Mathematical and Quantitative Methods: Econometric Modeling
2013
|
|
w19037 |
Eugenio S. A. Bobenrieth
Juan R. A. Bobenrieth
Brian D. Wright
|
Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices. |
|
w19035 |
Liran Einav
Jonathan D. Levin
|
The Data Revolution and Economic Analysis |
|
w18995 |
Geert Bekaert
Marie Hoerova
|
The VIX, the Variance Premium and Stock Market Volatility |
|
w18983 |
Martin M. Andreasen
Jesús Fernández-Villaverde
Juan Rubio-Ramírez
|
The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications |
|
w18870 |
Ulrich Mueller
Mark W. Watson
|
Measuring Uncertainty about Long-Run Prediction |
|
w18850 |
Patrick Bajari
Chenghuan Sean Chu
Denis Nekipelov
Minjung Park
|
A Dynamic Model of Subprime Mortgage Default: Estimation and Policy Implications |
|
w18797 |
Robert E. Hall
|
Fiscal Stability of High-Debt Nations under Volatile Economic Conditions |
2012
|
|
w18467 |
Domenico Giannone
Michele Lenza
Giorgio E. Primiceri
|
Prior Selection for Vector Autoregressions |
|
w18391 |
Francis X. Diebold
|
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests |
|
w18382 |
Charles Engel
Nelson C. Mark
Kenneth D. West
|
Factor Model Forecasts of Exchange Rates |
|
w18247 |
Kenneth D. West
|
Econometric Analysis of Present Value Models When the Discount Factor Is near One |
|
w18222 |
Erik Snowberg
Justin Wolfers
Eric Zitzewitz
|
Prediction Markets for Economic Forecasting |
|
w18181 |
John H. Cochrane
|
Continuous-Time Linear Models |
|
w18132 |
Joseph A. Clougherty
Michal Grajek
|
International Standards and International Trade: Empirical Evidence from ISO 9000 Diffusion |
|
w18063 |
Robert Novy-Marx
|
Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars |
|
w18046 |
Torben G. Andersen
Nicola Fusari
Viktor Todorov
|
Parametric Inference and Dynamic State Recovery from Option Panels |
|
w17998 |
Domenico Ferraro
Kenneth S. Rogoff
Barbara Rossi
|
Can Oil Prices Forecast Exchange Rates? |
|
w17906 |
Jon Faust
Abhishek Gupta
|
Posterior Predictive Analysis for Evaluating DSGE Models |
|
w17890 |
Peter Arcidiacono
Patrick Bayer
Federico A. Bugni
Jonathan James
|
Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration |
|
w17791 |
Daniel F. Waggoner
Tao Zha
|
Confronting Model Misspecification in Macroeconomics |
2011
|
|
w17621 |
Òscar Jordà
Moritz HP. Schularick
Alan M. Taylor
|
When Credit Bites Back: Leverage, Business Cycles, and Crises |
|
w17273 |
Till Stowasser
Florian Heiss
Daniel McFadden
Joachim Winter
|
"Healthy, Wealthy and Wise?" Revisited: An Analysis of the Causal Pathways from Socio-economic Status to Health |
|
w17196 |
Alberto Bisin
Andrea Moro
Giorgio Topa
|
The Empirical Content of Models with Multiple Equilibria in Economies with Social Interactions |
|
w17150 |
Òscar Jordà
Alan M. Taylor
|
Performance Evaluation of Zero Net-Investment Strategies |
|
w17090 |
Lieven Baele
Geert Bekaert
Seonghoon Cho
Koen Inghelbrecht
Antonio Moreno
|
Macroeconomic Regimes |
|
w16951 |
Eric M. Leeper
Todd B. Walker
Shu-Chun Susan Yang
|
Foresight and Information Flows |
|
w16949 |
Erik Snowberg
Justin Wolfers
Eric Zitzewitz
|
How Prediction Markets Can Save Event Studies |
|
w16906 |
Hui Chen
Scott Joslin
|
Generalized Transform Analysis of Affine Processes and Applications in Finance |
|
w16781 |
Frank Schorfheide
|
Estimation and Evaluation of DSGE Models: Progress and Challenges |
|
w16725 |
Jon Faust
Simon Gilchrist
Jonathan H. Wright
Egon Zakrajsek
|
Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach |
|
w16704 |
Bruce A. Blonigen
Jeremy Piger
|
Determinants of Foreign Direct Investment |
2010
|
|
w16593 |
Anup Malani
Julian Reif
|
Accounting for Anticipation Effects: An Application to Medical Malpractice Tort Reform |
|
w16567 |
Òscar Jordà
Moritz Schularick
Alan M. Taylor
|
Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons |
|
w16566 |
Joshua Angrist
Ivan Fernandez-Val
|
ExtrapoLATE-ing: External Validity and Overidentification in the LATE Framework |
|
w16469 |
Francis X. Diebold
Georg Strasser
|
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach |
|
w16223 |
Monica Billio
Mila Getmansky
Andrew W. Lo
Loriana Pelizzon
|
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors |
|
w16207 |
Charles F. Manski
|
Policy Analysis with Incredible Certitude |
|
w16016 |
John DiNardo
David S. Lee
|
Program Evaluation and Research Designs |
|
w15794 |
Joshua Angrist
Jörn-Steffen Pischke
|
The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con out of Econometrics |
|
w15743 |
Jan J. J. Groen
Paolo A. Pesenti
|
Commodity prices, commodity currencies, and global economic developments |
2009
|
|
w15539 |
Daniel L. Millimet
Rusty Tchernis
|
Estimation of Treatment Effects Without an Exclusion Restriction: with an Application to the Analysis of the School Breakfast Program |
|
w15506 |
Jaroslav Borovička
Lars Peter Hansen
Mark Hendricks
José A. Scheinkman
|
Risk Price Dynamics |
|
w15241 |
Liran Einav
Amy Finkelstein
Jonathan Levin
|
Beyond Testing: Empirical Models of Insurance Markets |
|
w15179 |
James J. Heckman
Petra E. Todd
|
A Note on Adapting Propensity Score Matching and Selection Models to Choice Based Samples |
|
w15047 |
Raymond Kan
Cesare Robotti
Jay Shanken
|
Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology |
|
w14995 |
Jeffrey E. Harris
Sandra G. Sosa-Rubi
|
Impact of "Seguro Popular" on Prenatal Visits in Mexico, 2002-2005: Latent Class Model of Count Data with a Discrete Endogenous Variable |
|
w14896 |
Guido W. Imbens
|
Better LATE Than Nothing: Some Comments on Deaton (2009) and Heckman and Urzua (2009) |
|
w14872 |
Frank Schorfheide
Keith Sill
Maxym Kryshko
|
DSGE Model-Based Forecasting of Non-modelled Variables |
|
w14870 |
S. Boragan Aruoba
Frank Schorfheide
|
Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs |
|
w14860 |
Bryan S. Graham
Guido W. Imbens
Geert Ridder
|
Complementarity and Aggregate Implications of Assortative Matching: A Nonparametric Analysis |
|
w14849 |
John B. Taylor
Volker Wieland
|
Surprising Comparative Properties of Monetary Models: Results from a New Data Base |
|
w14782 |
John F. Cogan
Tobias Cwik
John B. Taylor
Volker Wieland
|
New Keynesian versus Old Keynesian Government Spending Multipliers |
|
w14685 |
Lucas W. Davis
Lutz Kilian
|
Estimating the Effect of a Gasoline Tax on Carbon Emissions |
|
w14666 |
Jesse Rothstein
|
Student sorting and bias in value added estimation: Selection on observables and unobservables |
2008
|
|
w14601 |
Kirstin Hubrich
Kenneth D. West
|
Forecast Evaluation of Small Nested Model Sets |
|
w14529 |
Domenico Giannone
Michele Lenza
Lucrezia Reichlin
|
Business Cycles in the Euro Area |
|
w14430 |
V. V. Chari
Patrick J. Kehoe
Ellen R. McGrattan
|
Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory? |
|
w14414 |
Liran Einav
Amy Finkelstein
Mark R. Cullen
|
Estimating Welfare in Insurance Markets Using Variation in Prices |
|
w14322 |
James H. Stock
Mark W. Watson
|
Phillips Curve Inflation Forecasts |
|
w14284 |
Han Hong
Bruce Preston
|
Bayesian Averaging, Prediction and Nonnested Model Selection |
|
w14215 |
Stephanie Schmitt-Grohe
Martin Uribe
|
What's News in Business Cycles |
|
w14169 |
Jon Faust
Jonathan H. Wright
|
Efficient Prediction of Excess Returns |
|
w14071 |
Kenneth S. Rogoff
Vania Stavrakeva
|
The Continuing Puzzle of Short Horizon Exchange Rate Forecasting |
|
w14117 |
Ariel Pakes
|
Theory and Empirical Work on Imperfectly Competitive Markets |
|
w14108 |
Maria Elena Bontempi
Jacques Mairesse
|
Intangible Capital and Productivity: An Exploration on a Panel of Italian Manufacturing Firms |
|
w13901 |
Yu-Chin Chen
Kenneth Rogoff
Barbara Rossi
|
Can Exchange Rates Forecast Commodity Prices? |
|
w13736 |
Jean Boivin
Marc Giannoni
|
Global Forces and Monetary Policy Effectiveness |
2007
|
|
w13521 |
Lawrence Christiano
Roberto Motto
Massimo Rostagno
|
Shocks, Structures or Monetary Policies? The Euro Area and US After 2001 |
|
w13449 |
Torben G. Andersen
Oleg Bondarenko
|
Construction and Interpretation of Model-Free Implied Volatility |
|
w13397 |
Jon Faust
Jonathan H. Wright
|
Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset |
|
w13295 |
George A. Plesko
|
Estimates of the Magnitude of Financial and Tax Reporting Conflicts |
|
w13228 |
Liran Einav
Amy Finkelstein
Paul Schrimpf
|
The Welfare Cost of Asymmetric Information: Evidence from the U.K. Annuity Market |
|
w13221 |
David E. Bloom
David Canning
Günther Fink
Jocelyn E. Finlay
|
Does Age Structure Forecast Economic Growth? |
|
w13026 |
Daniel S. Hamermesh
|
Replication in Economics |
|
w12963 |
Torben G. Andersen
Tim Bollerslev
Dobrislav Dobrev
|
No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications |
|
w12948 |
Lars Peter Hansen
|
Beliefs, Doubts and Learning: Valuing Economic Risk |
|
w12930 |
Andrew Ang
Geert Bekaert
Min Wei
|
The Term Structure of Real Rates and Expected Inflation |
2006
|
|
w12797 |
Laurent E. Calvet
Adlai J. Fisher
|
Multifrequency Jump-Diffusions: An Equilibrium Approach |
|
w12772 |
Jean Boivin
Marc Giannoni
|
DSGE Models in a Data-Rich Environment |
|
t0332 |
Jean Boivin
Marc Giannoni
|
DSGE Models in a Data-Rich Environment |
|
w12658 |
Wayne E. Ferson
Sergei Sarkissian
Timothy Simin
|
Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression |
|
w12647 |
Lawrence J. Christiano
Joshua M. Davis
|
Two Flaws In Business Cycle Accounting |
|
w12630 |
Raj Arunachalam
Trevon D. Logan
|
On the Heterogeneity of Dowry Motives |
|
w12575 |
Patrick J. Kehoe
|
How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach |
|
t0326 |
Kenneth D. West
Todd Clark
|
Approximately Normal Tests for Equal Predictive Accuracy in Nested Models |
|
w12324 |
James H. Stock
Mark W. Watson
|
Why Has U.S. Inflation Become Harder to Forecast? |
|
t0325 |
Alberto Abadie
Guido W. Imbens
|
On the Failure of the Bootstrap for Matching Estimators |
|
t0324 |
Richard K. Crump
V. Joseph Hotz
Guido W. Imbens
Oscar A. Mitnik
|
Nonparametric Tests for Treatment Effect Heterogeneity |
|
w12126 |
Susan Athey
Philip A. Haile
|
Empirical Models of Auctions |
|
w12109 |
Martin Lettau
Stijn Van Nieuwerburgh
|
Reconciling the Return Predictability Evidence |
|
w12098 |
Wayne E. Ferson
Andrew F. Siegel
|
Testing Portfolio Efficiency with Conditioning Information |
|
t0322 |
David S. Lee
David Card
|
Regression Discontinuity Inference with Specification Error |
|
w12083 |
Justin Wolfers
Eric Zitzewitz
|
Prediction Markets in Theory and Practice |
|
w11939 |
V. Joseph Hotz
Guido W. Imbens
Jacob A. Klerman
|
Evaluating the Differential Effects of Alternative Welfare-to-Work Training Components: A Re-Analysis of the California GAIN Program |
|
w11929 |
Refet Gurkaynak
Justin Wolfers
|
Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk |
2005
|
|
w11903 |
Andrew Ang
Joseph Chen
|
CAPM Over the Long Run: 1926-2001 |
|
w11758 |
Bruce N. Lehmann
|
The Role of Beliefs in Inference for Rational Expectations Models |
|
w11721 |
David S. Lee
|
Training, Wages, and Sample Selection: Estimating Sharp Bounds on Treatment Effects |
|
w11487 |
Junsoo Lee
John A. List
Mark Strazicich
|
Nonrenewable Resource Prices: Deterministic or Stochastic Trends? |
|
w11312 |
Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Clara Vega
|
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
|
w11285 |
Jean Boivin
Serena Ng
|
Understanding and Comparing Factor-Based Forecasts |
|
w11166 |
Michael Ehrmann
Marcel Fratzscher
Roberto Rigobon
|
Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission |
|
t0305 |
Todd E. Clark
Kenneth D. West
|
Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference |
2004
|
|
w10916 |
William A. Brock
Steven N. Durlauf
Kenneth D. West
|
Model Uncertainty and Policy Evaluation: Some Theory and Empirics |
|
w10748 |
Gautam Gowrisankaran
Matthew F. Mitchell
Andrea Moro
|
Why Do Incumbent Senators Win? Evidence from a Dynamic Selection Model |
|
w10523 |
Sangeeta Pratap
Carlos Urrutia
|
Firm Dynamics, Investment, and Debt Portfolio: Balance Sheet Effects of the Mexican Crisis of 1994 |
|
w10506 |
Ariel Pakes
Michael Ostrovsky
Steve Berry
|
Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples) |
|
w10495 |
William A. Brock
Steven N. Durlauf
|
Elements of a Theory of Design Limits to Optimal Policy |
|
w10450 |
Patrick Bajari
C. Lanier Benkard
Jonathan Levin
|
Estimating Dynamic Models of Imperfect Competition |
|
w10416 |
Tamim Bayoumi
Douglas Laxton
Paolo Pesenti
|
Benefits and Spillovers of Greater Competition in Europe: A Macroeconomic Assesment |
2003
|
|
w10137 |
Hui Huang
John Whalley
|
The Use of Literature Based Elasticity Estimates in Calibrated Models of Trade-Wage Decompositions: A Calibmetric Approach |
|
w10025 |
William A. Brock
Steven N. Durlauf
Kenneth D. West
|
Policy Evaluation in Uncertain Economic Environments |
|
w9895 |
James J. Heckman
Rosa Matzkin
Lars Nesheim
|
Simulation and Estimation of Nonaddative Hedonic Models |
|
w9891 |
Patrick Bajari
Matthew E. Kahn
|
Estimating Housing Demand with an Application to Explaining Racial Segregation in Cities |
|
w9889 |
Patrick Bajari
Ali Hortacsu
|
Are Structural Estimates of Auction Models Reasonable? Evidence from Experimental Data |
|
w9839 |
Laurent Calvet
Adlai Fisher
|
Regime-Switching and the Estimation of Multifractal Processes |
|
w9568 |
Douglas Laxton
Paolo Pesenti
|
Monetary Rules for Small, Open, Emerging Economies |
2001
|
|
w8600 |
Tilak Abeysinghe
Kristin J. Forbes
|
Trade Linkages and Output-Multiplier Effects: A Structural VAR Approach with a Focus on Asia |
|
w8510 |
Torben G. Andersen
Luca Benzoni
Jesper Lund
|
An Empirical Investigation of Continuous-Time Equity Return Models |
|
w8227 |
Amil Petrin
|
Quantifying the Benefits of New Products: The Case of the Minivan |
|
w8207 |
Andrew Ang
Geert Bekaert
|
Stock Return Predictability: Is it There? |
|
w8098 |
Ravi Jagannathan
Zhenyu Wang
|
Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods |
2000
|
|
t0262 |
Arild Aakvik
James J. Heckman
Edward J. Vytlacil
|
Treatment Effects for Discrete Outcomes when Responses to Treatment Vary Among Observationally Identical Persons: An Application to Norwegian ... |
|
t0259 |
James J. Heckman
Edward J. Vytlacil
|
Instrumental Variables, Selection Models, and Tight Bounds on the Average Treatment Effect |
|
t0258 |
William Brock
Steven N. Durlauf
|
Interactions-Based Models |
|
w7577 |
Alan M. Taylor
|
Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price |
|
w7490 |
Alexei Onatski
James H. Stock
|
Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy |
1999
|
|
w5379 |
Arturo Estrella
Frederic S. Mishkin
|
Predicting U.S. Recessions: Financial Variables as Leading Indicators |
|
w7131 |
Jinyong Hahn
Petra Todd
Wilbert Van der Klaauw
|
Evaluating the Effect of an Antidiscrimination Law Using a Regression-Discontinuity Design |
|
w7079 |
M. Ishaq Nadiri
Ingmar R. Prucha
|
Dynamic Factor Demand Models and Productivity Analysis |
|
w6977 |
Dennis Epple
Thomas Romer
Holger Sieg
|
The Tiebout Hypothesis and Majority Rule: An Empirical Analysis |
|
w6926 |
Yin-Wong Cheung
Menzie D. Chinn
|
Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys |
|
w6890 |
Paul Ellickson
Scott Stern
Manuel Trajtenberg
|
Patient Welfare and Patient Compliance: An Empirical Framework for Measuring the Benefits from Pharmaceutical Innovation |
1998
|
|
w6845 |
Francis X. Diebold
Jinyong Hahn
Anthony S. Tay
|
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange |
|
w6844 |
Peter F. Christoffersen
Francis X. Diebold
|
How Relevant is Volatility Forecasting for Financial Risk Management? |
|
w6822 |
Dennis Epple
Holger Sieg
|
Estimating Equilibrium Models of Local Jurisdictions |
|
w6508 |
Andrew Ang
Geert Bekaert
|
Regime Switches in Interest Rates |
|
t0226 |
Kenneth D. West
Michael W. McCracken
|
Regression-Based Tests of Predictive Ability |
1997
|
|
t0217 |
Peter F. Christoffersen
Francis X. Diebold
|
Cointegration and Long-Horizon Forecasting |
|
t0215 |
Francis X. Diebold
Todd A. Gunther
Anthony S. Tay
|
Evaluating Density Forecasts |
|
w6023 |
Torben G. Andersen
Tim Bollerslev
|
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
|
w5984 |
Robin L. Lumsdaine
Eswar S. Prasad
|
Identifying the Common Component in International Economic Fluctuations |
1996
|
|
t0192 |
Francis X. Diebold
Jose A. Lopez
|
Forecast Evaluation and Combination |
1995
|
|
w5282 |
Orazio P. Attanasio
|
Consumer Durables and Inertial Behavior: Estimation and Aggregation of (S,s) Rules |
1994
|
|
t0169 |
Francis X. Diebold
Robert S. Mariano
|
Comparing Predictive Accuracy |
|
t0155 |
Craig Burnside
Martin Eichenbaum
|
Small Sample Properties of Generalized Method of Moments Based Wald Tests |
|
t0152 |
Kenneth D. West
Dongchul Cho
|
The Predictive Ability of Several Models of Exchange Rate Volatility |
1993
|
|
t0143 |
Kenneth D. West
|
Inventory Models |
1991
|
|
w3911 |
Wen-Ling Lin
Robert F. Engle
Takatoshi Ito
|
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
|
t0114 |
Edward E. Leamer
|
Eastern Data and Western Attitudes |
Generated Tue May 21 00:00:49 2013
|
|
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