Valentina Corradi & Mervyn J. Silvapulle & Norman Swanson

**Testing for nonlinearity of the relationship between stock prices and exchange rate in Romania**

*by*Saman, Corina

**Forecast Models for Private Consumption**

*by*Peussa, Aleksandr

**The Predictive Performance of Fundamental Inflation Concepts: An Application to the Euro Area and the United States**

*by*Stephen McKnight & Alexander Mihailov & Kerry Patterson & Fabio Rumler

**La relación entre los ciclos discretos en la inflación y el crecimiento: Perú 1993 - 2012**

*by*Barrera, Carlos

**DSGE Priors for BVAR Models**

*by*Thomai Filippeli & Konstantinos Theodoridis

**How Relevant is the Choice of Risk Management Control Variable to Non-parametric Bank Profit Efficiency Analysis?**

*by*Richard Simper & Maximilian J.B. Hall & Wenbin B. Liu & Valentin Zelenyuk & Zhongbao Zhou

**Has US Household Deleveraging Ended? A Model-Based Estimate of Equilibrium Debt**

*by*Bruno Albuquerque & Ursel Baumann & Georgi Krustev

**Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)**

*by*Ezzat, Hassan & Kirkulak, Berna

**Rainfall Drought Simulating Using Stochastic SARIMA Models for Gadaref Region, Sudan**

*by*Moahmed Hassan, Hisham & Mahgoub Mohamed, Tariq

**La relación entre los ciclos discretos en la inflación y el crecimiento: Perú 1993-2012**

*by*Barrera-Chaupis, Carlos

**Taille Optimale De L’Etat En Rd Congo**

*by*LONZO LUBU, Gastonfils

**Valid confidence intervals for post-model-selection predictors**

*by*Bachoc, Francois & Leeb, Hannes & Pötscher, Benedikt M.

**Classical Theory of Investment. Panel Cointegration Evidence from Thirteen EU Countries**

*by*Alexiou, Constantinos & Tsaliki, Persefoni & Tsoulfidis, Lefteris

**The small multiple in econometrics – a redesign**

*by*Klein, Torsten L.

**Communicating quantitative information: tables vs graphs**

*by*Klein, Torsten L.

**The Modi ed R a Robust Measure of Association for Time Series**

*by*Rehman, Atiq-ur- & Malik, Muhammad Irfan

**Macro Stress-Testing Credit Risk in Romanian Banking System**

*by*Ruja, Catalin

**Model Uncertainty in Panel Vector Autoregressive Models**

*by*Koop, Gary & Korobilis, Dimitris

**A fast-forward look at tertiary education attainment in Europe 2020**

*by*Dragomirescu-Gaina, Catalin & Elia, Leandro & Weber, Anke

**International portfolio allocation with European fixed-income funds: What scope for Italian funds?**

*by*Zagaglia, Paolo

**Analysis of deviance in household financial portfolio choice: evidence from Spain**

*by*Callado Muñoz, Francisco Jose & González Chapela, Jorge & Utrero González, Natalia

**Determinants of Tax Morale in Spain and Turkey: An Empirical Analysis**

*by*Bilgin, Cevat

**Dynamic modeling of commodity futures prices**

*by*Karapanagiotidis, Paul

**Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization**

*by*Sinha, Pankaj & Agnihotri, Shalini

**The seeming unreliability of rank-ordered data as a consequence of model misspecification**

*by*Yan, Jin & Yoo, Hong Il

**Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models**

*by*Albis, Manuel Leonard F. & Mapa, Dennis S.

**Forecasting Time-Varying Correlation using the Dynamic Conditional Correlation (DCC) Model**

*by*Mapa, Dennis S. & Paz, Nino Joseph I. & Eustaquio, John D. & Mindanao, Miguel Antonio C.

**The Effect of Governance and Political Instability Determinants on Inflation in Iran**

*by*Khani Hoolari, Seyed Morteza & Abounoori, Abbas Ali & Mohammadi, Teymour

**Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks**

*by*Nonejad, Nima

**Theoretical guidelines for a partially informed forecast examiner**

*by*Tsyplakov, Alexander

**Model Averaging in Predictive Regressions**

*by*Liu, Chu-An & Kuo, Biing-Shen

**Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates**

*by*Zhu, Ke & Li, Wai Keung & Yu, Philip L.H.

**Data-based priors for vector autoregressions with drifting coefficients**

*by*Korobilis, Dimitris

**Proposed Coal Power Plants and Coal-To-Liquids Plants: Which Ones Survive and Why?**

*by*Dean Fantazzini & Mario Maggi

**News and Labor Market Dynamics in the Data and in Matching Models**

*by*Francesco Zanetti & Konstantinos Theodoridis

**Measuring the Sensitivity of Parameter Estimates to Sample Statistics**

*by*Matthew Gentzkow & Jesse M. Shapiro

**The Great Mortgaging: Housing Finance, Crises, and Business Cycles**

*by*Òscar Jordà & Moritz Schularick & Alan M. Taylor

**Inflation in the Great Recession and New Keynesian Models**

*by*Marco Del Negro & Marc P. Giannoni & Frank Schorfheide

**Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities**

*by*Xu Cheng & Zhipeng Liao & Frank Schorfheide

**Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models**

*by*Jan F. Kiviet & Milan Pleus & Rutger Poldermans

**Land Use in Rural New Zealand: Spatial Land Use, Land-use Change, and Model Validation**

*by*Simon Anastasiadis & Suzi Kerr & Wei Zhang & Corey Allan & William Power

**Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models**

*by*Firmin DOKO TCHATOKA & Jean-Marie DUFOUR

**On The Theory and Practice of Singular Spectrum Analysis Forecasting**

*by*M. Atikur Rahman Khan & D.S. Poskitt

**A Computational Implementation of GMM**

*by*Jiti Gao & Han Hong

**A Model Validation Procedure**

*by*Julia Polak & Maxwell L. King & Xibin Zhang

**Bias Correction of Persistence Measures in Fractionally Integrated Models**

*by*Simone D. Grose & Gael M. Martin & D.S. Poskitt

**Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes**

*by*K. Nadarajah & Gael M. Martin & D.S. Poskitt

**Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap**

*by*D.S. Poskitt & Gael M. Martin & Simone D. Grose

**ICT and Non-ICT investments: short and long run macro dynamics**

*by*Fabio Bacchini & Maria Elena Bontempi & Roberto Golinelli & Cecilia Jona-Lasinio

**Focused Information Criterion for Series Estimation in Partially Linear Models**

*by*Naoya Sueishi & Arihiro Yoshimura

**Optimal hedging with the cointegrated vector autoregressive model**

*by*Søren Johansen & Bent Nielsen

**The Swiss “Job Miracle”**

*by*Michael Siegenthaler & Michael Graff & Massimo Mannino

**Forecasting Aggregates with Disaggregate Variables: Does Boosting Help to Select the Most Relevant Predictors?**

*by*Jing Zeng

**Bayesian Analysis of Dynamic Factor Models: An Ex-Post Approach towards the Rotation Problem**

*by*Christian Aßmann & Jens Boysen-Hogrefe & Markus Pape

**Accuracy of proposers' beliefs in an allocation-type game**

*by*Federica Alberti & Anna Conte & Kei Tsutsui

**Bayesian Treatment Effects Models with Variable Selection for Panel Outcomes with an Application to Earnings Effects of Maternity Leave**

*by*Liana Jacobi & Helga Wagner & Sylvia Frühwirth-Schnatter

**Dual Labour Markets and (Lack of) On-the-Job Training: PIAAC Evidence from Spain and Other EU Countries**

*by*Cabrales, Antonio & Dolado, Juan J. & Mora, Ricardo

**Structural Labor Supply Models and Wage Exogeneity**

*by*Loeffler, Max & Peichl, Andreas & Siegloch, Sebastian

**Matching Methods in Practice: Three Examples**

*by*Imbens, Guido W.

**Outperforming IMF Forecasts by the Use of Leading Indicators**

*by*Katja Drechsel & S. Giesen & Axel Lindner

**Out-Of-Sample Comparisons of Overfit Models**

*by*Calhoun, Gray

**The Misspecification of Expectations in New Keynesian Models: A DSGE-VAR Approach**

*by*Stephen Cole & Fabio Milani

**Dependence of stock and commodity futures markets in China: implications for portfolio investment**

*by*Shawkat Hammoudeh & Duc Khuong Nguyen & Juan Carlos Reboredo & Xiaoqian Wen

**Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?**

*by*Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen

**A wavelet-based copula approach for modeling market risk in agricultural commodity markets**

*by*RIADH ALOUI & MOHAMED SAFOUANE BEN AISSA & DUC KHUONG NGUYEN

**Oil prices and MENA stock markets:New evidence from nonlinear and asymmetric causalities during and after the crisis period**

*by*Ahdi Noomen Ajmi & Ghassen El Montasser & Shawkat Hammoudeh & Duc Khuong Nguyen

**Visualizing Count Data Regressions Using Rootograms**

*by*Christian Kleiber & Achim Zeileis

**Commodity Price Booms and Breaks: Detection, Magnitude and Implications for Developing Countries**

*by*Rodrigo Mariscal & Andrew Powell

**A Bayesian Approach to Modelling Bivariate Time-Varying Cointegration and Cointegrating Rank**

*by*Chew Lian Chua & Sarantis Tsiaplias

**Forecasting with a mismatch-enhanced labor market matching function**

*by*Hutter, Christian & Weber, Enzo

**Simultaneous Confidence Corridors and Variable Selection for Generalized Additive Models**

*by*Shuzhuan Zheng & Rong Liu & Lijian Yang & Wolfgang Karl HÃ¤rdle

**The Great Mortgaging: Housing Finance, Crises, and Business Cycles**

*by*Oscar Jorda & Moritz Schularick & Alan M. Taylor

**Analysing Mechanisms for Meeting Global Emissions Target - A Dynamical Systems Approach**

*by*Ranganathan, Shyam & Bali Swain, Ranjula

**A Dynamical Systems Approach To Modeling Human Development**

*by*Ranganathan, Shyam & Bali Swain, Ranjula & Sumpter, David

**http://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2014/memo-27-2014.pdf**

*by*Biørn, Erik

**Model Order Selection in Seasonal/Cyclical Long Memory Models**

*by*Leschinski, Christian & Sibbertsen, Philipp

**Model Risk in Backtesting Risk Measures**

*by*Evers, Corinna & Rohde, Johannes

**An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area**

*by*Xiaoshan Chen & Tatiana Kirsanova & Campbell Leith

**Model uncertainty in panel vector autoregressive models**

*by*Gary Koop & Dimitris Korobilis

**Data-based priors for vector autoregressions with drifting coefficients**

*by*Dimitris Korobilis

**Comparing Mobile Communication Service Prices Among Providers: A Hedonic Approach**

*by*Schöni, Olivier & Seger, Lukas

**What predicts U.S. recessions?**

*by*Liu, Weiling & Moench, Emanuel

**Evaluating Conditional Forecasts from Vector Autoregressions**

*by*Clark, Todd E. & McCracken, Michael W.

**The great mortgaging: housing finance, crises, and business cycles**

*by*Jorda, Oscar & Schularick, Moritz & Taylor, Alan M.

**Can spanned term structure factors drive stochastic yield volatility?**

*by*Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D.

**Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach**

*by*Bognanni, Mark & Herbst, Edward

**Evaluating Conditional Forecasts from Vector Autoregressions**

*by*Clark, Todd E. & McCracken, Michael W.

**Does Regression Discontinuity Design Work? Evidence from Random Election Outcomes**

*by*Janne Tukiainen & Tuukka Saarimaa & Ari Hyytinen & Jaakko Meriläinen & Otto Toivanen

**Funzioni di domanda ed implicazioni di policy: un’applicazione al caso del Reddito di Garanzia**

*by*Claudio Daminato & Nadir Zanini

**The Impact of the 'Free Choice' Work/Family Reforms of France and Belgium. A Synthetic Control Analysis**

*by*Federico Podestà

**Range-based Volatility Estimation and Forecasting**

*by*Daniel Bencik

**Bayesian default probability models**

*by*Petra Andrlíková

**On the Invertibility of EGARCH**

*by*Martinet, G.G. & McAleer, M.J.

**A One Line Derivation of EGARCH**

*by*McAleer, M.J. & Hafner, C.M.

**The Gender Wage Gap and Sample Selection via Risk Attitudes**

*by*Seeun Jung

**Estimating US fiscal and monetary interactions in a time varying VAR**

*by*Eddie Gerba & Klemens Hauzenberger

**Mismatch Shocks and Unemployment During the Great Recession**

*by*Francesco Furlanetto & Nicolas Groshenny

**Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion**

*by*Joshua C.C. Chan & Angelia L. Grant

**Stochastic Model Specification Search for Time-Varying Parameter VARs**

*by*Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan

**Fast Computation of the Deviance Information Criterion for Latent Variable Models**

*by*Joshua C.C. Chan & Angelia L. Grant

**Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks**

*by*Matteo Luciani

**Default Predictors in Credit Scoring - Evidence from France’s Retail Banking Institution**

*by*Ha-Thu Nguyen

**Log versus Level in VAR Forecasting: 42 Million Empirical Answers - Expect the Unexpected**

*by*Johannes Mayr & Dirk Ulbricht

**Do Media Data Help to Predict German Industrial Production?**

*by*Konstantin A. Kholodilin & Tobias Thomas & Dirk Ulbricht

**Unconventional Monetary Policy and Money Demand**

*by*Christian Dreger & Jürgen Wolters

**The Effects of Family Policy on Mothers' Labor Supply: Combining Evidence from a Structural Model and a Natural Experiment**

*by*Johannes Geyer & Peter Haan & Katharina Wrohlich

**Structural Labor Supply Models and Wage Exogeneity**

*by*Max Löffler & Andreas Peichl & Sebastian Siegloch

**The Effects of Family Policy on Mothers' Labor Supply: Combining Evidence from a Structural Model and a Natural Experiment**

*by*Johannes Geyer & Peter Haan & Katharina Wrohlich

**On The Long-Term Macroeconomic Effects Of Social Security Spending:Evidence For 12 Eu Countries**

*by*Alfredo Marvão Pereira & Jorge M. Andraz

**Specification Tests for Nonlinear Dynamic Models**

*by*Igor Kheifets

**Identification of DSGE Models - the Effect of Higher-Order Approximation and Pruning**

*by*Willi Mutschler

**Joint Confidence Sets for Structural Impulse Responses**

*by*Inoue, Atsushi & Kilian, Lutz

**Impulse Response Matching Estimators for DSGE Models**

*by*Guerron-Quintana, Pablo A. & Inoue, Atsushi & Kilian, Lutz

**Dual Labour Markets and (Lack of) On-The-Job Training: PIAAC Evidence from Spain and Other EU Countries**

*by*Cabrales, Antonio & Dolado, Juan J. & Mora, Ricardo

**Economic theory and forecasting: lessons from the literature**

*by*Giacomini, Raffaella

**Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters**

*by*Inoue, Atsushi & Jin, Lu & Rossi, Barbara

**The Great Mortgaging: Housing Finance, Crises, and Business Cycles**

*by*Jordà, Òscar & Schularick, Moritz & Taylor, Alan M.

**Choosing the variables to estimate singular DSGE models: Comment**

*by*Nikolay, Iskrev

**The effectiveness of fiscal stimuli for working parents**

*by*Henk-Wim de Boer & Egbert Jongen & Jan Kabatek

**Time variation in the dynamic effects of unanticipated changes in tax policy**

*by*Joris de Wind

**Reduced-rank time-varying vector autoregressions**

*by*Joris de Wind & Luca Gambetti

**Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition**

*by*YANG, Yukai

**Pronósticos para una economía menos volátil: El caso colombiano**

*by*Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado

**Banking Fragility in Colombia: An Empirical Analysis Based on Balance Sheets**

*by*Ignacio Lozano & Alexander Guarín

**Uso de la Metodología Wavelets para la Validación de la Regla de la Raíz del Tiempo y su Aplicación al Riesgo de Mercado**

*by*Javier Eliecer Pirateque Niño

**Neglected Serial Correlation Tests In Ucarima Models**

*by*Gabriele Fiorentini & Enrique Sentana

**Identification-robust inference for endogeneity parameters in linear structural models**

*by*Firmin Doko Tchatoka & Jean-Marie Dufour

**On the Long-Term Macroeconomic Effects of Social Security Spending: Evidence for 12 EU Countries**

*by*Alfredo M. Pereira & Jorge M. Andraz

**The Great Mortgaging: Housing Finance, Crises, and Business Cycles**

*by*Òscar Jordà & Moritz Schularick & Alan M. Taylor

**Point and Density Forecasts for the Euro Area Using Bayesian VARs**

*by*Tim Oliver Berg & Steffen Henzel

**Regularization for Spatial Panel Time Series Using the Adaptive LASSO**

*by*Clifford Lam & Pedro Souza

**Asymmetry and Leverage in Conditional Volatility Models**

*by*Michael McAleer

**On the Invertibility of EGARCH**

*by*Guillaume Gaetan Martinet & Michael McAleer

**A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process**

*by*Christian M. Hafner & Michael McAleer

**A One Line Derivation of EGARCH**

*by*Michael McAleer & Christian M. Hafner

**Does Weather Have an Impact on Electricity Distribution Efficiency? Evidence from South America**

*by*Karim L. Anaya & Michael G. Pollitt

**ICT and Non-ICT investments: short and long run macro dynamics**

*by*F. Bacchini & M. E. Bontempi & R. Golinelli & C. Jona Lasinio

**News and labour market dynamics in the data and in matching models**

*by*Theodoridis, Konstantinos & Zanetti, Francesco

**Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry**

*by*Jose Olmo & William Pouliot

**Model Comparisons in Unstable Environments**

*by*Raffaella Giacomini & Barbara Rossi

**Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters**

*by*Atsushi Inoue & Lu Jin & Barbara Rossi

**Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts**

*by*Barbara Rossi & Tatevik Sekhposyany

**Alternative Tests for Correct Specification of Conditional Predictive Densities**

*by*Barbara Rossi & Tatevik Sekhposyan

**Specification Analysis of International Treasury Yield Curve Factors**

*by*Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L.

**International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment**

*by*Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L.

**New estimate of the MIBA forecasting model. Modeling first-release GDP using the Banque de France's Monthly Business Survey and the “blocking” approach**

*by*Mogliani, M. & Brunhes-Lesage, V. & Darné, O. & Pluyaud, B.

**Putting Structure on the RD Design: Social Transfers and Youth Inactivity in France**

*by*Olivier Bargain & Karina Doorley

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*by*Young-Bae Kim

**Neural Network Models for Inflation Forecasting: An Appraisal**

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**The Sub-Prime Crisis and UK Monetary Policy**

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**The Small Open-Economy New Keynesian Phillips Curve: Empirical Evidence and Implied Inflation Dynamics**

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*by*Adam Clements & A S Hurn & K A Lindsay

**Estimating the Payoffs of Temperature-based Weather Derivatives**

*by*Adam Clements & A S Hurn & K A Lindsay

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*by*T M Christensen & A S Hurn & K A Lindsay

**Forecasting investment: A fishing contest using survey data**

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**The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach**

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**Extracting the Cyclical Component in Hours Worked: a Bayesian Approach**

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**Modeling Expectations with Noncausal Autoregressions**

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**Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets**

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**A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)**

*by*Buncic, Daniel

**Using sentiment to predict GDP growth and stock returns**

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**Real Exchange Rate Behavior: New Evidence with Linear and Non-linear Endogenous Break(s)**

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*by*Abderrazik, Amal & Boutkardine, Mehdi & El Bahi, Nour El Houda & Kartoubi, Salah Eddine & El Bouhadi, Abdelhamid

**Using Artificial intelligence to select the optimal E-CRM Based business needs**

*by*Amroush, Fadi & Baderddeen, Alkhoder & Yusef, Talal

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*by*El Bouhadi, A. & Elkhider, Abdelkader & Kchirid, El Mustapha & Idriss, El Abbassi

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*by*Blache, Guillaume

**Range-Based Models in Estimating Value-at-Risk (VaR)**

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**Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca**

*by*El Bouhadi, A. & Ounir, A. & El Maguiri, M.

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**Structural Breaks, Regime Change and Asymmetric Adjustment: A Short and Long Run Global Approach to the Output/Unemployment Dynamics**

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**Bayesian Analysis of DSGE Models with Regime Switching**

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**The Differential Approach to Demand Analysis and the Rotterdam Model**

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**Measuring Consumer Preferences and Estimating Demand Systems**

*by*Barnett, William A. & Serletis, Apostolos

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*by*Rossi, Eduardo & Spazzini, Filippo

**Empirical assessment of bifurcation regions within new Keynesian models**

*by*Barnett, William A. & Duzhak, Evgeniya A.

**The non-stationary influence of geography on the spatial agglomeration of production in the EU**

*by*Chasco, Coro & López, Ana María & Guillain, Rachel

**Determining the Number of Market Segments Using an Experimental Design**

*by*Ana Oliveira-Brochado & Francisco Vitorino Martins

**Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary**

*by*Oliver Linton1 & Kyungchul Song & Yoon-Jae Whang

**Testing Distributional Inequalities and Asymptotic Bias**

*by*Kyungchul Song

**Multi-sector inflation forecasting - quarterly models for South Africa**

*by*Janine Aron & John Muellbauer

**Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure**

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**Bayesian Averaging, Prediction and Nonnested Model Selection**

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*by*Maria Elena Bontempi & Jacques Mairesse

**The Continuing Puzzle of Short Horizon Exchange Rate Forecasting**

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**Can Exchange Rates Forecast Commodity Prices?**

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**Density forecasting for long-term peak electricity demand**

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**The tourism forecasting competition**

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**CAPP_DYN: A Dynamic Microsimulation Model for the Italian Social Security System**

*by*Carlo Mazzaferro & Marcello Morciano

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**Seasonal Mackey-Glass-GARCH process and short-term dynamics**

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**Nonlinear Impacts of International Business Cycles on the UK — a Bayesian Smooth Transition VAR**

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**Banking Efficiency and Stock Market Performance: An Analysis of Listed Indonesian Banks**

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**Do Temporary Contracts Affect TFP? Evidence from Spanish Manufacturing Firms**

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**Alternative Approaches to Evaluation in Empirical Microeconomics**

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**Testing Mundell's Intuition of Endogenous OCA Theory**

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**Recent Developments in the Econometrics of Program Evaluation**

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**Recent Developments in the Econometrics of Program Evaluation**

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**Minimizing Bias in Selection on Observables Estimators When Unconfoundness Fails**

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**Estimating the Causal Effect of Gun Prevalence on Homicide Rates: A Local Average Treatment Effect Approach**

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**Minimizing Bias in Selection on Observables Estimators When Unconfoundness Fails**

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**On the Specification of Propensity Scores: with Applications to the Analysis of Trade Policies**

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**Growth Expectation**

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**Catching Growth Determinants with the Adaptive LASSO**

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**Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary**

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**Testing Multiplicative Error Models Using Conditional Moment Tests**

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**The Accuracy of Long-term Real Estate Valuations**

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**Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality**

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**Value-at-Risk and Expected Shortfall when there is long range dependence**

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**Environmental Factors Affecting Hong Kong Banking: A Post-Asian Financial Crisis Efficiency Analysis**

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**Stability Tests for Heterogeneous Panel Data**

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**Comparing Forecast Performance of Exchange Rate Models**

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**Test of the Gaussian Copula on the Swedish Stock Market**

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**Macroeconomic Impact on Expected Default Frequency**

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**Proxying ability by family background in returns to schooling estimations is generally a bad idea**

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**Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure**

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**Estimating open economy Phillips curves for the euro area with directly measured expectations**

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**Comparison of Volatility Measures: a Risk Management Perspective**

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**Seasonality in revisions of macroeconomic data**

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**Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary**

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**M3 Money Demand and Excess Liquidity in the Euro Area**

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**Money Velocity and Asset Prices in the Euro Area**

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**M3 Money Demand and Excess Liquidity in the Euro Area**

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**Catching up in total factor productivity through the business cycle : evidence from Spanish manufacturing surveys**

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**Statistical Properties and Economic Implications of Jump-Diffusion Processes with Shot-Noise Effects**

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**Monetary Policy Regimes and the Term Structure of Interest Rates**

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**Do Temporary Contracts Affect TFP? Evidence from Spanish Manufacturing Firms**

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**Path Forecast Evaluation**

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**How much structure in empirical models?**

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**Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary**

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**Path Forecast Evaluation**

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**Optimal Asset Allocation with Factor Models for Large Portfolios**

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**Model Averaging in Risk Management with an Application to Futures Markets**

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**The impact of structural breaks on the stability of the out-of-sample predictive content of financial variables for Canada's real GDP growth: An encompassing approach**

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**Modelling Household Expenditure on Health Care in Greece**

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**Monthly forecasting of French GDP: A revised version of the OPTIM model**

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**Assessing the shape of the distribution of interest rates: lessons from French individual data**

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**Financing Constraints and a Firm's Decision and Ability to Innovate: Establishing Direct and Reverse Effects**

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**An Inflation Forecasting Model for the Euro Area**

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**Testing for conditional heteroscedasticity in the components of inflation**

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**Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates**

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**The limiting properties of the QMLE in a general class of asymmetric volatility models**

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**Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure**

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**Multivariate GARCH models**

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**Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model**

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**Testing the New Keynesian Model on U.S. and Euro Area Data**

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**The New Keynesian Phillips Curve Tested on OECD Panel Data**

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**OPTIM: a quarterly forecasting tool for French GDP**

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