## 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.

**VAR Models with Non-Gaussian Shocks**

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

**Attenuation bias when measuring inventive performance**

*by*Zwick, Thomas & Frosch, Katharina

**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

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

*by*Vincent Vergnat

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

*by*Pierre Koning & Jan-Maarten van Sonsbeek

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

*by*Fabiana Rocha & Veronica Orellano, Karina Bugarin

**Accommodating Stake Effects under Prospect Theory**

*by*Ranoua Bouchouicha & Ferdinand Vieider

**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

**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

**Bayesian Rank Selection in Multivariate Regression**

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

**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

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

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

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

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

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

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

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

*by*Dilip M. Nachane

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

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

**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

**Big data analytics: a new perspective**

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

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

*by*Ha-Thu Nguyen

**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

**VAR Models with Non-Gaussian Shocks**

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

**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

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

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

**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

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

*by*Markku Lanne & Jani Luoto

**Comparison of Parametric and Nonparametric Modeling: Aesthetic Effect of Kamran Khavaraniâ€™s Paintings**

*by*Simin Mozayeni & Parisa Amirmostofian

**Performance of VaR in Developed and CEE Countries during the Global Financial Crisis**

*by*Mirjana Miletić & Siniša Miletić

**The Identification Of Inflation Rate Determinants In The Usa Using The Stochastic Search Variable Selection**

*by*Mihaela SIMIONESCU

**Predicting gross wages of non-employed persons in Croatia**

*by*Slavko Bezeredi & Ivica Urban

**A Forecasting Metric for Evaluating DSGE Models for Policy Analysis**

*by*Abhishek Gupta

**Analyzing Market Economies from the Perspective of Information Production, Policy, and Self-organized Equilibrium**

*by*C-Rene DOMINIQUE

**Conditional Relationship Between Beta and Return in the US Stock Market**

*by*Bing XIAO

**A copula-TGARCH approach of conditional dependence between oil price and stock market index: the case of Mexico**

*by*Arturo Lorenzo Valdés & Leticia Armenta Fraire & Rocío Durán Vázquez

**Return and volatility interdependences in up and down markets across developed and emerging countries**

*by*Kundu, Srikanta & Sarkar, Nityananda

**Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach**

*by*Shi, Yanlin & Ho, Kin-Yip & Liu, Wai-Man

**Heterogeneous agents, the financial crisis and exchange rate predictability**

*by*Buncic, Daniel & Piras, Gion Donat

**Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme**

*by*Shi, Guangping & Liu, Xiaoxing & Tang, Pan

**Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models**

*by*Qu, Hui & Chen, Wei & Niu, Mengyi & Li, Xindan

**Modeling energy price dynamics: GARCH versus stochastic volatility**

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

**Model uncertainty in Panel Vector Autoregressive models**

*by*Koop, Gary & Korobilis, Dimitris

**Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem**

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

**Model averaging based on leave-subject-out cross-validation**

*by*Gao, Yan & Zhang, Xinyu & Wang, Shouyang & Zou, Guohua

**A Stein-like estimator for linear panel data models**

*by*Wang, Yun & Zhang, Yonghui & Zhou, Qiankun

**Reallocation shocks, persistence and nominal rigidities**

*by*Furlanetto, Francesco & Groshenny, Nicolas

**Globalization, Financial Development and Economic Growth**

*by*Altuð Kazar & Görkemli Kazar

**Modelación de la asimetría y la curtosis condicionales en series financieras colombianas**

*by*Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia

**Boosting und die Prognose der deutschen Industrieproduktion: Was verrät uns der Blick in die Details?**

*by*Robert Lehmann & Klaus Wohlrabe

**Du risque des mesures de risque systémique**

*by*Christophe Boucher & Patrick Kouontchou & Bertrand Maillet

**Du risque des mesures de risque systémique**

*by*Christophe Boucher & Patrick Kouontchou & Bertrand Maillet

**Parameter Learning in General Equilibrium: The Asset Pricing Implications**

*by*Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer

**Is Gold an Inflation-Hedge? Evidence from an Interrupted Markov-Switching Cointegration Model**

*by*Goodness C. Aye & Tsangyao Chang & Rangan Gupta

**Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models**

*by*Rangan Gupta

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

*by*Thomas Lux & Mawuli K. Segnon & Rangan Gupta

**The estimation of the competitiveness of SME financing programs of development banks in Russia**

*by*Bakaykina, Anna

**Underwriting cycle in Russia and macroeconomic indicators**

*by*Tetin, Ilya

**Testing heteroskedastic time series for normality**

*by*Demetrescu, Matei & Kruse, Robinson

**Misspecification Testing in GARCH-MIDAS Models**

*by*Conrad, Christian & Schienle, Melanie

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

*by*Döhrn, Roland

**A novel ex-ante leading indicator for the EU industrial production**

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

**Knowledge spillovers: On the impact of genetic distance and data revisions**

*by*Deeken, Tim

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

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

**Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression**

*by*Barunik, Jozef & Barunikova, Michaela

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

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

**FDI, Aid, Terrorism: Conditional Threshold Evidence from Developing Countries**

*by*Asongu, Simplice & Efobi, Uchenna & Beecroft, Ibukun

**Semiparametric Model Averaging of Ultra-High Dimensional Time Series**

*by*Jia Chen & Degui Li & Oliver Linton & Zudi Lu

**We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors"**

*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

**Textual Analysis in Real Estate**

*by*Adam Nowak & Patrick Smith

**Bayesian Variable Selection in Spatial Autoregressive Models**

*by*Jesus Crespo Cuaresma & Philipp Piribauer

**La Modelización de la Demanda de Turismo de Economías Emergentes: El caso de la Llegada de Turistas Rusos a España**

*by*Marcos Alvarez-Díaz & Mª Soledad Otero-Giraldez & Manuel González-Gómez

**The Econometrics of Networks: A Review**

*by*Daniel Felix Ahelegbey

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

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

**A fast algorithm for finding the confidence set of large collections of models**

*by*Sylvain Barde

**Direct calibration and comparison of agent-based herding models of financial markets**

*by*Sylvain Barde

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

*by*Sylvain Barde

**Frontiers in Time Series and Financial Econometrics: An Overview**

*by*Shiqing Ling & Michael McAleer & Howell Tong

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

*by*Guillaume Gaetan Martinet & Michael McAleer

**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: Non-linear Spillovers from Financial Panic to Breakeven Inflation**

*by*Josh R. Stillwagon

**Were the Scandinavian Banking Crises Predictable? A Neural Network Approach**

*by*Kim Ristolainen

**Forecasting Value-at-Risk under Temporal and Portfolio Aggregation**

*by*Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk

**Specification Testing in Hawkes Models**

*by*Francine Gresnigt & Erik Kole & Philip Hans Franses

**In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models**

*by*Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas

**On the Ambiguous Consequences of Omitting Variables**

*by*Giuseppe De Luca & Jan Magnus & Franco Peracchi

**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

**In Search of the Drivers of the Turkish Consumer Confidence**

*by*Tugrul Gurgur & Zubeyir Kilinc

**Sources of Asymmetry and Non-linearity in Pass-Through of Exchange Rate and Import Price to Consumer Price Inflation for the Turkish Economy during Inflation Targeting Regime**

*by*Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner

**The Explanatory Power and the Forecast Performance of Consumer Confidence Indices for Private Consumption Growth in Turkey**

*by*Hatice Gokce Karasoy & Caglar Yunculer

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

*by*Christopher Gibbs

**Short-term Forecasting of Real GDP Using Monthly Data**

*by*Juraj Hucek & Alexander Karsay & Marian Vavra

**Small-scale nowcasting models of GDP for selected CESEE countries**

*by*Martin Feldkircher & Florian Huber & Josef Schreiner & Julia Woerz & Marcel Tirpak & Peter Toth

**Have inflation targeting and EU labour immigration changed the system of wage formation in Norway?**

*by*Marit Linnea Gjelsvik & Victoria Sparrman & Ragnar Nymoen

**An analysis of mobile banking customers for a bank strategy and policy planning**

*by*Behrooz Noori

**Financial Stock Market Co-movement and Correlation: Evidence in the European Union (EU) Area Before and After the October 2008 Financial Crisis**

*by*Serdar Neslihanoglu

**Using Stanford Parser Method For Assessing The Competencies Of It Professionals**

*by*Elena Alexandra Toader

**Generalised partial autocorrelations and the mutual information between past and future**

*by*Alessandra Luati & Tommaso Proietti

**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

**Testing the Relationships between Energy Consumption, CO2 emissions and Economic Growth in 24 African Countries: a Panel ARDL Approach**

*by*Asongu, Simplice & El Montasser, Ghassen & Toumi, Hassen

**The Common Factor of Bilateral U.S. Exchange Rates: What is it Related to?**

*by*Ponomareva, Natalia & Sheen, Jeffrey & Wang, Ben

**How to Create a Monte Carlo Simulation Study using R: with Applications on Econometric Models**

*by*Abonazel, Mohamed R.

**When is Foreign Aid Effective in Fighting Terrorism? Threshold Evidence**

*by*Asongu, Simplice & Ssozi, John

**Fighting Terrorism: Empirics on Policy Harmonization**

*by*Asongu, Simplice & Nwachukwu, Jacinta

**FDI, Aid, Terrorism: Conditional Threshold Evidence from Developing Countries**

*by*Asongu, Simplice & Efobi, Uchenna & Beecroft, Ibukun

**An econometric investigation of forecasting liquefied petroleum gas in Ghana**

*by*Yeboah Asuamah, Samuel

**Box-Jenkins modelling and forecasting of Brent crude oil price**

*by*Mensah, Emmanuel Kwasi

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

*by*Asongu, Simplice

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

*by*Asongu, Simplice

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

*by*Asongu, Simplice & Kodila-Tedika, Oasis

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

*by*Asongu, Simplice & Nwachukwu, Jacinta

**Forecasting German Car Sales Using Google Data and Multivariate Models**

*by*Fantazzini, Dean & Toktamysova, Zhamal

**Evaluating Performance of Inflation Forecasting Models of Pakistan**

*by*Hanif, Muhammad Nadim & Malik, Muhammad Jahanzeb

**Causal latent Markov model for the comparison of multiple treatments in observational longitudinal studies**

*by*Bartolucci, Francesco & Pennoni, Fulvia & Vittadini, Giorgio

**Modification of the LCOE model to estimate a cost of heat and power generation for Russia**

*by*Bratanova, Alexandra & Robinson, Jacqueline & Wagner, Liam

**Collaboration with and without Coauthorship: Rocket Science Versus Economic Science**

*by*Barnett, William

**Quantile forecasts of inflation under model uncertainty**

*by*Korobilis, Dimitris

**A misspecification test for finite-mixture logistic models for clustered binary and ordered responses**

*by*Francesco, Bartolucci & Silvia, Bacci & Claudia, Pigini

**Prior selection for panel vector autoregressions**

*by*Korobilis, Dimitris

**A Note on DD Approach**

*by*Dinda, Soumyananda

**Environmental attitude, motivations and values for marine biodiversity protection**

*by*Halkos, George & Matsiori, Steriani

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

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

**Nowcasting Regional GDP: The Case of the Free State of Saxony**

*by*Henzel, Steffen & Lehmann, Robert & Wohlrabe, Klaus

**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

**Minimising Selection Failure and Measuring Tax Gap: An Empirical Model**

*by*Kumar, Sudhanshu & Rao, R. Kavita

**Identification in Differentiated Products Markets**

*by*Steven T. Berry & Philip Haile

**The Pricing of Short-Term market Risk: Evidence from Weekly Options**

*by*Torben G. Andersen & Nicola Fusari & Viktor Todorov

**Beyond Random Assignment: Credible Inference of Causal Effects in Dynamic Economies**

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

**A Note on the Validity of Cross-Validation for Evaluating Time Series Prediction**

*by*Christoph Bergmeir & Rob J Hyndman & Bonsoo Koo

**Electoral fraud and voter turnout**

*by*Vardan, Baghdasaryan & Giovanna, Iannantuoni & Valeria, Maggian

**Forecasting Lithuanian Inflation**

*by*Julius Stakenas

**Backtesting Value-at-Risk: A Generalized Markov Framework**

*by*Thor Pajhede

**Variable selection in the analysis of energy consumption-growth nexus**

*by*Mariam Camarero & Anabel Forte & Gonzalo García-Donato & Yurena Mendoza & Javier Ordóñez

**New Evidence on Linear Regression and Treatment Effect Heterogeneity**

*by*Sloczynski, Tymon

**The Effectiveness of Fiscal Stimuli for Working Parents**

*by*de Boer, Henk-Wim & Jongen, Egbert L. W. & Kabátek, Jan

**A Note on Possible Estimation Bias When Studying Persons with Work Disability in Active Labour Market Programs**

*by*Gerdes, Christer

**Google Trends and Forecasting Performance of Exchange Rate Models**

*by*Levent Bulut

**Google Arama Motoru ve Turk Lirasi-Dolar Kurunu Belirleyen Yapýsal Modeller**

*by*Levent Bulut

**Semiparametric model averaging of ultra-high dimensional time series**

*by*Jia Chen & Degui Li & Oliver Linton & Zudi Lu

**Civil conflicts in Africa: Climate, economic shocks, nighttime lights and spill-over effects**

*by*Achim Ahrens

**CRIX or evaluating Blockchain based currencies**

*by*Simon Trimborn & Wolfgang Karl Härdle & &

**Dynamics of Real Per Capita GDP**

*by*Daniel Neuhoff & & &

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

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

**Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting**

*by*Lucas, André & Zhang, Xin

**Have Inflation Targeting and EU labour Immigration Changed the System of Wage Formation in Norway**

*by*Gjelsvik, Marit Linnea & Nymoen, Ragnar & Sparrman, Victoria

**Did US consumers `save for a rainy day' before the Great Recession?**

*by*Anundsen, Andre K. & Nymoen, Ragnar

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

*by*Pingel, Ronnie & Waernbaum, Ingeborg

**Baserunning - analyzing the sensitivity and economies of scale of the Swedish national freight model system using stochastic production-consumption-matrices**

*by*Westin , Jonas & de Jong , Gerard & Vierth , Inge & Krüger , Niclas & Karlsson, Rune & Johansson, Magnus

**Predicting Recessions in Germany With Boosted Regression Trees**

*by*Jörg Döpke & Ulrich Fritsche & Christian Pierdzioch

**A comparative Study of Volatility Breaks**

*by*Grote, Claudia & Bertram, Philip

**A Nonparametric Approach to Identifying a Subset of Forecasters that Outperforms the Simple Average**

*by*Constantin Bürgi & Tara M. Sinclair

**Predicting Recessions With Boosted Regression Trees**

*by*Jörg Döpke & Ulrich Fritsche & Christian Pierdzioch

**Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates**

*by*William Larson

**Can A Subset Of Forecasters Beat The Simple Average In The Spf?**

*by*Constantin Burgi

**Targeting Performance and Poverty Effects of Proxy Means-Tested Transfers: Trade-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

**Time-varying risk premium in large cross-sectional equity datasets**

*by*Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier

**Prior selection for panel vector autoregressions**

*by*Dimitris Korobilis.

**Quantile forecasts of inflation under model uncertainty**

*by*Dimitris Korobilis.

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

*by*Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis.

**Estimating the Competitive Storage Model with Trending Commodity Prices**

*by*Christophe Gouel & Nicolas Legrand

**Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR**

*by*McCracken, Michael W. & Owyang, Michael T. & Sekhposyan, Tatevik

**Tests of Equal Accuracy for Nested Models with Estimated Factors**

*by*Goncalves, Silvia & McCracken, Michael W. & Perron, Benoit

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

*by*Bognanni, Mark & Herbst, Edward

**Aggregation level in stress testing models**

*by*Hale, Galina & Krainer, John & McCarthy, Erin

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

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

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

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

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

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

**The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis**

*by*Sebastien Lleo & Bill Ziemba

**Testing competing models for non-negative data with many zeros**

*by*João M. C. Santos Silva & Silvana Tenreyro & Frank Windmeijer

**Estimating US fiscal and monetary interactions: from Volcker chairmanship to the Great Recession**

*by*Eddie Gerba & Klemens Hauzenberger

**Bayesian model comparison for time-varying parameter VARs with stochastic volatility**

*by*Joshua C.C. Chan & Eric Eisenstat

**A Bayesian model comparison for trend-cycle decompositions of output**

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

**Modeling energy price dynamics: GARCH versus stochastic volatility**

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

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

*by*Francesco Furlanetto & Nicolas Groshenny

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

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

**Exact P-Values for Network Interference**

*by*Athey, Susan & Eckles, Dean & Imbens, Guido W.

**Estimating the Competitive Storage Model with Trending Commodity Prices**

*by*Christophe Gouel & Nicolas Legrand

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

*by*Ha-Thu Nguyen

**War, Housing Rents, and Free Market: A Case of Berlin's Rental Housing Market during the World War I**

*by*Konstantin A. Kholodilin

**Relaxing Rational Expectations**

*by*Lance Kent

**MGARCH models: tradeoff between feasibility and flexibility**

*by*Ruiz, Esther & Hotta, Luiz & Almeida, Daniel De

**Dynamic conditional score patent count panel data models**

*by*Escribano, Álvaro & Blazsek, Szabolcs

**Inflation forecasting models for Uganda: is mobile money relevant?**

*by*Janine Aron & John Muellbauer & Rachel Sebudde

**Solution and Estimation Methods for DSGE Models**

*by*Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Schorfheide, Frank

**Is a normal copula the right copula?**

*by*Amengual, Dante & Sentana, Enrique

**Testing macro models by indirect inference: a survey for users**

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**Financial Crises and Monetary Policy: Evidence from the UK**

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**Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns**

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**The Opportunistic approach to monetary policy and financial markets**

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**The NNP and Sustainability in Open Economy: Highlights on Recent World Economy and on Open Economy of Bangladesh**

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**Изоморфизм И Гомоморфизм В Имитационном Моделировании**

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**The Link between Output Growth and Output Volatility in Five Crisis-Affected Asian Countries**

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**Testing for partial exogeneity with weak identification**

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**Selection and institutional shareholder activism in Chinese acquisitions**

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**Minimum Wage Legislation and Economic Growth: Channels and Effects**

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**Social factors influencing the decision to pay for the protection of biodiversity: A case study in two national parks of Northern Greece**

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**Estimating Noncooperative and Cooperative Models of Bargaining: An Empirical Comparison**

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**Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation**

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**Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments**

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**Structural Breaks in Inflation Dynamics within the European Monetary Union**

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**Generalized Measurement Invariance Tests with Application to Factor Analysis**

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**A new method for detecting differential item functioning in the Rasch model**

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**Design Limits in Regime-Switching Cases**

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

*by*Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao

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

*by*Marmer, Vadim & Otsu, Taisuke

**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**

*by*Magnus, J.R. & Powell, O.R. & Prüfer, P.

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

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*by*V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet

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

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

**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)**

*by*Daniel Buncic

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

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

*by*Ali Choudhary & Adnan Haider

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

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**Economic Impact of Political Cycles – The Relevance of European experinces for Romania**

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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**Testing Distributional Inequalities and Asymptotic Bias**

*by*Kyungchul Song

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*by*Janine Aron & John Muellbauer

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

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

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*by*Maria Elena Bontempi & Jacques Mairesse

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

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**Can Exchange Rates Forecast Commodity Prices?**

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**The tourism forecasting competition**

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

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

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

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

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**Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model**

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**Alternative Approaches to Evaluation in Empirical Microeconomics**

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

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

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

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

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

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

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

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**Forecasting Using Functional Coefficients Autoregressive Models**

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**Specification Tests of Parametric Dynamic Conditional Quantiles**

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

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

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**Growth Expectation**

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**Catching Growth Determinants with the Adaptive LASSO**

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**Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging**

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

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**Testing directional forecast value in the presence of serial correlation**

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

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**Measuring and Modeling Risk Using High-Frequency Data**

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**JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models**

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

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

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**House Prices and Replacement Cost: A Micro-Level Analysis**

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**A Consistent Nonparametric Test for Causality in Quantile**

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

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

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**Stability Tests for Heterogeneous Panel Data**

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**Comparing Forecast Performance of Exchange Rate Models**

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

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**Willingness to Pay for Car Safety: Sensitivity to Time Framing**

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**Firm Default and Aggregate Fluctuations**

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**Macroeconomic Impact on Expected Default Frequency**

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

*by*Mellander, Erik & Sandgren-Massih, Sofia

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

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**Performance Evaluation Based on the Robust Mahalanobis Distance and Multilevel Modelling Using Two New Strategies**

*by*Hussain, S & Mohamed, M. A. & Holder, R. & Almasri, A. & Shukur, G

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

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**Cointegration implications of linear rational expectation models**

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**A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets**

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

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**Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models**

*by*Vít Bubák

**Path Forecast Evaluation**

*by*Òscar Jordà & Massimiliano Marcellino

**Seasonality in revisions of macroeconomic data**

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

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

**Relative Price Variability and the Philips Curve: Evidence from Turkey**

*by*A. Nazif Catik & Christopher Martin & A. Özlem Önder

**The Frequency Of Price Adjustment And New Keynesian Business Cycle Dynamics**

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**Modelling Thirty Five Years Of Coffee Prices In Brazil, Guatemala And India**

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**Has modelsí forecasting performance for US output growth and inflation changed over time, and when?**

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**Forecast Comparisons in Unstable Environments**

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**Can Exchange Rates Forecast Commodity Prices?**

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**Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models**

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**How Banking competition Changed over Time**

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**Tests for Unbalanced Error Component Models Under Local Misspecication**

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

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

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

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

*by*Christian Dreger & Jürgen Wolters

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

*by*Stucchi, Rodolfo & Escribano, Álvaro

**Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects**

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**Evaluating the Effect of Public Subsidies on firm R&D activity: an Application to Italy Using the Community Innovation Survey**

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**Modelling and measuring the effects of public subsidies on business R&D: theoretical and econometric issues**

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

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

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**Firm Default and Aggregate Fluctuations**

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

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**Path Forecast Evaluation**

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**How much structure in empirical models?**

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**La transmisión de los choques a la tasa de cambio sobre la inflación**

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**Medidas De Riesgo Financiero Usando Cópulas: Teoría Y Aplicaciones**

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**Business Cycles in the Euro Area Defined with Coincident Economic Indicators and Predicted with Leading Economic Indicators**

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**Multivariate Location-Scale Mixtures Of Normals And Mean-Variance-Skwness Portfolio Allocation**

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**Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations**

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**Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models**

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

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**The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data**

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

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**How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference**

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

*by*Arghyrou, Michael G & Gadea, Maria Dolores

**Path Forecast Evaluation**

*by*Oscar Jorda & Massimiliano Marcellino

**Are sectoral stock prices useful for predicting euro area GDP?**

*by*Andersson, Magnus & D'Agostino, Antonello

**Selection on the basis of prior testing**

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

*by*Pesaran, M.H. & Zaffaroni, P.

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

*by*Pesaran, M.H. & Schleicher, C. & Zaffaroni, P.

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

*by*Akhter Faroque & William Veloce & Jean-Francois Lamarche

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

*by*Manos Matsaganis & Theodore Mitrakos & Panos Tsakloglou

**Business cycle analysis and VARMA models**

*by*Christian Kascha & Karel Mertens

**Estimating New Keynesian import price models**

*by*Ida Wolden Bache & Bjørn E. Naug

**Assessing estimates of the exchange rate pass-through**

*by*Ida Wolden Bache

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

*by*Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B.

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

*by*Hajivassiliou, V. & Savignac, F.

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

*by*Chauvin, V. & Devulder, A.

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

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**Inflation Targeting and Price-Level-Path Targeting in the GEM: Some Open Economy Considerations**

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**Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models**

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**Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study**

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

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**The cyclical component factor model**

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

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

*by*Christina Amado & Timo Teräsvirta

**Multivariate GARCH models**

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

*by*Annastiina Silvennoinen & Timo Teräsvirta

**Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate**

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

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

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**The Determinants of Health Care Utilization in Portugal: An Approach with Count Data Models**

*by*João Cotter Salvado

**Assessing Relative Performance of Econometric Models in Measuring the Impact of Climate Change on Agriculture Using Spatial Autoregression**

*by*Seo, S. Niggol

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*by*Stefania Gabriele & Corrado Pollastri & Michele Raitano

**Impact Of Globalisation On The Evolution Of The Demographic Phenomenon**

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**Spurious Regression And Cointegration. Numerical Example: Romania’S M2 Money Demand**

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**Measuring the Socio-Economic Bipolarization Phenomenon**

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