# Queen Mary University of London, School of Economics and Finance

# Working Papers

Postal: London E1 4NS

Phone: +44 (0) 20 7882 5096

Fax: +44 (0) 20 8983 3580

Web page: http://www.econ.qmul.ac.uk

More information through EDIRC

Phone: +44 (0) 20 7882 5096

Fax: +44 (0) 20 8983 3580

Web page: http://www.econ.qmul.ac.uk

More information through EDIRC

**For corrections or technical questions regarding this series, please contact (Nick Vriend)**

**Series handle:**repec:qmw:qmwecw

**Citations RSS feed:**at CitEc

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### 2007

### 2006

**582 Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions***by*Hugo Kruiniger**581 An Empirical Study of Asian Stock Volatility Using Stochastic Volatility Factor Model: Factor Analysis and Forecasting***by*Silvia S.W. Lui**580 The (Ir)relevance of the NRU for Policy Making: The Case of Denmark***by*Marika Karanassou & Hector Sala & Pablo F. Salvador**579 Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange***by*Marcelo Fernandes & Marco Aur�lio dos Santos Rocha**578 How Much Does the UK Invest in Intangible Assets?***by*Mauro Giorgio Marrano & Jonathan Haskel**577 Factor-GMM Estimation with Large Sets of Possibly Weak Instruments***by*George Kapetanios & Massimiliano Marcellino**576 The Unlikeliness of an Economic Catastrophe: Localization & Globalization***by*Jose Miguel Albala-Bertrand**575 Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries***by*Duo Qin**574 Labour Market Flexibility and Regional Unemployment Rate Dynamics: Spain 1980-1995***by*Roberto Bande & Marika Karanassou**573 Phillips Curves and Unemployment Dynamics: A Critique and a Holistic Perspective***by*Marika Karanassou & Hector Sala & Dennis J. Snower**572 Two-stage Bargaining Solutions***by*Paola Manzini & Marco Mariotti**571 Consumer Choice and Revealed Bounded Rationality***by*Paola Manzini & Marco Mariotti**570 Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates***by*Richard T. Baillie & George Kapetanios**569 Panels with Nonstationary Multifactor Error Structures***by*George Kapetanios & M. Hashem Pesaran & Takashi Yamagata**568 Stochastic Volatility Driven by Large Shocks***by*George Kapetanios & Elias Tzavalis**567 Forecasting Using Predictive Likelihood Model Averaging***by*George Kapetanios & Vincent Labhard & Simon Price**566 Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation***by*George Kapetanios & Vincent Labhard & Simon Price**565 Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia***by*Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising**564 Macroeconomic Effects of Fiscal Policies: Empirical Evidence from Bangladesh, China, Indonesia and the Philippines***by*Geoffrey Ducanes & Marie Anne Cagas & Duo Qin & Pilipinas Quising & Mohammad Abdur Razzaque**563 Uncovered Set Choice Rule***by*Michele Lombardi**562 Choosing Monetary Sequences: Theory and Experimental Evidence***by*Paola Manzini & Marco Mariotti & Luigi Mittone**561 Two-stage Boundedly Rational Choice Procedures: Theory and Experimental Evidence***by*Paola Manzini & Marco Mariotti**560 GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data***by*Hugo Kruiniger**559 Productivity, Exporting and the Learning-by-Exporting Hypothesis: Direct Evidence from UK Firms***by*Gustavo Crespi & Chiara Criscuolo & Jonathan Haskel**558 Information Technology, Organisational Change and Productivity Growth: Evidence from UK Firms***by*Gustavo Crespi & Chiara Criscuolo & Jonathan Haskel**557 VAR Modelling Approach and Cowles Commission Heritage***by*Duo Qin**556 Anonymous Price Taking Equilibrium in Tiebout Economies with Unbounded Club Sizes***by*Nizar Allouch & John P. Conley & Myrna Wooders**555 Walras and Dividends Equilibrium with Possibly Satiated Consumers***by*Nizar Allouch & Cuong Le Van**554 Forecasting Inflation and GDP growth: Comparison of Automatic Leading Indicator (ALI) Method with Macro Econometric Structural Models (MESMs)***by*Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas Quising**553 A Macroeconometric Model of the Chinese Economy***by*Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Xinhua He & Rui Liu & Shiguo Liu & Nedelyn Magtibay-Ramos & Pilipinas Quising**552 Sieve Bootstrap for Strongly Dependent Stationary Processes***by*George Kapetanios & Zacharias Psaradakis

### 2005

**551 A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets***by*George Kapetanios**550 Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension***by*Stefan De Wachter & Richard D.F. Harris & Elias Tzavalis**549 Segregation in Networks***by*Giorgio Fagiolo & Marco Valente & Nicolaas J. Vriend**548 Income Disparity and Economic Growth: Evidence from China***by*Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Xinhua He & Rui Liu & Shiguo Liu**547 Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach***by*Lorenzo Cappiello & Nikolaos Panigirtzoglou**546 Balanced Growth with a Network of Ideas***by*Christian Ghiglino**545 How Much Does Investment Drive Economic Growth in China?***by*Duo Qin & Marie Anne Cagas & Pilipinas Quising & Xin-Hua He**544 The First Fifty Years of Modern Econometrics***by*Christopher L. Gilbert & Duo Qin**543 Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?***by*Richard T. Baillie & Rehim Kilic**542 ACE Models of Endogenous Interactions***by*Nicolaas J. Vriend**541 Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling***by*Gonzalo Camba-Mendez & George Kapetanios**540 Estimating Deterministically Time-Varying Variances in Regression Models***by*George Kapetanios**539 Tests for Deterministic Parametric Structural Change in Regression Models***by*George Kapetanios**538 Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis***by*Andrea Cipollini & George Kapetanios**537 Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset***by*George Kapetanios & Elias Tzavalis**536 Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns***by*George Kapetanios & M. Hashem Pesaran**535 Cluster Analysis of Panel Datasets using Non-Standard Optimisation of Information Criteria***by*George Kapetanios**534 Choosing the Optimal Set of Instruments from Large Instrument Sets***by*George Kapetanios**533 Variable Selection using Non-Standard Optimisation of Information Criteria***by*George Kapetanios**532 The Employment Effects of the October 2003 Increase in the National Minimum Wage***by*Richard Dickens & Mirko Draca**531 On the Non-emptiness of the Fuzzy Core***by*Nizar Allouch & Arkadi Predtetchinski**530 Econometric Methods of Signal Extraction***by*Stephen Pollock**529 Orthogonality Conditions for Non-Dyadic Wavelet Analysis***by*Stephen Pollock & Iolanda Lo Cascio**528 Testing for Neglected Nonlinearity in Long Memory Models***by*Richard T. Baillie & George Kapetanios**527 Empirical Assessment of Sustainability and Feasibility of Government Debt: The Philippines Case***by*Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising

### 2004

**526 On Testing for Diagonality of Large Dimensional Covariance Matrices***by*George Kapetanios**525 A New Method for Determining the Number of Factors in Factor Models with Large Datasets***by*George Kapetanios**524 The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks***by*George Kapetanios & Elias Tzavalis**523 A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units***by*George Kapetanios**522 How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP***by*Georgios Chortareas & George Kapetanios**521 Forecasting with Measurement Errors in Dynamic Models***by*Richard Harrison & George Kapetanios & Tony Yates**520 Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models***by*George Kapetanios & Tony Yates**519 Modelling the Yield Curve: A Two Components Approach***by*John Hatgioannides & Menelaos Karanasos & Marika Karanassou**518 Inflation Persistence Revisited***by*Marika Karanassou & Dennis J. Snower**517 Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels***by*Georgios Chortareas & George Kapetanios**516 Nonlinear Autoregressive Models and Long Memory***by*George Kapetanios**515 Testing for Exogeneity in Nonlinear Threshold Models***by*George Kapetanios**514 A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models***by*Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos**513 Price Taking Equilibrium in Club Economies with Multiple Memberships and Unbounded Club Sizes***by*Nizar Allouch & Myrna Wooders**512 Arbitrage, Equilibrium, and Nonsatiation***by*Nizar Allouch & Cuong Le Van & Frank H. Page, Jr.**511 Is the Currency Risk Priced in Equity Markets?***by*Francesco Giurda & Elias Tzavalis**510 Can the Composition of Capital Constrain Potential Output? A Gap Approach***by*Jose Miguel Albala-Bertrand**509 Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests***by*George Kapetanios**508 Testing for Neglected Nonlinearity in Cointegrating Relationships***by*Andrew P. Blake & George Kapetanios**507 A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes***by*George Kapetanios**506 A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data***by*Andrea Cipollini & George Kapetanios**505 Detection of Structural Breaks in Linear Dynamic Panel Data Models***by*Stefan de Wachter & Elias Tzavalis

### 2003

**504 Child Labor and the Labor Supply of Other Household Members: Evidence from 1920 America***by*Marco Manacorda**503 An Economical Approach to Estimate a Benchmark Capital Stock. An Optimal Consistency Method***by*Jose Miguel Albala-Bertrand**502 On the Behavior of Proposers in Ultimatum Games***by*Thomas Brenner & Nicolaas J. Vriend**501 Natural or Unnatural Monopolies in UK Telecommunications?***by*Lisa Correa**500 Testing for Nonstationary Long Memory against Nonlinear Ergodic Models***by*George Kapetanios & Yongcheol Shin**499 Determining the Poolability of Individual Series in Panel Datasets***by*George Kapetanios**498 A Dynamic Factor Analysis of Financial Contagion in Asia***by*Andrea Cipollini & George Kapetanios**497 Testing for Cointegration in Nonlinear STAR Error Correction Models***by*George Kapetanios & Yongcheol Shin & Andy Snell**496 Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean***by*Andrew P. Blake & George Kapetanios**495 Determining the Stationarity Properties of Individual Series in Panel Datasets***by*George Kapetanios**494 Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models***by*George Kapetanios**493 Unemployment in the European Union: Institutions, Prices, and Growth***by*Marika Karanassou & Hector Sala & Dennis J. Snower**492 The Economic Impact of Telecommunications Diffusion on UK Productivity Growth***by*Lisa Correa**491 Inflation Forecast Targeting in an Overlapping Generations Model***by*Gerhard Sorger**490 Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests***by*George Kapetanios & Melvyn Weeks**489 A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions***by*George Kapetanios & Massimiliano Marcellino**488 Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary***by*Elias Tzavalis & Shijun Wang**487 Schelling's Spatial Proximity Model of Segregation Revisited***by*Romans Pancs & Nicolaas J. Vriend**486 A Nonlinear Approach to Public Finance Sustainability in Latin America***by*Georgios Chortareas & George Kapetanios & Merih Uctum**485 An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests***by*Georgios Chortareas & George Kapetanios & Merih Uctum**484 The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests***by*Georgios Chortareas & George Kapetanios**483 A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems***by*George Kapetanios**482 A New Nonparametric Test of Cointegration Rank***by*George Kapetanios**481 Network Formation and Social Coordination***by*Sanjeev Goyal & Fernando Vega-Redondo

### 2002

**480 Unemployment in the European Union: A Dynamic Reappraisal***by*Marika Karanassou & Hector Sala & Dennis J. Snower**479 A Reappraisal of the Inflation-Unemployment Tradeoff***by*Marika Karanassou & Hector Sala & Dennis J. Snower**478 An Anatomy of the Phillips Curve***by*Marika Karanassou & Dennis J. Snower**477 Long-Run Inflation-Unemployment Dynamics: The Spanish Phillips Curve and Economic Policy***by*Marika Karanassou & Hector Sala & Dennis J. Snower**476 Unemployment Invariance***by*Marika Karanassou & Dennis J. Snower**475 A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models***by*George Kapetanios**474 Measuring Conditional Persistence in Time Series***by*George Kapetanios**473 Testing for Neglected Nonlinearity in Long Memory Models***by*George Kapetanios**472 GLS Detrending for Nonlinear Unit Root Tests***by*George Kapetanios & Yongcheol Shin**471 Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset***by*George Kapetanios**470 Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations***by*George Kapetanios**469 Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks***by*George Kapetanios**468 Bootstrap Statistical Tests of Rank Determination for System Identification***by*Gonzalo Camba-Mendez & George Kapetanios**467 A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models***by*George Kapetanios**466 Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting***by*George Kapetanios**465 Unit Root Tests in Three-Regime SETAR Models***by*George Kapetanios & Yongcheol Shin**464 Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps***by*Kyriakos Chourdakis**463 Pricing Information Goods in the Presence of Copying***by*Paul Belleflamme**462 Recursive Estimation in Econometrics***by*Stephen Pollock**461 Job Creation, Job Destruction and the Contribution of Small Businesses: Evidence for UK Manufacturing***by*Matthew Barnes & Jonathan Haskel**460 Fundamental Properties of Bond Prices in Models of the Short-Term Rate***by*Antonio Mele**459 Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms***by*Hugo Kruiniger & Elias Tzavalis**458 Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects***by*Hugo Kruiniger**457 Short-run Lats Rate Movements: Impact of Foreign Currency Shocks via Trade and Financial Markets***by*Martin Kazaks & Duo Qin**456 On Smiles, Winks, and Handshakes as Coordination Devices***by*Paola Manzini & Abdolkarim Sadrieh & Nicolaas J. Vriend**455 An Econometric Investigation into the Macroeconomic Relationship between Investment and Saving: Evidence from the EU Region***by*Constantinos Alexiou**454 Does Divorce Law Matter?***by*Giulio Fella & Paola Manzini & Marco Mariotti**453 Returns to Education: Evidence from UK Twins***by*Doroth� Bonjour & Lyn Cherkas & Jonathan Haskel & Denise Hawkes & Tim Spector**452 Does Inward Foreign Direct Investment Boost the Productivity of Domestic Firms?***by*Jonathan E. Haskel & Sonia C. Pereira & Matthew J. Slaughter**451 Divide et impera: Negotiating with a Stakeholder***by*Paola Manzini**450 On the Estimation of Panel Regression Models with Fixed Effects***by*Hugo Kruiniger

### 2001

**449 Improved Frequency-selective Filters***by*Stephen Pollock**448 Deconstructing the Consumption Function: New Tools and Old Problems***by*Stephen Pollock & Nikoletta Lekka**447 Low-Pay Mobility in the Swiss Labor Market***by*Augustin de Coulon & Boris A. Z�rcher**446 Returns to Schooling in Spain. How Reliable Are IV Estimates?***by*Empar Pons & Maria Teresa Gonzalo**445 Time Preferences: Do They Matter in Bargaining?***by*Paola Manzini**444 The Politics of Redistributive Social Insurance***by*Jean Hindriks & Philippe De Donder**443 Market Sharing Agreements and Collusive Networks***by*Paul Belleflamme & Francis Bloch**442 Time-consistent Monetary Policy Rules***by*Gerhard Sorger**441 Yardstick Competition and Political Agency Problems***by*Paul Belleflamme & Jean Hindriks**440 Matching Grants and Ricardian Equivalence***by*Charles Figuieres & Jean Hindriks**439 Public versus Private Insurance with Non-Expected Utility: A Political Economy Argument***by*Jean Hindriks**438 The Implications of Linking Questions within the SG and TTO Methods***by*Anne Spencer**437 The Time Trade-Off Method: An Exploratory Study***by*Anne Spencer**436 Free Riding on Altruism and Group Size***by*Jean Hindriks & Romans Pancs**435 The Impact of Public Infrastructure on the Productivity of the Chilean Economy***by*Jose Miguel Albala-Bertrand & Emmanouel C. Mamatzakis**434 A Benchmark Estimate for the Capital Stock. An Optimal Consistency Method***by*Jose Miguel Albala-Bertrand**433 Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem***by*Stephen Pollock**432 Has Futures Trading Affected the Volatility of Aluminium Transactions Prices?***by*Isabel Figuerola-Ferretti & Christopher L. Gilbert**431 Price Variability and Marketing Method in the Non-Ferrous Metals Industry***by*Isabel Figuerola-Ferretti & Christopher L. Gilbert

### 2000

**430 Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains***by*Kyriakos Chourdakis**429 Maximum Likelihood and GMM Estimation of Dynamic Panel Data Models with Fixed Effects***by*Hugo Kruiniger**428 GMM Estimation of Dynamic Panel Data Models with Persistent Data***by*Hugo Kruiniger**427 Testing the Additive Independence Assumption in the QALY Model***by*Anne Spencer**426 Option Pricing under Discrete Shifts in Stock Returns***by*Kyriakos Chourdakis & Elias Tzavalis**425 Option Pricing with a Dividend General Equilibrium Model***by*Kyriakos Chourdakis & Elias Tzavalis**424 Alliances and Negotiations***by*Paola Manzini & Marco Mariotti**423 Filters for Short Nonstationary Sequences***by*Stephen Pollock**422 Circulant Matrices and Time-series Analysis***by*Stephen Pollock**421 Product Differentiation in Successive Vertical Oligopolies***by*Paul Belleflamme & Eric Toulemonde**420 What is a "Complex Humanitarian Emergency"? An Analytical Essay***by*Jose Miguel Albala-Bertrand**419 The Likelihood of a Continuous-time Vector Autoregressive Model***by*J. Roderick McCrorie**418 Investment in General Training with Consensual Layoffs***by*Giulio Fella**417 Strategic Inter-Regional Transfers***by*Jean Hindriks & Gareth D. Myles**416 The Politics of Progressive Income Taxation with Incentive Effects***by*Philippe De Donder & Jean Hindriks**415 Is There a Demand for Income Tax Progressivity?***by*Jean Hindriks**414 A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback***by*Stilianos Fountas & Menelaos Karanasos & Marika Karanassou**413 R&D Cooperation or Competition in the Presence of Cannibalization***by*Paul Belleflamme**412 Coordination on Formal vs. de facto Standards: A Dynamic Approach***by*Paul Belleflamme**411 Optimal Ownership Structures in Asymmetric Joint Ventures***by*Paul Belleflamme & Francis Bloch**410 How Much Does Trade and Financial Contagion Contribute to Currency Crises? The Case of Korea***by*Duo Qin**409 The East End, the West End, and King's Cross: On Clustering in the Four-Player Hotelling Game***by*Steffen Huck & Wieland M�ller & Nicolaas J. Vriend

### 1999

**408 Bivariate FIGARCH and Fractional Cointegration***by*Celso Brunetti & Christopher L. Gilbert**407 How Much Did Excess Debt Contribute to the 1997 Currency Crisis in Korea?***by*Duo Qin**406 Public Infrastructure, Private Input Demand, and Economic Performance of the Greek Industry***by*Emmanouel C. Mamatzakis**405 The Trade and Labour Approaches to Wage Inequality***by*Jonathan E. Haskel**404 Infrastructure Shortage: A Gap Approach***by*Jose Miguel Albala-Bertrand**403 Was Hayek an Ace?***by*Nicolaas J. Vriend**402 Markets, Money and Ideology***by*Simon Mohun**401 Joint Outside Options***by*Paola Manzini & Marco Mariotti**400 When Do Firing Costs Matter?***by*Giulio Fella