# Economics Group, Nuffield College, University of Oxford

# Economics Papers

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### 2001

**2002-W5 How (Not) to Run Auctions: the European 3G Telecom Auctions***by*Paul Klemperer**2002-W4 The Biggest Auction Ever: the Sale of the British 3G Telecom Licenses***by*Ken Binmore & Paul Klemperer**2001-W29 Institutions and Wage Determination: a Multi-Country Approach***by*Luca Nunziata**2001-W28 Inferring Buyer Strategies and their Impact on Monopolist Pricing***by*Jim Engle-Warnick & Bradley Ruffle**2001-W27 Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models***by*Jurgen A. Doornik & Marius Ooms**2001-W26 Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"***by*Siddhartha Chib & Neil Shephard**2001-W25 Some recent developments in stochastic volatility modelling***by*Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard**2001-W24 Comparative Statics and Welfare Theorems When Goods Are Normal***by*John Quah**2001-W23 Complex Collective Decisions and the Probability of Collective Inconsistencies***by*Christian List**2001-W21 GMM Estimation of Empirical Growth Models***by*Stephen Bond & Anke Hoeffler & Jonathan Temple**2001-W20 Estimating quadratic variation using realised volatility***by*Ole E. Barndorff-Nielsen & Neil Shephard**2001-W19 IMF Conditionality***by*Giulio Federico**2001-W18 Realised power variation and stochastic volatility models***by*Ole E. Barndorff-Nielsen & Neil Shephard**2001-W17 Hyperbolic Discounting and Secondary Markets***by*Volker Nocke & Martin Pietz**2001-W16 How accurate is the asymptotic approximation to the distribution of realised volatility?***by*Ole E. Barndorff-Nielsen & Neil Shephard**2001-W15 The Fragility and Robustness of Trust***by*Jim Engle-Warnick & Robert L. Slonim**2001-W14 Inferring Strategies from Observed Actions: A Nonparametric, Binary Tree Classification Approach***by*Jim Engle-Warnick**2001-W13 Inferring Repeated Game Strategies From Actions: Evidence From Trust Game Experiments***by*Jim Engle-Warnick & Robert L. Slonim**2001-W12 Demand is heterogenous in grandmonts model***by*John Quah**2001-W11 A simple dynamic model for limited dependent variables***by*Frank Gerhard**2001-W10 Order determination in general vector autoregressions***by*Bent Nielsen**2001-W9 Asymptotic properties of least squares statistics in general vector autoregressive models***by*Bent Nielsen**2001-W8 Higher order variation and stochastic volatility models***by*Ole E. Barndorff-Nielsen & Neil Shephard**2001-W7 On Short-Term Contracts Regulations***by*Luca Nunziata & Stefano Staffolani**2001-W6 Normal modified stable processes***by*Ole E. Barndorff-Nielsen & Neil Shephard**2001-W3 Comparative Statics of the Weak Axiom***by*John Quah**2001-W2 Firm Level Investment and R&D in France and the United States: A Comparison***by*Benoit Mulkay & Bronwyn H. Hall & Jacques Mairesse**2001-W1 Integrated OU Processes***by*Ole E. Barndorff-Nielsen & Neil Shephard

### 2000

**2002-W8 Forecast Failure, Expectations Formation, and the Lucas Critique***by*David Hendry**2001-W5 Bidding in an electricity pay-as-bid auction***by*Giulio Federico & David Rahman**2001-W4 Econometric analysis of realised volatility and its use in estimating stochastic volatility models***by*Ole E. Barndorff-Nielsen & Neil Shephard**2000-w15 The Right Choice at the Right Time: a Herding Experiment in Endogenous Time***by*Sgroi, D.**2000-w14 Optimizing Information in the Herd: Guinea Pigs, Profit and Welfare***by*Sgroi, D.**2000-w13 Pro Arguments, Con Arguments and Status Quo Bias in Multi-Issue Decision Problems***by*Spiegler, R.**2000-w12 Weak Axiomatic Demand Theory***by*Quah, J.K.-H.**2000-w11 Does Competition Solve the Hold-Up Problem?***by*Felli, L. & Roberts, K.**2000-w10 Wage-Tenure Contracts in a Frictional Labour Market: Firms' Stratgies for Recruitment and Retention***by*Stevens, M.**2000-w9 Reconciling Theoretical and Empirical Human Capital Earnings Functions***by*Stevens, M.**2000-w4 R&D and Growth at the Industry Level***by*Cameron, G.**1999-w9/2000-w3 Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics***by*Barndorff-Nielsen, O.E. & Shepard, N.

### 1999

**9927 Multidimensional Inequality Measurement: a Proposal***by*List, C.**9926 The Effects of Labour Market Institutions on the Employment Dynamics over the Cycle***by*Nunziata, L.**9924 Why did UK Manufacturing Productivity Growth Slow Down in the 1970s and Speed Up in the 1980s?***by*Cameron, G.**9922 Instant Exit from the War of Attrition***by*Myatt, D.P.**1999-w20 Income Inequality and Macroeconomic Volatility: an Empirical Investigation***by*Breen, R. & Garcia-Penalosa, C.**1999-w17 Competition and Hold-Ups***by*Felli, L. & Roberts, K.**1999-w16 Heart of Darkness: Public-Private Interaction Inside the R&D Black Box***by*David, P.A. & Hall, B.H.**1999-w12 Auction Theory: a Guide to the Literature***by*Klemperer, P.**1999-w11 The Tobacco Deal***by*Bulow, J. & Klemperer, P.**1999-w10 Pension Systems in Open Economy***by*Casarico, A.**1999-w7 Earnings, Unemployment, and Housing: Evidence from a Panel of British Regions***by*Cameron, G. & Muellbauer, J.**1999-w6 Takeover Likelihood Models for UK Quoted Companies***by*Nuttal, R.**1999-w5 An Empirical Analysis of the Effects of the Threat of Takeover on UK Company Performance***by*Nuttal, R.**1999-w4 Should Firms be Required to Pay for Vocational Training?***by*Stevens, M.**1999-w3 Innovation and Market Value***by*Hall, B.H.**1999-w2 Covariate Measurement Error in Quadratic Regression***by*Kuha, J. & Temple, J.**1999-w1 Sophisticated Play by Idiosyncratic Agents***by*Myatt, D.P. & Wallace, C.

### 1998

**150 Status Effects and Neganive Utility Growth***by*Cooper, B. & Garcia-Penalosa, C.**149 A Theory of the Onset of Currency Attacks***by*Morris, S. & Shin, H.S.**148 Catch-Up and Leapfrog Between The USA and Japan***by*Cameron, G.**146 Likelihood INference for Discretely Observed Non-linear Diffusions***by*Elerian, O. & Chib, S. & Shephard, N.**145 The Ergodic Distribution of Wealth with Random Shocks***by*Bliss, C.**144 Evolving Patterns of International Trade***by*Proudman, J. & Redding, S.**143 Firm-Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years***by*Hall, B. & Mairesse, J. & Mulkay, B.**142 Does Cash Flow cause Investment and R&D: An Exploration Using Panel Data for French, Japanese, and United States Scientific Firms***by*Hall, B. & Mairesse, J. & Branstetter, L. & Crepon, B.**141 Aggregation and Model Construction for Volatility Models***by*Barndorf-Nielsen, O.E. & Shephard, N.

### 1997

**140 Dynamic Comparative Advantage and the Welfare Effects of Trade***by*Redding, S.**139 Informational Herding and Optimal Experimentation***by*Smith, L. & Sorensen, P.**137 Equilibrium Departures From Common Knowledge in Games With Non-Additive Expected Utility***by*Mukerji, S. & Song Shin, H.**135 A Ratioanl Learning Model of Gender Segregation in Labour Markets***by*Breen, R. & Garcia-Penalosa, C.**134 Almost Common Value Auctions: The "Wallet Game" and its Applications to Takeover Battles and Airwaves Auctions***by*Klemperer, P.**131 Asymptotic Results for Cointegration Tests in Non-Stable Cases***by*Nielsen, B**130 Adaptive Dynamics with Payoff Heterogeneity***by*Myatt, D-P & Wallace, C**129 Dynamic Pollution Games***by*Mason, R

### 1996

**22 & 116 Human capital, equipment investment, and industrialization***by*Jonathan Temple & Hans-Joachim Voth**21 & 114 Social capability and economic development***by*Jonathan Temple & Paul Johnson**20 & 113 Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models***by*Michael K Pitt & Neil Shephard**19. & 111. Nonparametric inference by quasi-likelihood methods'/A>Size-v0: 198,000***by*Richard H Spady**128 An Option-Based Model of Equilibrium Credit Rationing***by*Mason, R**127 The Monotonicity of Individual and Market Demand***by*Quah, J-K-H**126 Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks***by*Morris, S & Song Shin, H**125 Booms and Busts in the UK Housing Market***by*Muellbauer, J & Murphy, A**124 Adversarial and Inquisitorial Procedures in Arbitration***by*Song Shin, H**120 Skewness of Earnings and the Believability Hypothesis : How Does the Financial Market Discount Accounting Earnings Disclosures?***by*Krishnan, M & Sankaraguruswamy, S & Song Shin, H**117 Bringing Income Distribution in from the Cold***by*Atkinson, A-B**115 Pathological Outcomes of Observational Learning***by*Smith, L. & Sorensen, P.**112 Inequality, Market Structure, and Growth: A Neo-Schumpeterian Perspective***by*Li, C.W.**111 Nonparametric Inference by Quasi-Likelihood Methods***by*Spady, R.H.

### 1995

**99 Information Theoretic Approaches to Inference in Movement Condition Models***by*Imbens, G.W. & Johnson, P. & Spady, R.H.**98 Bartlett Correction of the Unit Root test in Autoregressive Models***by*Nielsen, B.**97 Absolute Poverty or Relative Inequality : A theory of Growth and Wage Differentials***by*Penalosa, C.G.**18 & 106. Testing the augmented Solow Model***by*Jonathan Temple**15 & 108. Likelihood analysis of non-Gaussian parameter driven models***by*Neil Shephard & Michael K Pitt**13 & 103. Income Distribution in Europe and the United States***by*A B Atkinson**11 & 98. Bartlett correction of the unit root test in autoregressive models***by*Bent Nielsen**8. Generalized linear autoregressions***by*Neil Shephard**7. On the interactions of unit roots and exogeneity***by*David Hendry**110 Knowledge, Physical Capital and Creative destruction***by*Cannon, E.**109 Is There a Penalty to being a Pioneer***by*Redding, S.**108 Likelihood Analysis of Non-Gaussian Parameter-Driven Models***by*Shephard, N. & Pitt, M.K.**107 Trade Union Decline and the Distribution of Wages in the UK: Evidence from Kernel Density Estimation***by*Bell, B. & Pitt, M.K.**106 Testing the Augmented Solow Models***by*Temple, J.**105 Corruption with Small Corrupt Agents***by*Bliss, C. & Di Tella., R.**104 Initial Conditions and Moment Restrictions in Dynamic Panel Data Models***by*Blundell, R. & Bond, S.**103 Income Distribution in Europe and United States***by*Atkinson, A.B.**102 Limited Intertemporal Commitment and Job Design***by*Meyer, M.A. & Olsen, T.E. & Torsvik, G.**101 Education and Production in the United Kingdom***by*Jenkins, H.**100 Capital Mobility, Convergence Clubs and Long-Run Economic Growth***by*Bliss, C.

### 1994

**5. An evaluation of forecasting using leading indicators***by*Rebecca A Emerson & David Hendry**3. Stochastic volatility: likelihood inference and comparison with ARCH models***by*Sangjoon Kim & Neil Shephard

### Undated

**W6 Log income versus linear income: an application of the encompassing principl***by*. Luigi Ermini & David Hendry**W29 The UK Demand for Broad Money over the Long run***by*Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch**2003-W08 Step-by-Step Evolution with State-Dependent Mutations***by*Thomas Norman**2003-W01 Regional Convergence and Catch-up in India between 1960 and 1992***by*Kamakshya Trivedi**2002-W2 Semiparametric autoregressive conditional proportional hazard models***by*Frank Gerhard & Nikolaus Hautsch**2001-W22 Computationally-intensive Econometrics using a Distributed Matrix-programming Language***by*Jurgen A. Doornik & David F. Hendry & Neil Shephard**1997-W13 Filtering via simulation: auxiliary particle filters***by*Michael K Pitt & Neil Shephard**1997-W12 Significance test in bivariate canonical correlation analysis***by*Bent Nielsen**1997-W10 On the distribution of tests of cointegration rank***by*Bent Nielsen**1997-W9 Entry Deterrence and Environmental Regulation***by*Robin Mason & Timothy Swanson**1997-W6. The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model***by*Neil Shephard**W32. Asymptotic results for cointegration tests in non-stable case***by*Bent Nielsen**W31. Adaptive dynamics with payoff heterogeneit***by*David P Myatt & Chris Wallace**W26, revised version of W3 Stochastic volatility: likelihood inference and comparison with ARCH models***by*Sangjoon Kim, Neil Shephard & Siddhartha Chib**W25. Skill-Biased Technical Change and Wages: Evidence from a Longitudinal Data Se***by*Brian D. Bell**W23&118. Long-Run Wealth Distribution with Random Shock***by*Christopher Bliss**W17&110. Knowledge, Physical Capital and Creative Destructio***by*Edmund Cannon**W16&105. Corruption with Small Corrupt Agent***by*Christopher Bliss**W14&104. Initial conditions and moment restrictions in dynamic panel data model***by*R Blundell & Steven Bond**W12. Information theoretic approaches to inference in moment condition model***by*Guido W Imbens, Phillip Johnson & Richard H Spady**W10&95. Reliable inference from empirical likelihood***by*Steve Corcoran, A & C Davison & Richard H Spady**W4&91. An omnibus test for univariate and multivariate normalit***by*Jurgen A Doornik & Henrik Hansen