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Citations for "Model selection tests for nonlinear dynamic models"

by Douglas Rivers & Quang Vuong

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  1. Hovhannisyan, Vardges & Stiegert, Kyle W., 2011. "Vertical Channel Analysis of the U.S. Milk Market," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103631, Agricultural and Applied Economics Association.
  2. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
  3. Celine, Bonnet & Dubois, Pierre & Villas-Boas, Sofia B., 2009. "Empirical Evidence on the Role of Non Linear Wholesale Pricing and Vertical Restraints on Cost Pass-Through," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt5nq6h34n, Department of Agricultural & Resource Economics, UC Berkeley.
  4. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers 2008-23, School of Economics, The University of New South Wales.
  5. Bonnet, Céline & Réquillart, Vincent, 2011. "Tax incidence with strategic firms on the soft drink market," TSE Working Papers 11-233, Toulouse School of Economics (TSE), revised Jul 2012.
  6. Doraszelski, Ulrich & Jaumandreu, Jordi, 2006. "R&D and productivity: Estimating production functions when productivity is endogenous," MPRA Paper 1246, University Library of Munich, Germany.
  7. Shi, Xiaoxia, 2015. "Model selection tests for moment inequality models," Journal of Econometrics, Elsevier, vol. 187(1), pages 1-17.
  8. De Lira Salvatierra, Irving & Patton, Andrew J., 2015. "Dynamic copula models and high frequency data," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 120-135.
  9. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2008. "Comparison of Misspecified Calibrated Models: The Minimum Distance Approach," Microeconomics.ca working papers vadim_marmer-2008-14, Vancouver School of Economics, revised 28 Sep 2011.
  10. Michel, Christian, 2013. "Identification and Estimation of Intra-Firm and Industry Competition via Ownership Change," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80488, Verein für Socialpolitik / German Economic Association.
  11. McElroy, Tucker & Holan, Scott, 2009. "A local spectral approach for assessing time series model misspecification," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 604-621, April.
  12. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 39669, University Library of Munich, Germany.
  13. Bonnet, Céline & Requillart, Vincent, 2010. "Is The Eu Sugar Policy Reform Likely To Increase Obesity?," 115th Joint EAAE/AAEA Seminar, September 15-17, 2010, Freising-Weihenstephan, Germany 116414, European Association of Agricultural Economists;Agricultural and Applied Economics Association.
  14. Bonnet, Céline & Dubois, Pierre & Simioni, Michel, 2006. "Two-Part Tariffs versus Linear Pricing Between Manufacturers and Retailers: Empirical Tests on Differentiated Products Markets," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25685, International Association of Agricultural Economists.
  15. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," Harvard Institute of Economic Research Working Papers 1999, Harvard - Institute of Economic Research.
  16. Francis X. Diebold, 2012. "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," NBER Working Papers 18391, National Bureau of Economic Research, Inc.
  17. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2011. "Chi-squared tests for evaluation and comparison of asset pricing models," FRB Atlanta Working Paper 2011-08, Federal Reserve Bank of Atlanta.
  18. Jarrow, Robert & Kwok, Simon, 2013. "Specification Tests of Calibrated Option Pricing Models," Working Papers 2013-08, University of Sydney, School of Economics, revised Dec 2014.
  19. Arun G. Chandrasekhar & Horacio Larreguy & Juan Pablo Xandri, 2015. "Testing Models of Social Learning on Networks: Evidence from a Lab Experiment in the Field," NBER Working Papers 21468, National Bureau of Economic Research, Inc.
  20. Douglas, Christopher C. & Kolar, Marek, 2009. "Capturing the time dynamics of central bank intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 950-968, December.
  21. Chen, Xiaohong & Hong, Han & Shum, Matthew, 2007. "Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models," Journal of Econometrics, Elsevier, vol. 141(1), pages 109-140, November.
  22. Molnar, Jozsef & Violi, Roberto & Zhou, Xiaolan, 2010. "Multimarket Contact in Italian Retail Banking: Competition and Welfare," MPRA Paper 48610, University Library of Munich, Germany, revised May 2013.
  23. Raffaella Giacomini & Barbara Rossi, 2014. "Model comparisons in unstable environments," Economics Working Papers 1437, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 2015.
  24. Christopher Douglas & Ana María Herrera, 2010. "Why are gasoline prices sticky? A test of alternative models of price adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(6), pages 903-928.
  25. Seojeong Lee, 2013. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Discussion Papers 2013-09, School of Economics, The University of New South Wales.
  26. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
  27. Heechul Min, 2015. "Consumer benefits of reforming a state-dominated industry," Journal of Regulatory Economics, Springer, vol. 47(1), pages 58-77, February.
  28. Marc Rysman & Gautam Gowrisankaran, 2011. "Dynamics of Consumer Demand for New Durable Goods," Boston University - Department of Economics - Working Papers Series WP2011-062, Boston University - Department of Economics.
  29. Li, Tong, 2009. "Simulation based selection of competing structural econometric models," Journal of Econometrics, Elsevier, vol. 148(2), pages 114-123, February.
  30. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," NBER Working Papers 15047, National Bureau of Economic Research, Inc.
  31. Bonnet, Céline & Dubois, Pierre, 2009. "Inference on Vertical Contracts between Manufacturers and Retailers Allowing for Nonlinear Pricing and Resale Price Maintenance," IDEI Working Papers 583, Institut d'Économie Industrielle (IDEI), Toulouse.
  32. Thomas, Alban & Zaporozhets, Vera, 2015. "Bargaining over Environmental Budgets: A Political Economy Model with Application to French Water Policy," TSE Working Papers 15-579, Toulouse School of Economics (TSE).
  33. Xiaohong Chen & Yanqin Fan, 2004. "Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification," Vanderbilt University Department of Economics Working Papers 0419, Vanderbilt University Department of Economics, revised Sep 2004.
  34. Scalco, Paulo R. & Braga, Marcelo J., 2015. "Identification of Market Power in Bilateral Oligopoly: The Brazilian Wholesale Market of UHT Milk," 2015 Conference, August 9-14, 2015, Milan, Italy 212278, International Association of Agricultural Economists.
  35. Karunaratne, Neil Dias & Bhar, Ramprasad, 2011. "Regime-shifts and post-float inflation dynamics of Australia," Economic Modelling, Elsevier, vol. 28(4), pages 1941-1949, July.
  36. Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," FRB Atlanta Working Paper 2007-04, Federal Reserve Bank of Atlanta.
  37. Mur, Jesús & Angulo, Ana, 2009. "Model selection strategies in a spatial setting: Some additional results," Regional Science and Urban Economics, Elsevier, vol. 39(2), pages 200-213, March.
  38. Christian, Michel, 2013. "Identification and Estimation of Intra-Firm and Industry Competition via Ownership Change," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 409, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  39. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
  40. Francesco Battaglia & Mattheos Protopapas, 2012. "An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(3), pages 315-334, August.
  41. Chidmi, Benaissa & Lopez, Rigoberto A. & Cotterill, Ronald W., 2009. "The Retail Service, The Market Power, and the Vertical Relationships in Breakfast Cereals Industry," 2009 Conference, August 16-22, 2009, Beijing, China 51770, International Association of Agricultural Economists.
  42. Vadim Marmer & Taisuke Otsu, 2009. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Cowles Foundation Discussion Papers 1724, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
  43. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 125-154.
  44. Serra, Teresa & Gil, Jose Maria, 2012. "Biodiesel as a motor fuel price stabilization mechanism," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126056, International Association of Agricultural Economists.
  45. R. Golden, 2003. "Discrepancy Risk Model Selection Test theory for comparing possibly misspecified or nonnested models," Psychometrika, Springer;The Psychometric Society, vol. 68(2), pages 229-249, June.
  46. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, Elsevier.
  47. Fiszeder, Piotr & Perczak, Grzegorz, 2016. "Low and high prices can improve volatility forecasts during periods of turmoil," International Journal of Forecasting, Elsevier, vol. 32(2), pages 398-410.
  48. Jesús Mur & Ana Angulo, 2007. "Clues for discriminating between moving average and autoregressive models in spatial processes," Spanish Economic Review, Springer;Spanish Economic Association, vol. 9(4), pages 273-298, December.
  49. Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2015. "Bad environments, good environments: A non-Gaussian asymmetric volatility model," Journal of Econometrics, Elsevier, vol. 186(1), pages 258-275.
  50. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy, & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  51. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre.
  52. Bonnet, Céline & Réquillart, Vincent, 2013. "Sugar Policy Reform, Tax Policy and Price Transmission in the Soft Drink Industry," TSE Working Papers 13-373, Toulouse School of Economics (TSE).
  53. Choi, Hwan-sik & Jeong, Minsoo & Park, Joon Y., 2014. "An asymptotic analysis of likelihood-based diffusion model selection using high frequency data," Journal of Econometrics, Elsevier, vol. 178(P3), pages 539-557.
  54. Bonnet, Céline & Réquillart, Vincent, 2011. "Strategic Pricing and Health Price Policies," IDEI Working Papers 671, Institut d'Économie Industrielle (IDEI), Toulouse, revised Jul 2012.
  55. Gautam Gowrisankaran & Marc Rysman, 2007. "Dynamics of Consumer Demand for New Durable Goods," Boston University - Department of Economics - Working Papers Series WP2007-024, Boston University - Department of Economics.
  56. Arie Preminger & Christian M. Hafner, 2006. "Deciding Between Garch And Stochastic Volatility Via Strong Decision Rules," Working Papers 0603, Ben-Gurion University of the Negev, Department of Economics.
  57. Chidmi, Benaissa & Lopez, Rigoberto A., 2007. "The Role of Retail Services in Food Market Equilibrium," 2007 1st Forum, February 15-17, 2007, Innsbruck, Austria 6579, International European Forum on Innovation and System Dynamics in Food Networks.
  58. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31., Puey Ungphakorn Institute for Economic Research, revised Jun 2016.
  59. Heechul Min, 2011. "Reform in a Differentiated-Product Industry: The Case of the Korean Cigarette Manufacturing Industry," Korean Economic Review, Korean Economic Association, vol. 27, pages 57-74.
  60. Susanne Schennach & Daniel Wilhelm, 2014. "A simple parametric model selection test," CeMMAP working papers CWP10/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  61. Oh, Dong Hwan & Patton, Andrew J., 2015. "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series 2015-50, Board of Governors of the Federal Reserve System (U.S.).
  62. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2009. "Supplement to "Comparison of Misspecified Calibrated Models"," Microeconomics.ca working papers vadim_marmer-2009-58, Vancouver School of Economics, revised 03 Feb 2011.
  63. Jiménez-Gamero, M.D. & Pino-Mejías, R. & Alba-Fernández, V. & Moreno-Rebollo, J.L., 2011. "Minimum [phi]-divergence estimation in misspecified multinomial models," Computational Statistics & Data Analysis, Elsevier, vol. 55(12), pages 3365-3378, December.
  64. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers 2012-07, Christian-Albrechts-University of Kiel, Department of Economics.
  65. Kawakatsu, Hiroyuki, 2006. "Matrix exponential GARCH," Journal of Econometrics, Elsevier, vol. 134(1), pages 95-128, September.
  66. Chaubert, F. & Mortier, F. & Saint André, L., 2008. "Multivariate dynamic model for ordinal outcomes," Journal of Multivariate Analysis, Elsevier, vol. 99(8), pages 1717-1732, September.
  67. Wang, Kehluh & Chen, Yi-Hsuan & Huang, Szu-Wei, 2011. "The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 654-664, October.
  68. Eric French & John Bailey Jones, 2004. "On the distribution and dynamics of health care costs," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(6), pages 705-721.
  69. Chiang, Min-Hsien & Wang, Li-Min, 2011. "Volatility contagion: A range-based volatility approach," Journal of Econometrics, Elsevier, vol. 165(2), pages 175-189.
  70. Philip G. Gayle, 2013. "On the Efficiency of Codeshare Contracts between Airlines: Is Double Marginalization Eliminated?," American Economic Journal: Microeconomics, American Economic Association, vol. 5(4), pages 244-73, November.
  71. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 40278, University Library of Munich, Germany.
  72. Bonnet, Céline & Corre, Tifenn & Réquillart, Vincent, 2015. "Price Transmission in Food Chains: The Case of the Dairy Industry," TSE Working Papers 15-563, Toulouse School of Economics (TSE).
  73. Cohen, Michael, 2010. "Determining the Impact of Retailer Store Brand Procurement on Vertical Relationships with Brand Manufacturers and on Market Equilibrium," Research Reports 149968, University of Connecticut, Food Marketing Policy Center.
  74. PREMINGER, Arie & SAKATA, Shinichi, 2005. "A model selection method for S-estimation," CORE Discussion Papers 2005073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  75. Choi, Hwan-sik, 2016. "Information theory for maximum likelihood estimation of diffusion models," Journal of Econometrics, Elsevier, vol. 191(1), pages 110-128.
  76. DOI Naoshi & OHASHI Hiroshi, 2015. "An Airline Merger and its Remedies: JAL-JAS of 2002," Discussion papers 15100, Research Institute of Economy, Trade and Industry (RIETI).
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.