## 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.

**Der Prognostiker des Jahres: Ein Zufallsergebnis? Möglichkeiten einer mehrdimensionalen Evaluierung von Konjunkturprognosen**

*by*Döhrn, Roland

**EuroMInd-D: A density estimate of monthly gross domestic product for the euro area**

*by*Proietti, Tommaso & Marczak, Martyna & Mazzi, Gianluigi

**Modeling and forecasting crude oil price volatility: Evidence from historical and recent data**

*by*Lux, Thomas & Segnon, Mawuli & Gupta, Rangan

**We provide mathematical proofs for the results in ¡°Testing Linearity Using Power Transforms of Regressors¡± by Baek, Cho, and Phillips (2014)**

*by*YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS

**Testing Linearity Using Power Transforms of Regressors**

*by*YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS

**Global Equity Market Volatility Spillovers: A Broader Role for the United States**

*by*Buncic, Daniel & Gisler, Katja I. M.

**A Practical, Universal, Information Criterion over Nth Order Markov Processes**

*by*Sylvain Barde

**A Note on the Flexibility of the Barnett and Hahm Functional Form**

*by*Diewert, W. Erwin

**Model Equivalence Tests for Overidentifying Restrictions**

*by*Lavergne, Pascal

**TIPS and the VIX: Spillovers from Stock Market Panic to Breakeven Inflation in an Automated, Non-linear Modeling Framework**

*by*Josh R. Stillwagon

**On the Invertibility of EGARCH(p,q)**

*by*Guillaume Gaetan Martinet & Michael McAleer

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

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

**Forecast Combination, Non-linear Dynamics, and the Macroeconomy**

*by*Christopher Gibbs

**EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area**

*by*Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi

**On the Selection of Common Factors for Macroeconomic Forecasting**

*by*Alessandro Giovannelli & Tommaso Proietti

**Forecasting with VAR Models: Fat Tails and Stochastic Volatility**

*by*Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter

**Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data**

*by*Thomas Lux & Mawuli Segnon & Rangan Gupta

**Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty**

*by*Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris

**Stock Market Dynamics, Leveraged Network-Based Financial Accelerator and Monetary Policy**

*by*Riccetti, Luca & Russo, Alberto & Gallegati, Mauro

**Measuring the Core Inflation in Turkey with the SM-AR Model**

*by*Kulaksizoglu, Tamer

**The Out-of-sample Performance of an Exact Median-Unbiased Estimator for the Near-Unity AR(1) Model**

*by*Medel, Carlos & Pincheira, Pablo

**Multivariate Forecasting with BVARs and DSGE Models**

*by*Berg, Tim Oliver

**News Shocks and Labor Market Dynamics in Matching Models**

*by*Francesco Zanetti & Konstantinos Theodoridis

**Natural Experiment Policy Evaluation: A Critique**

*by*Christopher A. Hennessy & Ilya A. Strebulaev

**Generalized Exogenous Processes in DSGE: A Bayesian Approach**

*by*Alexander Meyer-Gohde & Daniel Neuhoff & &

**Forecasting Moscow Ambulance Trips**

*by*Filipp Bykov & Vladimir A. Gordin

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

*by*Pingel, Ronnie & Waernbaum, Ingeborg

**Targeting Performance and Poverty Effects of Proxy Means-Tested Transfers: Tade-offs and Challenges**

*by*Stephan Klasen & Simon Lange

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

*by*Stephan Klasen & Simon Lange

**Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean**

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

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

*by*Ha-Thu Nguyen

**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

**Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation**

*by*Kajal Lahiri & Liu Yang

**Restrictions on Risk Prices in Dynamic Term Structure Models**

*by*Michael D. Bauer

**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

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

*by*Monti, Francesca

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

*by*Barbara Rossi & Tatevik Sekhposyan

**A hat matrix for monotonicity constrained B-spline and P-spline regression**

*by*Kagerer, Kathrin

**Determinants of Growth in Fast Developing Countries: Evidence from Bundling and Unbundling Institutions**

*by*Simplice Asongu

**Drivers of Growth in Fast Emerging Economies: A Dynamic Instrumental Quantile Approach**

*by*Simplice Asongu

**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

**EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area**

*by*Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi

**Nowcasting GDP in Greece: A Note on Forecasting Improvements from the Use of Bridge Models**

*by*Dimitra Lamprou

**Averaging Across Asset Allocation Models**

*by*Peter Schanbacher

**Measuring consumer perceptions of payment mode**

*by*Khan, Jashim & Belk, Russell W. & Craig-Lees, Margaret

**Mixture pair-copula-constructions**

*by*Weiß, Gregor N.F. & Scheffer, Marcus

**Barrier style contracts under Lévy processes: An alternative approach**

*by*Fajardo, José

**Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals**

*by*Tavin, Bertrand

**Measuring the liquidity part of volume**

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

**Robustness of distance-to-default**

*by*Jessen, Cathrine & Lando, David

**A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices**

*by*Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong

**A note on using the Hodrick–Prescott filter in electricity markets**

*by*Weron, Rafał & Zator, Michał

**Real option valuation of power transmission investments by stochastic simulation**

*by*Pringles, Rolando & Olsina, Fernando & Garcés, Francisco

**Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake**

*by*Fujiki, Hiroshi & Hsiao, Cheng

**Nested forecast model comparisons: A new approach to testing equal accuracy**

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

**Distribution theory of the least squares averaging estimator**

*by*Liu, Chu-An

**Residual-based rank specification tests for AR–GARCH type models**

*by*Andreou, Elena & Werker, Bas J.M.

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

*by*Han, Xu

**Consistency of model averaging estimators**

*by*Zhang, Xinyu

**The misuse of the Vuong test for non-nested models to test for zero-inflation**

*by*Wilson, Paul

**Log versus level in VAR forecasting: 42 million empirical answers—Expect the unexpected**

*by*Mayr, Johannes & Ulbricht, Dirk

**Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model**

*by*Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen

**Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos**

*by*Raúl De Jesús Gutiérrez & Reyna Vergara González & Miguel A. Díaz Carreño

**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: Evidence for the United States, the Euro Area, and Germany**

*by*Teresa, Buchen & Wohlrabe, Klaus

**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

**Sparse Graphical Vector Autoregression: A Bayesian Approach**

*by*Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio

**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

**The Forecast Combination Puzzle: A Simple Theoretical Explanation**

*by*Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang

**Asymmetry and Leverage in Conditional Volatility Models**

*by*Michael McAleer

**On the Invertibility of EGARCH**

*by*Guillaume Gaetan Martinet & Michael McAleer

**Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting**

*by*Andr� Lucas & Xin Zhang

**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

**Testing for Parameter Instability in Competing Modeling Frameworks**

*by*Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas

**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

**An Economic Analysis For The Capacitated Hub Location-Routing Problem**

*by*Ji Ung Sun

**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

**Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP**

*by*Tóth, Peter

**Identifying structural breaks in stochastic mortality models**

*by*O'Hare, Colin & Li, Youwei

**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

**Penalized Splines, Mixed Models and the Wiener-Kolmogorov Filter**

*by*Bloechl, Andreas

**Trend Estimation with Penalized Splines as Mixed Models for Series with Structural Breaks**

*by*Blöchl, Andreas

**Reducing the Excess Variability of the Hodrick-Prescott Filter by Flexible Penalization**

*by*Bloechl, Andreas

**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

**Serially Correlated Measurement Errors in Time Series Regression: The Potential of Instrumental Variable Estimators**

*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**

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**Alternative Approaches for Estimating Value at Risk**

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**Análisis de las funciones de importación y exportación de México (1980-2000)**

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**Responses of Agricultural Prices, Industrial Prices and the Agricultural Terms of Trade to Money Supply Shocks in Bangladesh, 1973M1-2006M6**

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**Forecast Evaluation of Explanatory Models of Financial Return Variability**

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**Evaluating the New Keynesian Phillips Curve under VAR-Based Learning**

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**Should We Trust the Empirical Evidence from Present Value Models of the Current Account?**

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**Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device**

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**The single monetary policy and domestic macro-fundamentals: Evidence from Spain**

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**Detecting Selection Bias in Community Disseminations of Universal Family-Based Prevention Programs**

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**Agglomeration Externalities, Innovation and Regional Growth: Theoretical Perspectives and Meta-Analysis**

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**Design Limits in Regime-Switching Cases**

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**Testing for Granger (non)-Causality in a Time Varying Coefficient VAR Model**

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**Comparison of Misspecified Calibrated Models: The Minimum Distance Approach**

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**Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit**

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**The FDI-Growth Nexus in Latin America : The Role of Source Countries and Local Conditions**

*by*Prüfer, P. & Tondl, G.

**A Comparison of Two Averaging Techniques with an Application to Growth Empirics**

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**Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts**

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**Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk**

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**Global Loss Diversification in the Insurance Sector**

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**Out-of-sample comparison of copula specifications in multivariate density forecasts**

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**Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails**

*by*Cees Diks & Valentyn Panchenko & Dick van Dijk

**A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)**

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**Is There A Trade-off Between Regional Growth and National Income? Theory and Evidence from the EU**

*by*Young-Bae Kim

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

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**Asymmetric Price Responses and the Underlying Energy Demand Trend: Are they Substitutes or Complements? Evidence from Modelling OECD Aggregate Energy Demand**

*by*Olutomi I Adeyemi & David C Broadstock & Mona Chitnis & Lester C Hunt & Guy Judge

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**Nonfundamental Representations of the Relation between Technology Shocks and Hours Worked**

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

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

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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**

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**Alternative Approaches to Evaluation in Empirical Microeconomics**

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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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*by*Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER

**Look-Ahead Benchmark Biasin Portfolio Performance Evaluation**

*by*Gilles DANIEL & Didier SORNETTE & Peter WOHRMANN

**Identifying Fiscal Policy Shocks In Chile And Colombia**

*by*Jorge E. Restrepo & Hernán Rincón

**Spillovers from Foreign Direct Investment: Within or between Industries?**

*by*Maurice Kugler

**Una aproximación a la dinámica de las tasas de interés de corto plazo en Colombia a través de modelos GARCH multivariados**

*by*Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo

**Capital Account Controls, Bank’s Efficiency, Growth and Macroeconomic Volatility in the FLAR’s Member Countries?**

*by*Humberto Mora & Hernán Rincón

**Medidas de Riesgo, Características y Técnicas de Medición: Una Aplicación del VAR y el ES a la Tasa Interbancaria de Colombia**

*by*Luis Fernando Melo Velandia & Oscar reinaldo Becerra Camargo

**Exchange Rate Pass-Through Effects: A Disaggregate Analysis of Colombian Imports of Manufactured Goods**

*by*Hernán Rincón & Edgar Caicedo & Norberto Rodríguez

**Un Pronóstico no Paramétrico de la Inflación Colombiana**

*by*Norberto Rodríguez N. & Patricia Siado C.

**Expansions and Contractions in Some Latin American Countries: A view Throught Non-Linear Models**

*by*Luis Eduardo Arango & Luis Fernando Melo

**Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market**

*by*Luis Eduardo Arango & Andrés González & Carlos Esteban Posada

**Relación entre el Índice de Precios del Productor (IPP) y el Indice de Precios al Consumidor**

*by*Carlos Huertas & Munir A. Jalil

**A Nonlinear Specification of Demand for Narrow Money in Colombia**

*by*Luis Eduardo Arango & Andrés González

**Testing the Short-Long-Run Exchange Rate Effects on Trade Balance: The Case of Colombia**

*by*Hernán Rincón

**Testing for Seasonal Unit Roots with Temporally Aggregated Time Series**

*by*Rotger, Gabriel Pons