## 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.

**Nowcasting des deutschen BIP**

*by*Doll, Jens & Rosenthal, Beatrice & Volkenand, Jonas & Hamella, Sandra

**Publish and Perish: Creative Destruction and Macroeconomic Theory**

*by*Chatelain, Jean-Bernard & Ralf, Kirsten

**What has caused global business cycle decoupling: Smaller shocks or reduced sensitivity?**

*by*Berger, Tino & Richter, Julia

**The Effectiveness of Forward Guidance in an Estimated DSGE Model for the Euro Area: the Role of Expectations**

*by*Roberta Cardani & Alessia Paccagnini & Stelios D. Bekiros

**The Fiction of Full BEKK**

*by*Chia-Lin Chang & Michael McAleer

**Bayesian Estimation of the Storage Model using Information on Quantities**

*by*Gouel, Christophe & Legrand, Nicolas

**The Fiction of Full BEKK**

*by*Chia-Lin Chang & Michael McAleer

**Macro-financial effects of portfolio flows: Malaysia’s experience**

*by*Hwa, Tng Boon & Raghavan, Mala & Huey, Teh Tian

**A semi-parametric point process model of the interactions between equity markets**

*by*Clements, A.E. & Hurn, A.S. & Lindsay, K.A. & Volkov, V.V

**Agent-Based Model Calibration using Machine Learning Surrogates**

*by*Francesco Lamperti & Andrea Roventini & Amir Sani

**Does The Gravity Model Work For The Modelling Of Migration Between European Countries From 2011 To 2014?**

*by*Tatiana Polonyankina

**Foreign reserve holdings: an extended study through risk-inspired motives**

*by*Shijaku, Gerti & Dushku, Elona

**The Feldstein-Horioka puzzle and the global recession period: Evidence from South Africa using asymmetric cointegration analysis**

*by*Phiri, Andrew

**Encompassing Of Nested and Non-nested Models:Energy-Growth Models**

*by*Nazir, Sidra

**Nowcasting Slovak GDP by a Small Dynamic Factor Model**

*by*Tóth, Peter

**A Power Booster Factor for Out-of-Sample Tests of Predictability**

*by*Pincheira, Pablo

**Publish and Perish: Creative Destruction and Macroeconomic Theory**

*by*Chatelain, Jean-Bernard & Ralf, Kirsten

**Has the South African Reserve Bank responded to equity prices since the sub-prime crisis? An asymmetric convergence approach**

*by*Phiri, Andrew

**Point-in-time PD term structure models for multi-period scenario loss projection: Methodologies and implementations for IFRS 9 ECL and CCAR stress testing**

*by*Yang, Bill Huajian

**Threshold convergence between the federal fund rate and South African equity returns around the colocation period**

*by*Phiri, Andrew

**Two-part models of income distributions in Poland**

*by*Piotr Lukasiewicz & Krzysztof Karpio & Arkadiusz Orlowski

**Generalizing Smooth Transition Autoregressions**

*by*Emilio Zanetti Chini

**Model Uncertainty and the Direction of Fit of the Postwar U.S. Phillips Curve(s)**

*by*Francesca Rondina

**Poorly Measured Confounders are More Useful on the Left Than on the Right**

*by*Zhuan Pei & Jörn-Steffen Pischke & Hannes Schwandt

**Dissecting Characteristics Nonparametrically**

*by*Joachim Freyberger & Andreas Neuhierl & Michael Weber

**Social Media and Fake News in the 2016 Election**

*by*Hunt Allcott & Matthew Gentzkow

**Macroeconomic forecasting for Australia using a large number of predictors**

*by*Bin Jiang & George Athanasopoulos & Rob J Hyndman & Anastasios Panagiotelis & Farshid Vahid

**Stochastic Evolution of Distributions - Applications to CDS indices**

*by*Guillaume Bernis & Nicolas Brunel & Antoine Kornprobst & Simone Scotti

**Identification-robust moment-based tests for Markov-switching in autoregressive models**

*by*Jean-Marie Dufour & Richard Luger

**Attrition in Randomized Control Trials: Using Tracking Information to Correct Bias**

*by*Molina Millán, Teresa & Macours, Karen

**Poorly Measured Confounders Are More Useful on the Left Than on the Right**

*by*Pei, Zhuan & Pischke, Jörn-Steffen & Schwandt, Hannes

**The Exchange Rate Pass-Through to CPI and its components in Oil-Exporting CIS Countries**

*by*Vugar Rahimov & Nigar Jafarova & Fuad Ganbarov

**Electoral fraud and voter turnout: An experimental study**

*by*Vardan Baghdasaryan & Giovanna Iannantuoni & Valeria Maggian

**Upward and downward bias when measuring inequality of opportunity**

*by*Paolo Brunori & Vito Peragine & Laura Serlenga

**Monetary Policy and Macroeconomic Stability Revisited**

*by*Hirose, Yasuo & Kurozumi, Takushi & Van Zandweghe, Willem

**GDP Trend-cycle Decompositions Using State-level Data**

*by*Manuel Gonzalez-Astudillo

**Mapping the stocks in MICEX: Who is central in Moscow Stock Exchange?**

*by*M. Hakan Eratalay & Evgenii Vladimirov

**The Fiction of Full BEKK**

*by*Chang, C-L. & McAleer, M.J.

**Macro-financial effects of portfolio flows: Malaysia’s experience**

*by*Tng Boon Hwa & Mala Raghavan & Teh Tian Huey

**Measuring the output gap using stochastic model specification search**

*by*Joshua C C Chan & Angelia L Grant

**Optimality of linear factor structures**

*by*Szüle, Borbála

**Dissecting Characteristics Nonparametrically**

*by*Joachim Freyberger & Andreas Neuhierl & Michael Weber

**Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns**

*by*Claudia Foroni & Francesco Ravazzolo & Barbara Sadaba

**Technology-driven information sharing and conditional financial development in Africa**

*by*Simplice Asongu & John C. Anyanwu & Vanessa S. Tchamyou

**Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions: Invariance and Finite-Sample Distributional Theory**

*by*Firmin Doko Tchatoka & Jean-Marie Dufour

**The Walking Debt Crisis**

*by*Tobias Basse & Robinson Kruse & Christoph Wegener

**Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis**

*by*Matthew T. Holt & Timo Teräsvirta

**Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts**

*by*Dennis Alvaro & Ángel Guillén & Gabriel Rodríguez

**Forecast combination, non-linear dynamics, and the macroeconomy**

*by*Christopher G. Gibbs

**A data mining framework for targeted category promotions**

*by*Thomas Reutterer & Kurt Hornik & Nicolas March & Kathrin Gruber

**Empirical analysis of Australian consumption patterns**

*by*Lucille Wong & Eliyathamby A. Selvanathan & Saroja Selvanathan

**On the influence of US monetary policy on crude oil price volatility**

*by*Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo

**The Revenue-Expenditure Nexus in Nigeria: Assymetric Cointegration Approach**

*by*Olumuyiwa Ganiyu Yinusa & Olalekan Bashir Aworinde & Isiaq Olasunkanmi Oseni

**Analysing the Relevance of the MIP Scoreboard's Indicators**

*by*Domonkos TomÃ¡Å¡ & OstrihoÅˆ Filip & Å ikulovÃ¡ Ivana & Å iraÅˆovÃ¡ MÃ¡ria

**Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models**

*by*Andreea – Cristina PETRICA & Stelian STANCU

**Posouzení modelů odhadu tržního rizika s využitím DEA přístupu**

*by*Aleš Kresta & Tomáš Tichý & Mehdi Toloo

**Využití metody vícestavové demografie při analýze trhu práce**

*by*Martina Miskolczi & Jitka Langhamrová

**Comparing forecasts for tourism dynamics in Medellín, Colombia**

*by*Marisol Valencia Cárdenas & Juan Gabriel Vanegas López & Juan Carlos Correa Morales & Jorge Aníbal Restrepo Morales

**Magyar vállalkozások felszámolásának előrejelzése pénzügyi mutatóik idősorai alapján**

*by*Virág, Miklós & Nyitrai, Tamás

**The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices**

*by*Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen

**Participation in cultural activities: specification issues**

*by*Cristina Muñiz & Plácido Rodríguez & María José Suárez

**On Asymmetric Market Model with Heteroskedasticity and Quantile Regression**

*by*Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta

**Using linear regression to establish empirical relationships**

*by*Marno Verbeek

**Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models**

*by*Juneja, Januj

**Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model**

*by*Leippold, Markus & Vasiljević, Nikola

**Physician payment schemes and physician productivity: Analysis of Turkish healthcare reforms**

*by*Erus, Burcay & Hatipoglu, Ozan

**Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework**

*by*Sun, Xiaolei & Yao, Xiaoyang & Wang, Jun

**A rough multi-factor model of electricity spot prices**

*by*Bennedsen, Mikkel

**Joint price and volumetric risk in wind power trading: A copula approach**

*by*Pircalabu, A. & Hvolby, T. & Jung, J. & Høg, E.

**Assessing farmers' willingness to supply biomass as energy feedstock: Cereal straw in Apulia (Italy)**

*by*Giannoccaro, Giacomo & de Gennaro, Bernardo C. & De Meo, Emilio & Prosperi, Maurizio

**Tests of equal accuracy for nested models with estimated factors**

*by*Gonçalves, Sílvia & McCracken, Michael W. & Perron, Benoit

**Fitting a two phase threshold multiplicative error model**

*by*Perera, Indeewara & Koul, Hira L.

**Least squares estimation of large dimensional threshold factor models**

*by*Massacci, Daniele

**Forecasting cointegrated nonstationary time series with time-varying variance**

*by*Tu, Yundong & Yi, Yanping

**Impulse response matching estimators for DSGE models**

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

**Bias, rationality and asymmetric loss functions**

*by*Bürgi, Constantin

**A cautionary tale on using panel data estimators to measure program impacts**

*by*Wichman, Casey J. & Ferraro, Paul J.

**Heteroscedasticity-robust model screening: A useful toolkit for model averaging in big data analytics**

*by*Xie, Tian

**On spurious regressions with partial unit root processes**

*by*Tu, Yundong

**Forecasting the realized range-based volatility using dynamic model averaging approach**

*by*Liu, Jing & Wei, Yu & Ma, Feng & Wahab, M.I.M.

**A Monte Carlo procedure for checking identification in DSGE models**

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

**Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter**

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

**Can Gold Investments Provide a Good Hedge Against Inflation? An Empirical Analysis**

*by*Hanan Naser

**The Asymmetric Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Empirical Evidence from Bangladesh**

*by*Said Zamin Shah & Said Zamin Shah & Ahmad Zubaidi Baharumshah & Muzafar Shah Habibullah & Law Siong Hook

**Board Structure and Bank Performance: Evidence for the Greek Banking Industry during Crisis Period**

*by*Andreas G. Georgantopoulos & Ioannis Filos

**La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015**

*by*Laura Daniela Castillo Paredes & Josefa Ramoni-Perazzi

**Capital accumulation, profit rates and cycles in China from 1952 to 2014: lessons from the evolution of Chinese industry**

*by*Rémy Herrera & Zhiming Long

**Specification analysis in regime-switching continuous-time diffusion models for market volatility**

*by*Bu Ruijun & Cheng Jie & Hadri Kaddour

**Stochastic Linkage Analysis And Structural Changes That Influence The Educational System In The European Union In Accordance With The "Europe 2020 Strategy"**

*by*ROTARU Florica Georgeta & CRISTACHE Silvia Elena & CIOBOTAR Georgeta Narcisa

**Testing-Based Forward Model Selection**

*by*Damian Kozbur

**Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone**

*by*Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti

**Are critical slowing down indicators useful to detect financial crises?**

*by*Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti

**Attenuation bias when measuring inventive performance**

*by*Zwick, Thomas & Frosch, Katharina

**Non-monotonic Selection Issues in Electoral Regression Discontinuity Designs**

*by*de Lazzer, Jakob

**Restrictions Search for Panel VARs**

*by*Schnücker, Annika

**On the applicability of maximum likelihood methods: From experimental to financial data**

*by*Jakusch, Sven Thorsten

**Taring all investors with the same brush? Evidence for heterogeneity in individual preferences from a maximum likelihood approach**

*by*Hackethal, Andreas & Jakusch, Sven Thorsten & Meyer, Steffen

**Taming models of prospect theory in the Wild? Estimation of Vlcek and Hens (2011)**

*by*Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas

**A quasi real-time leading indicator for the EU industrial production**

*by*Donadelli, Michael & Paradiso, Antonio & Riedel, Max

**Automatic identification of general vector error correction models**

*by*Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano

**Determinants of ICT infrastructure: A cross-country statistical analysis**

*by*Krüger, Jens J. & Rhiel, Mathias

**Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators**

*by*Kurz-Kim, Jeong-Ryeol

**Sequentially Testing Polynomial Model Hypotheses using Power Transforms of Regressors**

*by*JIN SEO CHO & PETER C.B. PHILLIPS

**Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices**

*by*JIN SEO CHO & PETER C.B. PHILLIPS

**Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model**

*by*Florian Huber & Gregor Kastner & Martin Feldkircher

**EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk**

*by*Marcin Chlebus

**Lost in Transition? Declining Returns to Education in Vietnam**

*by*Tinh Doan & Tran Quang Tuyen & Le Quan

**Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance**

*by*Adams, Zeno & Fuess, Roland & Glueck, Thorsten

**Understanding the sources of macroeconomic uncertainty**

*by*Barbara Rossi & Tatevik Sekhposyan & Matthieu Soupre

**In-sample inference and forecasting in misspecified factor models**

*by*Marine Carrasco & Barbara Rossi

**Lutte contre la pauvreté et incitations à l’emploi : quelle politique pour les jeunes ?**

*by*Vincent Vergnat

**Model selection with factors and variables**

*by*Jack Fosten

**Agregados monetarios Divisia y demanda de dinero en Uruguay**

*by*José Ignacio González Giangrossi

**A Hausman Specification Test of Conditional Moment Restrictions**

*by*Lavergne, Pascal & Nguimkeu, Pierre

**A Simple Test for Causality in Volatility**

*by*Chia-Lin Chang & Michael McAleer

**Is there really a Global Business Cycle? A Dynamic Factor Model with Stochastic Factor Selection**

*by*Tino Berger & Lorenzo Pozzi

**Flexible Mixture-Amount Models for Business and Industry using Gaussian Processes**

*by*Aiste Ruseckaite & Dennis Fok & Peter Goos

**Accounting for Missing Values in Score-Driven Time-Varying Parameter Models**

*by*Andre Lucas & Anne Opschoor & Julia Schaumburg

**A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics**

*by*Manabu Asai & Michael McAleer

**Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model**

*by*Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman

**Making Disability Work? The Effect of Financial Incentives on Partially Disabled Workers**

*by*Pierre Koning & Jan-Maarten van Sonsbeek

**Estimating a Falsified Model**

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

**Testing for Symmetry in Weakly Dependent Time Series**

*by*Luke Hartigan

**Portmanteau Tests for Linearity of Stationary Time Series**

*by*Zacharias Psaradakis & Marian Vavra

**Modelling OPEC behaviour. Theory and evidence**

*by*Pål Boug & Ådne Cappelen & Anders Rygh Swensen

**Local public finances in Brazil: are mayoral characteristics important?**

*by*Fabiana Rocha & Veronica Orellano, Karina Bugarin

**Compulsory Schooling and the Returns to Education: A Re-examination**

*by*Sophie van HÂ¸llen & Duo Qin

**The Econometric Analysis in Right Economy: Research of Institutional Barriers During Right Realization on the Example of Lands Distribution Processes in Moscow Region. Patterns in Neighboring Areas**

*by*Daria Loginova

**Accommodating Stake Effects under Prospect Theory**

*by*Ranoua Bouchouicha & Ferdinand Vieider

**Bayesian Vector Autoregressions with Non-Gaussian Shocks**

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

**VAR Models with Non-Gaussian Shocks**

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

**The role of money as an important pillar for monetary policy: the case of Albania**

*by*Shijaku, Gerti

**A small scale forecasting and simulation model for Azerbaijan (FORSAZ)**

*by*Huseynov, Salman & Mammadov, Fuad

**Issue of Income Inequality under the perceptive of Macroeconomic Instability: An Empirical Analysis of Pakistan**

*by*Ali, Amjad

**Nonlinear relationship between exchange rate volatility and economic growth: A South African perspective**

*by*Fourie, Justin & Pretorius, Theuns & Harvey, Rhett & Henrico, Van Niekerk & Phiri, Andrew

**Information sharing and conditional financial development in Africa**

*by*Asongu, Simplice & Anyanwu, John & Tchamyou, Vanessa

**Changes in the optimal tax rate in South Africa prior and subsequent to the global recession period**

*by*Motloja, Lehlohonolo & Makhoana, Tsholofelo & Kassoma, Rooyen & Houdman, Rozadian & Phiri, Andrew

**FDI and Growth in the MENA countries: Are the GCC countries Different?**

*by*Gammoudi, Mouna & Cherif, Mondher & Asongu, Simplice A

**The unemployment-stock market relationship in South Africa: Evidence from symmetric and asymmetric cointegration models**

*by*Tapa, Nosipho & Tom, Zandile & Lekoma, Molebogeng & Ebersohn, J. & Phiri, Andrew

**Nonlinear impact of inflation on economic growth in South Africa: A smooth transition regression (STR) analysis**

*by*Khoza, Keorapetse & Thebe, Relebogile & Phiri, Andrew

**Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression**

*by*Xu, Ning & Hong, Jian & Fisher, Timothy

**Power Style Contracts Under Asymmetric Lévy Processes**

*by*Fajardo, José

**A New Factor to Explain Implied Volatility Smirk**

*by*fajardo, José

**Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso**

*by*Xu, Ning & Hong, Jian & Fisher, Timothy

**Models of Mortality rates - analysing the residuals**

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

**Modelling mortality: Are we heading in the right direction?**

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

**Local Explosion Modelling by Noncausal Process**

*by*Gouriéroux, Christian & Zakoian, Jean-Michel

**Long run equilibrium adjustment between inflation and stock market returns in South Africa: A nonlinear perspective**

*by*Phiri, Andrew

**Asymmetric pass-through effects from monetary policy to housing prices in South Africa**

*by*Phiri, Andrew

**Experts, firms, consumers or even hard data? Forecasting employment in Germany**

*by*Lehmann, Robert & Wohlrabe, Klaus

**Model selection and model averaging in nonparametric instrumental variables models**

*by*Liu, Chu-An & Tao, Jing

**Models of Financial Return With Time-Varying Zero Probability**

*by*Sucarrat, Genaro & Grønneberg, Steffen

**Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y cambiarios en América Latina: Aplicación empírica de un modelo de cambios de nivel aleatorios y larga memoria genuina]**

*by*Gabriel Rodríguez

**An Empirical Application of a Random Level Shifts Model with Time-Varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns [Una aplicación empírica de un modelo de cambios de nivel aleatorios con probabilidades cambiantes y reversión a la media a la volatilidad de los retornos cambiarios en América Latina]**

*by*Gabriel Rodríguez & José Carlos Gonzáles Tanaka

**Modelling the Volatility of Commodities Prices using a Stochastic Volatility Model with Random Level Shifts [Modelando la volatilidad de los precios de los commodities utilizando un modelo de volatilidad estocástica con cambios de nivel aleatorios]**

*by*Gabriel Rodríguez & Dennis Alvaro & Ángel Guillén

**Generalizing smooth transition autoregressions**

*by*Emilio Zanetti Chini

**General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets**

*by*Felix Pretis & James Reade & Genaro Sucarrat

**Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation**

*by*David Hendry & Felix Pretis & Lea Schneider & Jason E. Smerdon

**Perception vs Reality: How Does The British Electorate Evaluate Economic Performance of Incumbent Governments In The Post War Period?**

*by*Jonathon M. Clegg

**Does institutional quality resolve the Lucas Paradox?**

*by*Muhammad Akhtaruzzaman & Christopher Hajzler & P. Dorian Owen

**Determinants of export sophistication: Evidence from Monte Carlo simulations**

*by*Karen Poghosyan & Evžen Kočenda

**Perception vs Reality: How does the British electorate evaluate economic performance of incumbent governments in the post war period?**

*by*Jonathon M. Clegg

**Classification Trees for Heterogeneous Moment-Based Models**

*by*Sam Asher & Denis Nekipelov & Paul Novosad & Stephen P. Ryan

**Box Office Buzz: Does Social Media Data Steal the Show from Model Uncertainty When Forecasting for Hollywood?**

*by*Steven Lehrer & Tian Xie

**Assessing Point Forecast Accuracy by Stochastic Error Distance**

*by*Francis X. Diebold & Minchul Shin

**Sets of Models and Prices of Uncertainty**

*by*Lars P. Hansen & Thomas J. Sargent

**Solution and Estimation Methods for DSGE Models**

*by*Jesús Fernández-Villaverde & Juan F. Rubio Ramírez & Frank Schorfheide

**Macro-financial linkages in the Polish economy: combined impulse-response functions in SVAR models**

*by*Dobromił Serwa & Piotr Wdowiński

**A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices**

*by*Jan F. Kiviet & Zhenxi Chen

**The “true” private school effect across countries using PISA-2012 Mathematics**

*by*Chris Sakellariou

**Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models**

*by*Jean-Marie DUFOUR & Richard LUGER

**Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory**

*by*Firmin DOKO TCHATOKA & Jean-Marie DUFOUR

**Bayesian Rank Selection in Multivariate Regression**

*by*Bin Jiang & Anastasios Panagiotelis & George Athanasopoulos & Rob Hyndman & Farshid Vahid

**Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction**

*by*D.S. Poskitt

**Visualising forecasting Algorithm Performance using Time Series Instance Spaces**

*by*Yanfei Kang & Rob J. Hyndman & Kate Smith-Miles

**Bayesian Indirect Inference and the ABC of GMM**

*by*Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen

**Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model**

*by*Papa Ousmane Cissé & Abdou Kâ Diongue & Dominique Guegan

**Threshold Effects in Meta Analyses with Application to Benefit Transfer for Coral Reef Valuation**

*by*Luke Fitzpatrick & Christopher F. Parmeter & Juan Agar

**A Standardized Method for the Evaluation of Adherence to Practice Guidelines**

*by*Stephanie Thomas

**Intraday volatility, trading volume and trading intensity in the interbank market e-MID**

*by*Markus Engler & Vahidin Jeleskovic

**The Impact of the Mining Boom in Colombia: the case of the gold**

*by*Jorge Barrientos Marín & Sebastián Ramírez & Elkin Tabares

**How banks’ strategies influence financial cycles: An approach to identifying micro behavior**

*by*Simone Berardi & Gabriele Tedeschi

**Resampling and Bootstrap to Assess the Relevance of Variables: A New Algorithmic Approach with Applications to Entrepreneurship Data**

*by*Gimenez-Nadal, J. Ignacio & Lafuente, Miguel & Molina, José Alberto & Velilla, Jorge

**Making Disability Work? The Effects of Financial Incentives on Partially Disabled Workers**

*by*Koning, Pierre & van Sonsbeek, Jan-Maarten

**The Analysis of Prison-Prisoner Data Using Cluster-Sample Econometrics: Prison Conditions and Prisoners' Assessments of the Future**

*by*Entorf, Horst & Sattarova, Liliya

**Do Parents Tax Their Children? Teenage Labour Supply and Financial Support**

*by*Holford, Angus J.

**Upward and downward bias when measuring inequality of opportunity**

*by*Paolo Brunori & Vito Peragine & Laura Serlenga

**Using Recursive Partitioning to Account for Parameter Heterogeneity in Multinomial Processing Tree Models**

*by*Florian Wickelmaier & Achim Zeileis

**On the Estimation of Standard Errors in Cognitive Diagnosis Models**

*by*Michel Philipp & Carolin Strobl & Jimmy de la Torre & Achim Zeileis

**A Toolkit for Stability Assessment of Tree-Based Learners**

*by*Michel Philipp & Achim Zeileis & Carolin Strobl

**Score-Based Tests of Differential Item Functioning in the Two-Parameter Model**

*by*Ting Wang & Carolin Strobl & Achim Zeileis & Edgar C. Merkle

**Integrated model of computable general equilibrium and social cost benefit analysis of an Indian oil refinery: Future projections and macroeconomic effects**

*by*Shovan Ray & A. Ganesh Kumar & Sumana Chaudhuri

**Dynamic stochastic general equilibrium (dsge) modelling: Theory and practice**

*by*Dilip M. Nachane

**Historical Events and the Gold Price**

*by*Shubhasis Dey

**Liquidity Traps and Large-Scale Financial Crises**

*by*Giovanni Caggiano & Efrem Castelnuovo & Olivier Damette & Antoine Parent & Giovanni Pellegrino

**A first econometric analysis of the CRIX family**

*by*Shi Chen & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle & TM Lee & Bobby Ong

**CRIX or evaluating blockchain based currencies**

*by*Simon Trimborn & Wolfgang Karl Härdle &

**Impulse Response Matching Estimators for DSGE Models**

*by*GUERRON-QUINTANA, Pablo & INOUE, Atsushi & KILIAN, Lutz

**Forecastability and statistical characteristics of aggregate oil and gas investments on the Norwegian Continental Shelf b**

*by*Lorentzen, Sindre & Osmundsen, Petter

**Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting**

*by*Kruse, Robinson & Leschinski, Christian & Will, Michael

**What Do We Lose When We Average Expectations?**

*by*Constantin Burgi

**How Narrowly Should Anti-poverty Programs Be Targeted? Simulation Evidence from Bolivia and Indonesia**

*by*Stephan Klasen & Simon Lange

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**On the prediction of financial distress in developed and emerging markets: Does the choice of accounting and market information matter? A comparison of UK and Indian Firms**

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**Testing Macro Models by Indirect Inference: A Survey for Users**

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**Determinants of bank CDS spreads in Europe**

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**‘Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India’ — A failed replication (negative Type 1 and Type 2)**

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**Detecting Nonlinearity by Modelling the Differenced Series**

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**Forecasting Inflation from the Term Structure**

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**Agreement and Disagreement Between Unit Root Tests**

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**A Test for Independence Based on the Correlation Dimension**

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**Import Price Formation and Pricing to Market: A Test on Norwegian Data**

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**Reliability of the Translog Cost Function : Some Theory & an Application to the Demand of Energy in French Manufacturing**

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**A Factor-Analytic Probit Model for Representing the Market Structure in Panel Data**

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**Household Energy Demand Analysis: An Empirical Application of the Closure Test Principle**

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**Prediction Risk and the Forecasting of Stock Market Indexes**

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**Testing Additivity in Generalized Nonparametric Regression Models**

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**To fine or to punish in the Late Middle Ages. A Time Series Analysis of Justice Administration in Nivelles, 1424-1536**

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**A Macroeconomic Model for Romania's Flexible Exchange Rate System**

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**The Predictive Ability of Several Models of Exchange Rate Volatility**

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**Testing Between Alternative Wage-Employment Bargaining Models Using Belgian Aggreggate Data**

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**Exploration of economic systems in the transition period**

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**El gasto sanitario de los países y de las familias: problemas metodológicos y empíricos para su cuantificación y estimación**

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**Dynamic effects of tariff liberalization: An intertemporal CGE approach**

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**Union Membership in the United States: The Decline Continues**

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**Posterior Odds Testing for a Unit Root with Data-Based Model Selection**

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**The Forecasting Accuracy of Crude Oil Futures Prices**

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**Other Things Equal**

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**Testing for Structural Breaks**

*by*Allan W. Gregory & James M. Nason

**Dynamic Structural Models: Problems and Prospects. Mixed Continuous Discrete Controls and Market Interactions**

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**Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations**

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**Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?**

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**The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study**

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**Vector Autoregression and Causality**

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**The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence**

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**Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK**

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**Parametric and nonparametric Monte Carlo estimates of standard errors of forecasts in econometric models**

*by*Bianchi, Carlo & Calzolari, Giorgio & Weihs, Claus

**Forecasts and constraints on policy actions: the reliability of alternative instruments**

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**On The Use and Misuse of Input-Output Based Impact Analysis in Evaluation**

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**Generalized autoregressive conditional heteroskedasticity**

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**Effectiveness versus reliability of policy actions under government budget constraint: the case of France**

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**The state of the art in Canadian macroeconomic modelling**

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**Crisis y desempleo. Una rerracionalización de desequilibrio de parte del ajuste liberal de la crisis**

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**Analyse et mesure de l'incertitude en prevision d'un modele econometrique. Application au modele mini-DMS**

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**Information Criterion and Estimation of Misspecified Qualitative Choice Models**

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**Stime 2SLS con componenti principali di un modello non lineare dell' economia italiana**

*by*Bianchi, Carlo & Calzolari, Giorgio & Sartori, Franco

**Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods**

*by*Bianchi, Carlo & Calzolari, Giorgio

**Morbidity and pollution: model specification analysis for time-series data on hospital admissions**

*by*Krumm, Ronald J. & Graves, Philip E.

**Stochastic simulation as a validation tool for econometric models**

*by*Calzolari, Giorgio & Corsi, Paolo

**Simulation properties of alternative methods of estimation: an application to a model of the Italian economy**

*by*Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo

**Statistical tests for equal predictive ability across multiple forecasting methods**

*by*Daniel Borup & Martin Thyrsgaard

**Beta Regimes for the Yield Curve**

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**Robust Estimation and Inference for Threshold Models with Integrated Regressors**

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**Forecasting Seasonal UK Consumption Components**

*by*Clements, M.P. & Smith, J.

**A Method for Agent-Based Models Validation**

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**Reevaluating Terrorism and Economic Growth: Dynamic Panel Analysis and Cross-Sectional Dependence**

*by*Khusrav Gaibulloev & Todd Sandler & Donggyu Sul

**The Italian Treasury Econometric Model (ITEM)**

*by*Claudio Cicinelli & Andrea Cossio & Francesco Nucci & Ottavio Ricchi & Cristian Tegami

**A new index of financial conditions**

*by*Gary Koop & Dimitris Korobilis

**Testing Equality of Covariance Matrices via Pythagorean Means**

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**Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland**

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**A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry**

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**Generalized Risk Premia**

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**Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets**

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**Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets**

*by*Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET

**Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data**

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

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

*by*Gilles DANIEL & Didier SORNETTE & Peter WOHRMANN

**Residuals-based Tests for Cointegration with GLS Detrended Data**

*by*Pierre Perron & Gabriel RodrÃguez

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

*by*Rotger, Gabriel Pons

**Examining of Determinants of Non-Performing Loans**

*by*Nikola Radivojevic & Jelena Jovovic

**Loss Functions for Detecting Outliers in Panel Data: An Introduction**

*by*Charles, Coleman