## 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.

**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

**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 Fiction of Full BEKK**

*by*Chia-Lin Chang & Michael McAleer

**The Fiction of Full BEKK**

*by*Chia-Lin Chang & Michael McAleer

**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

**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

**Monetary Policy and Macroeconomic Stability Revisited**

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

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

*by*M. Hakan Eratalay & Evgenii Vladimirov

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

*by*Joshua C C Chan & Angelia L Grant

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

*by*Dennis Alvaro & Ángel Guillén & Gabriel Rodríguez

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

*by*Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo

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

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

**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

**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

**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

**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.

**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

**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

**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

**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

**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

**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

**Comparing the market risk premia forecasts in JSE and NYSE equity markets**

*by*Leoni Eleni Oikonomikou

**Forecasting the Market Risk Premium with Artificial Neural Networks**

*by*Leoni Eleni Oikonomikou

**Socio-psychological determinants of mode choice habits**

*by*Bouscasse, H. & Bonnel, P.

**Estimating travel mode choice, including rail in regional area, based on a new family of regression models**

*by*Bouscasse, H. & Joly, I. & Peyhardi, J.

**Catching up with history: A methodology to validate global CGE models**

*by*Michiel van Dijk & George Philippidis & Geert Woltjer

**PanJen: A test for functional form with continuous variables**

*by*Cathrine Ulla Jensen & Toke Emil Panduro

**Signaling Effects of Monetary Policy**

*by*Melosi, Leonardo

**When Can Trend-Cycle Decompositions Be Trusted?**

*by*Manuel Gonzalez-Astudillo & John M. Roberts

**Forecast Combination for Euro Area Inflation - A Cure in Times of Crisis?**

*by*Kirstin Hubrich & Frauke Skudelny

**A one-covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models**

*by*Chudik, Alexander & Kapetanios, George & Pesaran, M. Hashem

**Big data analytics: a new perspective**

*by*Chudik, Alexander & Kapetanios, George & Pesaran, M. Hashem

**Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis**

*by*Evzen Kocenda & Michala Moravcova

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

*by*Asai, M. & McAleer, M.J.

**Financial Market Liquidity: Who Is Acting Strategically?**

*by*Gulten Mero & Serge Darollesa & Gaëlle Le Fol

**Identifying the independent sources of consumption variation**

*by*Matteo Barigozzi & Alessio Moneta

**Reconciling output gaps: unobserved components model and Hodrick-Prescott filter**

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

**Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study**

*by*Rosnan, Chotard & Michel, Dacorogna & Marie, Kratz

**Reject inference in application scorecards: evidence from France**

*by*Ha-Thu Nguyen

**Restrictions Search for Panel VARs**

*by*Annika Schnücker

**Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule?**

*by*Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Mohamad Husam Helmi & Faek Menla Ali & Coskun Akdeniz

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

*by*Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips

**Score-driven dynamic patent count panel data models**

*by*Escribano, Álvaro & Blazsek, Szabolcs

**Distinguishing the Confounding Factors: Policy Evaluation, High-Dimension and Variable Selection**

*by*Jérémy L'Hour

**Robust Analysis of the Martingale Hypothesis**

*by*Christian Gouriéroux & Joann Jasiak

**Robust Analysis of the Martingale Hypothesis**

*by*Christian Gouriéroux & Joann Jasiak

**Understanding the Sources of Macroeconomic Uncertainty**

*by*Rossi, Barbara & Sekhposyan, Tatevik & Soupre, Mattheiu

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

*by*Rossi, Barbara & Sekhposyan, Tatevik

**In-sample Inference and Forecasting in Misspecified Factor Models**

*by*Carrasco, Marine & Rossi, Barbara

**Regression Discontinuity Design with Many Thresholds**

*by*BERTANHA, Marinho

**Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star**

*by*Miller Ariza

**Credit Funding and Banking Fragility: An Empirical Analysis for Emerging Economies**

*by*Alexander Guarín-López & Ignacio Lozano-Espitia

**Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach**

*by*Hernán Rincón-Castro & Norberto Rodríguez-Niño

**Comparison of Methods for Estimating the Uncertainty of Value at Risk**

*by*Santiago Gamba Santamaría & Oscar Fernando Jaulín Méndez & Luis Fernando Melo Velandia & Carlos Andrés Quicazán Moreno

**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

**A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon**

*by*Li Lin & Didier Sornette

**A Diagnostic Criterion for Approximate Factor Structure**

*by*Patrick Gagliardini & Elisa Ossola & O. Scaillet

**VAR Models with Non-Gaussian Shocks**

*by*Ching-Wai Chiu & Haroon Mumtaz & Gabor Pinter

**Forecastability and Statistical Characteristics of Aggregate Oil and Gas Investments on the Norwegian Continental Shelf**

*by*Sindre Lorentzen & Petter Osmundsen

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

*by*Stephen J. Cole & Fabio Milani

**Monetary Policy Rules in Emerging Countries: Is there an Augmented Nonlinear Taylor Rule?**

*by*Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Mohamad Husam Helmi & Faek Nemla Ali & Coskun Akdeniz

**Big Data Analytics: A New Perspective**

*by*Alexander Chudik & George Kapetanios & M. Hashem Pesaran

**Joint Confidence Sets for Structural Impulse Responses**

*by*Atsushi Inoue & Lutz Kilian

**Impulse Response Matching Estimators for DSGE Models**

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

**Comparing different data descriptors in Indirect Inference tests on DSGE models**

*by*Minford, Patrick & Wickens, Michael & Xu, Yongdeng

**What is the truth about DSGE models? Testing by indirect inference**

*by*Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng

**Testing part of a DSGE model by Indirect Inference**

*by*Minford, Patrick & Wickens, Michael & Xu, Yongdeng

**Determinants of Chinese Government Size: An Extreme Bounds Analysis**

*by*Philip Gunby & Yinghua Jin

**A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models**

*by*Chudik, A. & Kapetanios, G. & Pesaran, Hashem

**Big Data Analytics: A New Perspective**

*by*A. Chudik & G. Kapetanios & M. Hashem Pesaran

**On the Stock-Yogo Tables**

*by*Christopher L. Skeels & Frank Windmeijer

**Measuring Underlying Inflation Using Dynamic Model Averaging**

*by*Yuto Iwasaki & Sohei Kaihatsu

**Detecting imbalances in house prices: What goes up must come down?**

*by*André K. Anundsen

**Understanding the Sources of Macroeconomic Uncertainty**

*by*Barbara Rossi & Tatevik Sekhposyan & Matthiew Soupre

**Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP**

*by*M. Mogliani & T. Ferrière

**The PRISME model: can disaggregation on the production side help to forecast GDP?**

*by*C. Thubin & T. Ferrière & E. Monnet & M. Marx & V. Oung

**Assessing financial stability risks from the real estate market in Italy**

*by*Federica Ciocchetta & Wanda Cornacchia & Roberto Felici & Michele Loberto

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

*by*Paolo Brunori & Vito Peragine & Laura Serlenga

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

*by*Mouna Gammoudi & Mondher Cherif & Simplice Asongu

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

*by*Simplice Asongu & John Anyanwu & Vanessa Tchamyou

**Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory**

*by*Firmin Doko Tchatoka & Jean-Marie Dufour

**Volume, Volatility and Public News Announcements**

*by*Tim Bollerslev & Jia Li & Yuan Xue

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

*by*Robinson Kruse & Christian Leschinski & Michael Will

**Volatility Discovery**

*by*Gustavo Fruet Dias & Cristina M. Scherrer & Fotis Papailias

**Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression**

*by*Markku Lanne & Jani Luoto

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

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

**Estimation And Forecast Of Regional Competitiveness Level**

*by*Galina Gagarina & Nikita Moiseev & Alla Ryzhakova & Gleb Ryzhakov

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