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Details about Christopher Baum

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Homepage:http://www.bc.edu/schools/cas/economics/faculty-and-staff/faculty-listing/baum-christopher
Postal address:Department of Economics, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Workplace:Department of Economics, Boston College, (more information at EDIRC)
DIW Berlin (Deutsches Institut für Wirtschaftsforschung) (German Institute for Economic Research (DIW)), (more information at EDIRC)

Access statistics for papers by Christopher Baum.

Last updated 2017-08-13. Update your information in the RePEc Author Service.

Short-id: pba1


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Working Papers

2017

  1. Response surface models for the Elliott, Rothenberg, Stock DF-GLS unit root test
    2017 Stata Conference, Stata Users Group Downloads

2016

  1. Analyzing volatility shocks to Eurozone CDS spreads with a multicountry GMM model in Stata
    United Kingdom Stata Users' Group Meetings 2016, Stata Users Group Downloads
  2. Capital Structure Adjustments: Do Macroeconomic and Business Risks Matter?
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
  3. Corporate Board Turnover and Securities Fraud Litigation: Some new evidence from case outcomes
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
  4. Corporate Financial Policy and the Value of Cash under Uncertainty
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in International Journal of Managerial Finance (2017)
  5. Estimating a dose-response function with heterogeneous response to confounders when treatment is continuous and endogenous
    EcoMod2016, EcoMod Downloads
  6. Modeling Rating Transition Matrices for Wholesale Loan Portfolios
    2016 Stata Conference, Stata Users Group Downloads
  7. The Self-Medication Hypothesis: Evidence from Terrorism and Cigarette Accessibility
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    See also Journal Article in Economics & Human Biology (2016)

2015

  1. A New Approach to Estimation of the R&D-Innovation-Productivity Relationship
    Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies Downloads
    Also in EcoMod2015, EcoMod (2015) Downloads
    Boston College Working Papers in Economics, Boston College Department of Economics (2015) Downloads View citations (4)
  2. A large-scale application of Stata's forecast suite: challenges and potential
    United Kingdom Stata Users' Group Meetings 2015, Stata Users Group Downloads
  3. Innovation, Spillovers and Productivity Growth: A Dynamic Panel Data Approach
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    Also in EcoMod2015, EcoMod (2015) Downloads
  4. Openness and financial stability
    EcoMod2015, EcoMod Downloads
  5. What do Chinese Macro Announcements Tell Us About the World Economy?
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (4)
    See also Journal Article in Journal of International Money and Finance (2015)

2014

  1. Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (5)
    Also in EcoMod2014, EcoMod (2014) Downloads View citations (2)
    NBP Working Papers, Narodowy Bank Polski, Economic Research Department (2014) Downloads View citations (2)

    See also Journal Article in Journal of Financial Stability (2016)
  2. Extending Stata's capabilities for asymptotic covariance matrix estimation
    United Kingdom Stata Users' Group Meetings 2014, Stata Users Group Downloads
  3. Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    See also Journal Article in Energy Economics (2016)

2013

  1. A general approach to testing for autocorrelation
    United Kingdom Stata Users' Group Meetings 2013, Stata Users Group Downloads
    Also in 2013 Stata Conference, Stata Users Group (2013) Downloads
  2. Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises
    Ratio Working Papers, The Ratio Institute Downloads View citations (5)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) Downloads View citations (5)
  3. Implementing new econometric tools in Stata
    Mexican Stata Users' Group Meetings 2013, Stata Users Group Downloads View citations (1)
  4. Instrumental variables estimation using heteroskedasticity-based instruments
    German Stata Users' Group Meetings 2013, Stata Users Group Downloads View citations (5)
    Also in United Kingdom Stata Users' Group Meetings 2012, Stata Users Group (2012) Downloads View citations (3)
  5. Relaxing the Financial Constraint: The Impact of Banking Sector Reform on Firm Performance - Emerging Market Evidence from Turkey
    EcoMod2013, EcoMod Downloads

2012

  1. A simple alternative to the linear probability model for binary choice models with endogenous regressors
    German Stata Users' Group Meetings 2012, Stata Users Group Downloads View citations (1)
  2. Binary choice models with endogenous regressors
    SAN12 Stata Conference, Stata Users Group Downloads View citations (5)
  3. R&D Expenditures and Geographical Sales Diversification
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    See also Journal Article in Manchester School (2016)
  4. The Effects of Future Capital Investment and R&D Expenditures on Firms' Liquidity
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    See also Journal Article in Review of International Economics (2013)

2011

  1. An interpretation and implementation of the Theil-Goldberger 'mixed' estimator
    CHI11 Stata Conference, Stata Users Group Downloads
  2. Evaluating one-way and two-way cluster–robust covariance matrix estimates
    German Stata Users' Group Meetings 2011, Stata Users Group Downloads View citations (3)
    Also in BOS10 Stata Conference, Stata Users Group (2010) Downloads View citations (2)
    United Kingdom Stata Users' Group Meetings 2010, Stata Users Group (2010) Downloads View citations (1)
  3. The contextual effects of social capital on health: a cross-national instrumental variable analysis
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (14)
    See also Journal Article in Social Science & Medicine (2011)

2010

  1. Corporate Liquidity Management and Future Investment Expenditures
    University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. Downloads
  2. Does the Tenure of Private Equity Investment Improve the Performance of European Firms?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2010) Downloads
    Working Paper / FINESS, DIW Berlin, German Institute for Economic Research (2010) Downloads
  3. Macroeconomic Uncertainty and Credit Default Swap Spreads
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (6)
    See also Journal Article in Applied Financial Economics (2010)
  4. Parliamentary Election Cycles and the Turkish Banking Sector
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (8)
    Also in Working Papers, Turkish Economic Association (2009) Downloads View citations (3)
    University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. (2010) Downloads View citations (5)

    See also Journal Article in Journal of Banking & Finance (2010)
  5. The Impact of Financial Structure on Firms' Financial Constraints: A Cross-Country Analysis
    University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) Downloads View citations (2)
  6. The Impact of the Financial System's Structure on Firms' Financial Constraints
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (4)
    See also Journal Article in Journal of International Money and Finance (2011)
  7. Using Stata for Applied Research: Reviewing its Capabilities
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Journal of Economic Surveys (2011)

2009

  1. Implementing econometric estimators with Mata
    DC09 Stata Conference, Stata Users Group Downloads
    Also in United Kingdom Stata Users' Group Meetings 2009, Stata Users Group (2009) Downloads
  2. The Effects of Uncertainty and Corporate Governance on Firms' Demand for Liquidity
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Applied Economics (2012)
  3. Using Mata to work more effectively with Stata: A tutorial
    German Stata Users' Group Meetings 2009, Stata Users Group Downloads
    Also in Fall North American Stata Users' Group Meetings 2008, Stata Users Group (2008) Downloads View citations (1)
    United Kingdom Stata Users' Group Meetings 2008, Stata Users Group (2008) Downloads View citations (1)

2008

  1. On the Investment Sensitivity of Debt under Uncertainty
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Economics Letters (2010)
  2. On the Sensitivity of Firms' Investment to Cash Flow and Uncertainty
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Oxford Economic Papers (2010)
  3. On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of International Money and Finance (2010)
  4. Political patronage in Ukranian banking
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in The Economics of Transition (2008)
  5. The Impact of Macroeconomic Uncertainty on Firms' Changes in Financial Leverage
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in International Journal of Finance & Economics (2010)
  6. The Volatility of International Trade Flows and Exchange Rate Uncertainty
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
  7. The role of uncertainty in the transmission of monetary policy effects on bank lending
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    See also Journal Article in Manchester School (2013)
  8. The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (10)
    See also Journal Article in Economics Letters (2009)
  9. Using instrumental variables techniques in economics and finance
    German Stata Users' Group Meetings 2008, Stata Users Group Downloads View citations (3)

2007

  1. Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group Downloads View citations (2)
  2. Enhanced routines for instrumental variables/GMM estimation and testing
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (171)
    Also in CERT Discussion Papers, Centre for Economic Reform and Transformation, Heriot Watt University (2007) Downloads View citations (196)
  3. Instrumental variables: Overview and advances
    United Kingdom Stata Users' Group Meetings 2007, Stata Users Group Downloads View citations (2)
  4. Powerful new tools for time series analysis
    North American Stata Users' Group Meetings 2007, Stata Users Group Downloads
  5. Should you become a Stata programmer?
    German Stata Users' Group Meetings 2007, Stata Users Group Downloads
  6. The Effects of Short-Term Liabilities on Profitability: A Comparison of German and US Firms
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (11)
  7. The Effects of Short-Term Liabilities on Profitability: The Case of Germany
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group Downloads View citations (9)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2006) Downloads View citations (6)
  8. The Effects of Uncertainty on the Leverage of Non-Financial Firms
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    See also Journal Article in Economic Inquiry (2009)
  9. Uncertainty Determinants of Firm Investment
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    See also Journal Article in Economics Letters (2008)

2006

  1. Firm Investment and Financial Frictions
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (2)
  2. The Effects of Industry-Level Uncertainty on Cash Holdings: The Case of Germany
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2006) Downloads View citations (2)
  3. Time series filtering techniques in Stata
    North American Stata Users' Group Meetings 2006, Stata Users Group Downloads View citations (3)
    Also in United Kingdom Stata Users' Group Meetings 2006, Stata Users Group (2006) Downloads View citations (3)
  4. Uncertainty Determinants of Corporate Liquidity
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in Working Papers, Business School - Economics, University of Glasgow (2006) Downloads View citations (5)
    Boston College Working Papers in Economics, Boston College Department of Economics (2006) Downloads View citations (1)
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) Downloads

    See also Journal Article in Economic Modelling (2008)

2005

  1. A little bit of Stata programming goes a long way
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    Also in United Kingdom Stata Users' Group Meetings 2005, Stata Users Group (2005) Downloads
  2. Macroeconomics Uncertainty and Firm Leverage
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2004) Downloads View citations (5)
  3. The Impact of Macroeconomic Uncertainty on Non-Financial Firms' Demand for Liquidity
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (24)
    See also Journal Article in Review of Financial Economics (2006)
  4. The Impact of Macroeconomic Uncertainty onNon-Financial Firms’ Demandf or Liquidity
    Working Papers, Business School - Economics, University of Glasgow Downloads
  5. The second moments matter: The response of bank lending behaviour to macroeconomic uncertainty
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (6)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) Downloads View citations (10)
    Discussion Papers in Economics, Department of Economics, University of Leicester (2004) Downloads View citations (13)
  6. cron, perl and Stata: automated production and presentation of a business-daily index
    North American Stata Users' Group Meetings 2005, Stata Users Group Downloads

2004

  1. Dynamics of Intra-EMS Interest Rate Linkages
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    Also in Computing in Economics and Finance 2002, Society for Computational Economics (2002) Downloads

    See also Journal Article in Journal of Money, Credit and Banking (2006)
  2. Re-examining the Transmission of Monetary Policy: What More Do a Million Observations Have to Say
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group Downloads View citations (7)
  3. Rolling Regressions with Stata
    North American Stata Users' Group Meetings 2004, Stata Users Group Downloads
  4. Stata: The language of choice for time series analysis?
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Stata Journal (2005)
  5. The Impact of Macroeconomic Uncertainty on Cash Holdings for Non-Financial Firms
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (10)
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) Downloads View citations (8)
    Discussion Papers in Economics, Department of Economics, University of Leicester (2004) Downloads View citations (5)
    ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research (2004) Downloads View citations (2)
  6. Topics in time series regression modeling
    United Kingdom Stata Users' Group Meetings 2004, Stata Users Group Downloads View citations (2)

2003

  1. A review of Stata 8.1 and its time series capabilities
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (4)
    See also Journal Article in International Journal of Forecasting (2004)
  2. Instrumental variables and GMM: Estimation and testing
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (512)
    Also in North American Stata Users' Group Meetings 2003, Stata Users Group (2002) Downloads View citations (23)
    United Kingdom Stata Users' Group Meetings 2003, Stata Users Group (2002) Downloads View citations (96)

    See also Journal Article in Stata Journal (2003)
  3. Long-Memory Forecasting of U.S. Monetary Indices
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Forecasting (2006)
  4. Nearest-Neighbor Forecasts of U.S. Interest Rates
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (5)
  5. Sectoral Fluctuations in U.K. Firms' Investment Expenditures
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    Also in Research Papers, University of Liverpool Management School (2002) Downloads

    See also Journal Article in Economics Bulletin (2003)
  6. The Impact of Macroeconomic Uncertainty on Trade Credit for Non-Financial Firms
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)

2002

  1. Facilitating Applied Economic Research with Stata
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
  2. Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Applied Econometrics (2004)
  3. The Impact of Macroeconomic Uncertainty on Bank Lending Behavior
    Computing in Economics and Finance 2002, Society for Computational Economics Downloads View citations (15)
    Also in Research Papers, University of Liverpool Management School (2002) Downloads View citations (12)

2001

  1. Efficient Management of Multi-Frequency Panel Data with Stata
    North American Stata Users' Group Meetings 2001, Stata Users Group Downloads
    Also in United Kingdom Stata Users' Group Meetings 2001, Stata Users Group (2001) Downloads
  2. Exchange Rate Effects on the Volume and Variability of Trade Flows
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (12)
    Also in Working Papers, Koc University (1998)

    See also Journal Article in Journal of International Money and Finance (2002)
  3. Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis Employing High-Frequency Data
    Computing in Economics and Finance 2001, Society for Computational Economics Downloads View citations (4)
    Also in CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) Downloads View citations (8)
  4. Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Macroeconomics (2003)

2000

  1. A re-evaluation of empirical tests of the Fisher hypothesis
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (4)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (2000) Downloads View citations (1)
  2. Exchange Rate Uncertainty and Firm Profitability
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Macroeconomics (2001)
  3. Modeling fixed income excess returns
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
  4. Persistent Dependence in Foreign Exchange Rates? A Reexamination
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (6)
  5. The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)

1999

  1. Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (41)
    See also Journal Article in Journal of International Money and Finance (2001)
  2. Waves and Persistence in Merger and Acquisition Activity
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (8)
    See also Journal Article in Economics Letters (2001)

1998

  1. Fractional Monetary Dynamics
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    See also Journal Article in Applied Economics (1999)
  2. Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float?
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (12)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (1999)

1997

  1. Credible Disinflation Policy in a Dynamic Setting
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
  2. Long Memory and Forecasting in Euroyen Deposit Rates
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (8)
  3. Monetary Policy in the Transition to a Zero Federal Deficit
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
  4. Poison Pills, Optimal Contracting and the Market for Corporate Control: Evidence from Fortune 500 Firms
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
  5. Reexamining the Term Structure of Interest Rates and the Interwar Demand for Money
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Journal of Economics and Finance (1998)
  6. Stochastic Long Memory in Traded Goods Prices
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    See also Journal Article in Applied Economics Letters (1998)
  7. The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    Also in Computing in Economics and Finance 1997, Society for Computational Economics Downloads

1996

  1. A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange Market Efficiency
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (6)
    See also Journal Article in Applied Financial Economics (1997)
  2. Fractional Cointegration Analysis of Long Term International Interest Rates
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (4)
  3. Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (5)
    See also Journal Article in Journal of Financial Research (1997)
  4. Fractional Dynamics in Japanese Financial Time Series
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    See also Journal Article in Pacific-Basin Finance Journal (1998)
  5. Long Memory in the Greek Stock Market
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (16)
    See also Journal Article in Applied Financial Economics (2000)
  6. Long Term Dependence in Stock Returns
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (29)
    See also Journal Article in Economics Letters (1996)
  7. Modelling Federal Reserve Discount Policy
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    See also Journal Article in Computational Economics (1998)
  8. Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
  9. Persistence in International Inflation Rates
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (22)
    See also Journal Article in Southern Economic Journal (1999)
  10. Q, Cash Flow and Investment: An Econometric Critique
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Review of Quantitative Finance and Accounting (1999)
  11. Time-Varying Risk Premia in the Foreign Currency Futures Basis
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (11)
    See also Journal Article in Journal of Futures Markets (1996)

1995

  1. Modeling Returns on the Term Structure of Treasury Interest Rates
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads

1994

  1. An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads

1993

  1. Anti-Takeover Amendments, Managerial Entrenchment, And Shareholders' Interests
    Boston College Working Papers in Economics, Boston College Department of Economics
  2. Tobin's Q And Financial Policy Revisited
    Boston College Working Papers in Economics, Boston College Department of Economics

1983

  1. Changes in the Balance Sheet of the U.S. Manufacturing Sector, 1926-1977
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Chapter (1985)

Undated

  1. Low Inflation or Stable Prices? Monetary Policy in the Absence of Deficit Finance
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads

Journal Articles

2017

  1. Corporate financial policy and the value of cash under uncertainty
    International Journal of Managerial Finance, 2017, 13, (2), 149-164 Downloads
    See also Working Paper (2016)

2016

  1. Credit rating agency downgrades and the Eurozone sovereign debt crises
    Journal of Financial Stability, 2016, 24, (C), 117-131 Downloads View citations (2)
    See also Working Paper (2014)
  2. Cumulative author index, volumes 1-16
    Stata Journal, 2016, 16, (4) Downloads
  3. Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
    Energy Economics, 2016, 53, (C), 175-181 Downloads View citations (1)
    See also Working Paper (2014)
  4. R&D Expenditures and Geographical Sales Diversification
    Manchester School, 2016, 84, (2), 197-221 Downloads View citations (1)
    See also Working Paper (2012)
  5. Securities fraud and corporate board turnover: New evidence from lawsuit outcomes
    International Review of Law and Economics, 2016, 48, (C), 14-25 Downloads
  6. Stata tip 126: Handling irregularly spaced high-frequency transactions data
    Stata Journal, 2016, 16, (2), 517-520 Downloads
  7. The self-medication hypothesis: Evidence from terrorism and cigarette accessibility
    Economics & Human Biology, 2016, 22, (C), 94-102 Downloads View citations (1)
    See also Working Paper (2016)

2015

  1. Happily Ever After? Pre-and-Post Disaster Determinants of Happiness Among Survivors of Hurricane Katrina
    Journal of Happiness Studies, 2015, 16, (2), 427-442 Downloads View citations (2)
  2. What do Chinese macro announcements tell us about the world economy?
    Journal of International Money and Finance, 2015, 59, (C), 100-122 Downloads View citations (4)
    See also Working Paper (2015)

2013

  1. THE ROLE OF UNCERTAINTY IN THE TRANSMISSION OF MONETARY POLICY EFFECTS ON BANK LENDING
    Manchester School, 2013, 81, (2), 202-225 Downloads View citations (9)
    See also Working Paper (2008)
  2. The Effects of Future Capital Investment and R&D Expenditures on Firms' Liquidity
    Review of International Economics, 2013, 21, (3), 459-474 Downloads
    See also Working Paper (2012)

2012

  1. The effects of uncertainty and corporate governance on firms’ demand for liquidity
    Applied Economics, 2012, 44, (4), 515-525 Downloads
    See also Working Paper (2009)

2011

  1. Richard Sperling (1961-2011)
    Stata Journal, 2011, 11, (2), 157-158
  2. The contextual effects of social capital on health: A cross-national instrumental variable analysis
    Social Science & Medicine, 2011, 73, (12), 1689-1697 Downloads View citations (14)
    See also Working Paper (2011)
  3. The impact of the financial system's structure on firms' financial constraints
    Journal of International Money and Finance, 2011, 30, (4), 678-691 Downloads View citations (8)
    See also Working Paper (2010)
  4. USING STATA FOR APPLIED RESEARCH: REVIEWING ITS CAPABILITIES
    Journal of Economic Surveys, 2011, 25, (2), 380-394
    See also Working Paper (2010)

2010

  1. Macroeconomic uncertainty and credit default swap spreads
    Applied Financial Economics, 2010, 20, (15), 1163-1171 Downloads View citations (6)
    See also Working Paper (2010)
  2. On the investment sensitivity of debt under uncertainty
    Economics Letters, 2010, 106, (1), 25-27 Downloads View citations (6)
    See also Working Paper (2008)
  3. On the sensitivity of firms' investment to cash flow and uncertainty
    Oxford Economic Papers, 2010, 62, (2), 286-306 Downloads View citations (24)
    See also Working Paper (2008)
  4. On the sensitivity of the volume and volatility of bilateral trade flows to exchange rate uncertainty
    Journal of International Money and Finance, 2010, 29, (1), 79-93 Downloads View citations (19)
    See also Working Paper (2008)
  5. Parliamentary election cycles and the Turkish banking sector
    Journal of Banking & Finance, 2010, 34, (11), 2709-2719 Downloads View citations (7)
    See also Working Paper (2010)
  6. Stata tip 88: Efficiently evaluating elasticities with the margins command
    Stata Journal, 2010, 10, (2), 309-312
  7. The impact of macroeconomic uncertainty on firms' changes in financial leverage
    International Journal of Finance & Economics, 2010, 15, (1), 22-30 Downloads View citations (5)
    See also Working Paper (2008)

2009

  1. Evaluating concavity for production and cost functions
    Stata Journal, 2009, 9, (1), 161-165 Downloads View citations (2)
  2. Stata tip 73: append with care!
    Stata Journal, 2009, 9, (1), 166-168 Downloads
  3. THE EFFECTS OF UNCERTAINTY ON THE LEVERAGE OF NONFINANCIAL FIRMS
    Economic Inquiry, 2009, 47, (2), 216-225 Downloads View citations (11)
    See also Working Paper (2007)
  4. The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds
    Economics Letters, 2009, 102, (2), 87-89 Downloads View citations (9)
    See also Working Paper (2008)

2008

  1. Political patronage in Ukrainian banking
    The Economics of Transition, 2008, 16, (3), 537-557 Downloads View citations (8)
    See also Working Paper (2008)
  2. Stata tip 63: Modeling proportions
    Stata Journal, 2008, 8, (2), 299-303 Downloads View citations (26)
  3. Uncertainty determinants of corporate liquidity
    Economic Modelling, 2008, 25, (5), 833-849 Downloads View citations (11)
    See also Working Paper (2006)
  4. Uncertainty determinants of firm investment
    Economics Letters, 2008, 98, (3), 282-287 Downloads View citations (11)
    See also Working Paper (2007)

2007

  1. Enhanced routines for instrumental variables/generalized method of moments estimation and testing
    Stata Journal, 2007, 7, (4), 465-506 Downloads View citations (249)
  2. Stata tip 40: Taking care of business
    Stata Journal, 2007, 7, (1), 137-139 Downloads
  3. Stata tip 45: Getting those data into shape
    Stata Journal, 2007, 7, (2), 268-271 Downloads View citations (2)
  4. Ukrainische Banken: politische Patronage von Bedeutung
    DIW Wochenbericht, 2007, 74, (23), 367-371 Downloads

2006

  1. Dynamics of Intra-EMS Interest Rate Linkages
    Journal of Money, Credit and Banking, 2006, 38, (2), 469-482 Downloads View citations (13)
    See also Working Paper (2004)
  2. Long-memory forecasting of US monetary indices
    Journal of Forecasting, 2006, 25, (4), 291-302 Downloads View citations (8)
    See also Working Paper (2003)
  3. Stata tip 37: And the last shall be first
    Stata Journal, 2006, 6, (4), 588-589 Downloads
  4. Stata tip 38: Testing for groupwise heteroskedasticity
    Stata Journal, 2006, 6, (4), 590-592 Downloads View citations (2)
  5. The impact of macroeconomic uncertainty on non-financial firms' demand for liquidity
    Review of Financial Economics, 2006, 15, (4), 289-304 Downloads View citations (23)
    See also Working Paper (2005)

2005

  1. Stata: The language of choice for time-series analysis?
    Stata Journal, 2005, 5, (1), 46-63 Downloads View citations (16)
    See also Working Paper (2004)

2004

  1. A review of Stata 8.1 and its time series capabilities
    International Journal of Forecasting, 2004, 20, (1), 151-161 Downloads View citations (42)
    See also Working Paper (2003)
  2. Nonlinear effects of exchange rate volatility on the volume of bilateral exports
    Journal of Applied Econometrics, 2004, 19, (1), 1-23 Downloads View citations (55)
    See also Working Paper (2002)

2003

  1. Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums
    Journal of Macroeconomics, 2003, 25, (1), 109-122 Downloads View citations (11)
    See also Working Paper (2001)
  2. Instrumental variables and GMM: Estimation and testing
    Stata Journal, 2003, 3, (1), 1-31 Downloads View citations (511)
    See also Working Paper (2003)
  3. Sectoral fluctuations in U.K. firms' investment expenditures
    Economics Bulletin, 2003, 5, (13), 1-10 Downloads
    See also Working Paper (2003)
  4. The forward rate unbiasedness hypothesis reexamined: evidence from a new test
    Global Finance Journal, 2003, 14, (1), 83-93 Downloads View citations (4)

2002

  1. Exchange rate effects on the volume and variability of trade flows
    Journal of International Money and Finance, 2002, 21, (4), 481-496 Downloads View citations (26)
    See also Working Paper (2001)

2001

  1. A test for long-range dependence in a time series
    Stata Technical Bulletin, 2001, 10, (60) Downloads
  2. Compacting time series data
    Stata Technical Bulletin, 2001, 10, (57) Downloads
  3. Exchange Rate Uncertainty and Firm Profitability
    Journal of Macroeconomics, 2001, 23, (4), 565-576 Downloads View citations (19)
    See also Working Paper (2000)
  4. Multivariate portmanteau (Q) test for white noise
    Stata Technical Bulletin, 2001, 10, (60) Downloads
  5. Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era
    Journal of International Money and Finance, 2001, 20, (3), 379-399 Downloads View citations (140)
    See also Working Paper (1999)
  6. Residual diagnostics for cross-section time series regression models
    Stata Journal, 2001, 1, (1), 101-104 Downloads View citations (54)
  7. Test for autoregressive conditional heteroskedasticity in regression error distribution
    Stata Technical Bulletin, 2001, 10, (55) Downloads
  8. Tests for heteroskedasticity in regression error distribution
    Stata Technical Bulletin, 2001, 10, (55) Downloads
  9. Tests for long memory in a time series
    Stata Technical Bulletin, 2001, 10, (57) Downloads View citations (7)
  10. Tests for serial correlation in regression error distribution
    Stata Technical Bulletin, 2001, 10, (55) Downloads
  11. Tests for stationarity of a time series
    Stata Technical Bulletin, 2001, 10, (57) Downloads View citations (9)
  12. Tests for stationarity of a time series: update
    Stata Technical Bulletin, 2001, 10, (58) Downloads View citations (4)
  13. Utility for time series data
    Stata Technical Bulletin, 2001, 10, (57) Downloads View citations (2)
  14. Waves and persistence in merger and acquisition activity
    Economics Letters, 2001, 70, (2), 237-243 Downloads View citations (8)
    See also Working Paper (1999)

2000

  1. Long memory in the Greek stock market
    Applied Financial Economics, 2000, 10, (2), 177-184 Downloads View citations (51)
    See also Working Paper (1996)
  2. Metadata for user-written contributions to the Stata programming language
    Stata Technical Bulletin, 2000, 9, (52) Downloads
  3. Metadata for user-written contributions to the Stata programming language: extensions
    Stata Technical Bulletin, 2000, 9, (54) Downloads

1999

  1. Fractional monetary dynamics
    Applied Economics, 1999, 31, (11), 1393-1400 Downloads View citations (7)
    See also Working Paper (1998)
  2. Long memory or structural breaks: can either explain nonstationary real exchange rates under the current float?
    Journal of International Financial Markets, Institutions and Money, 1999, 9, (4), 359-376 Downloads View citations (39)
    See also Working Paper (1998)
  3. Persistence in International Inflation Rates
    Southern Economic Journal, 1999, 65, (4), 900-913 View citations (62)
    See also Working Paper (1996)
  4. Q, Cash Flow and Investment: An Econometric Critique
    Review of Quantitative Finance and Accounting, 1999, 12, (1), 35-47 Downloads View citations (2)
    See also Working Paper (1996)

1998

  1. Fractional dynamics in Japanese financial time series
    Pacific-Basin Finance Journal, 1998, 6, (1-2), 115-124 Downloads View citations (11)
    See also Working Paper (1996)
  2. Modelling Federal Reserve Discount Policy
    Computational Economics, 1998, 11, (1-2), 53-70 Downloads View citations (16)
    See also Working Paper (1996)
  3. Reexamining the term structure of interest rates and the interwar demand for money
    Journal of Economics and Finance, 1998, 22, (2), 5-12 Downloads
    See also Working Paper (1997)
  4. Stochastic long memory in traded goods prices
    Applied Economics Letters, 1998, 5, (3), 135-138 Downloads View citations (4)
    See also Working Paper (1997)

1997

  1. A nonparametric investigation of the 90-day t-bill rate
    Review of Financial Economics, 1997, 6, (2), 187-198 Downloads View citations (6)
  2. A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency
    Applied Financial Economics, 1997, 7, (6), 635-643 Downloads View citations (12)
    See also Working Paper (1996)
  3. FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES
    Journal of Financial Research, 1997, 20, (3), 355-372 Downloads View citations (10)
    Also in Journal of Financial Research, 1997, 20, (3), 355-72 (1997) View citations (21)

    See also Working Paper (1996)

1996

  1. Long-term dependence in stock returns
    Economics Letters, 1996, 53, (3), 253-259 Downloads View citations (52)
    See also Working Paper (1996)
  2. Time‐varying risk premia in the foreign currency futures basis
    Journal of Futures Markets, 1996, 16, (7), 735-755 Downloads
    See also Working Paper (1996)
  3. Tobin's Q, intangible capital, and financial policy
    Journal of Economics and Business, 1996, 48, (4), 387-400 Downloads View citations (4)

1992

  1. On the Construction of Monthly Term Structures of U.S. Interest Rates, 1919-1930
    Computer Science in Economics & Management, 1992, 5, (3), 221-46 View citations (3)

1991

  1. Tobin's q and measurement error: Caveat investigator
    Journal of Economics and Business, 1991, 43, (3), 241-252 Downloads View citations (3)

1990

  1. Analyzing the Stability of Demand-for-Money Equations via Bounded-Influence Estimation Techniques
    Journal of Money, Credit and Banking, 1990, 22, (4), 465-77 Downloads View citations (4)

1988

  1. Dynamic adjustment of firms' capital structures in a varying-risk environment
    Journal of Economic Dynamics and Control, 1988, 12, (1), 127-133 Downloads
  2. Foreword
    Journal of Economic Dynamics and Control, 1988, 12, (1), 3-3 Downloads

1987

  1. The effects of price- and output-stabilising policies in an interdependent world economy
    Journal of Economic Dynamics and Control, 1987, 11, (2), 195-200 Downloads

1986

  1. Coordination of large macroeconomies'policies and the stability of small economies
    Journal of Economic Dynamics and Control, 1986, 10, (1-2), 21-25 Downloads

1983

  1. Activist policy and macroeconomic instability
    Economics Letters, 1983, 11, (1-2), 43-48 Downloads

1980

  1. On the sensitivity of optimal control solutions
    Journal of Economic Dynamics and Control, 1980, 2, (1), 205-208 Downloads

1979

  1. Evidence on Structural Change in the Demand for Aggregate U.S. Imports and Exports
    Journal of Political Economy, 1979, 87, (1), 179-92 Downloads View citations (16)

1978

  1. A Logit Analysis of the Factor Content of West German Foreign Trade
    Review of World Economics (Weltwirtschaftliches Archiv), 1978, 114, 328-338 View citations (2)
    Also in Review of World Economics (Weltwirtschaftliches Archiv), 1978, 114, (2), 328-338 (1978) Downloads View citations (2)

1977

  1. An empirical analysis of the composition of manufacturing employment in the industrialized countries
    European Economic Review, 1977, 9, (1), 1-19 Downloads View citations (1)

Books

2015

  1. An Introduction to Stata Programming, Second Edition
    Stata Press books, StataCorp LP Downloads View citations (1)

2006

  1. An Introduction to Modern Econometrics using Stata
    Stata Press books, StataCorp LP Downloads View citations (279)

Chapters

1985

  1. Changes in the Balance Sheet of the U.S. Manufacturing Sector, 1926-1977
    A chapter in Corporate Capital Structures in the United States, 1985, pp 81-116 Downloads View citations (1)
    See also Working Paper (1983)

Software Items

2017

  1. ADFMAXUR: Stata module to calculate Leybourne (1995) ADFmax unit root test statistic along with 1, 5 and 10% finite-sample critical values and associated p-values
    Statistical Software Components, Boston College Department of Economics Downloads
  2. BCUSE: Stata module to access instructional datasets on Boston College server
    Statistical Software Components, Boston College Department of Economics Downloads
  3. ERSUR: Stata module to calculate Elliott, Rothenberg & Stock DF-GLS unit root test statistic along with 1, 5 and 10% finite-sample critical values and associated p-values
    Statistical Software Components, Boston College Department of Economics Downloads
  4. FCSTATS: Stata module to compute time series forecast accuracy statistics
    Statistical Software Components, Boston College Department of Economics Downloads
  5. IVREG2H: Stata module to perform instrumental variables estimation using heteroskedasticity-based instruments
    Statistical Software Components, Boston College Department of Economics Downloads

2016

  1. GRPDF: Stata module to produce PDFs from memory graphs
    Statistical Software Components, Boston College Department of Economics Downloads
  2. IVREG2: Stata module for extended instrumental variables/2SLS and GMM estimation
    Statistical Software Components, Boston College Department of Economics Downloads View citations (56)
  3. OVERID: Stata module to calculate tests of overidentifying restrictions after ivreg2, ivreg29, ivregress, ivprobit, ivtobit, reg3
    Statistical Software Components, Boston College Department of Economics Downloads View citations (10)
  4. SSPECIALREG: Stata module to estimate binary choice model with discrete endogenous regressor via special regressor method
    Statistical Software Components, Boston College Department of Economics Downloads

2015

  1. ACTEST: Stata module to perform Cumby-Huizinga general test for autocorrelation in time series
    Statistical Software Components, Boston College Department of Economics Downloads
  2. AVAR: Stata module to perform asymptotic covariance estimation for iid and non-iid data robust to heteroskedasticity, autocorrelation, 1- and 2-way clustering, and common cross-panel autocorrelated disturbances
    Statistical Software Components, Boston College Department of Economics Downloads
  3. CLEMAO_IO: Stata module to perform unit root tests with one or two structural breaks
    Statistical Software Components, Boston College Department of Economics Downloads View citations (2)
  4. CMAXUSE: Stata module to access Cmax instructional datasets
    Statistical Software Components, Boston College Department of Economics Downloads
  5. IVREG210: Stata module for extended instrumental variables/2SLS and GMM estimation (v10)
    Statistical Software Components, Boston College Department of Economics Downloads
  6. IVREG29: Stata module for extended instrumental variables/2SLS and GMM estimation (v9)
    Statistical Software Components, Boston College Department of Economics Downloads View citations (2)
  7. XTILETEST: Stata module to test equality of percentiles across groups of observations
    Statistical Software Components, Boston College Department of Economics Downloads
  8. ZANDREWS: Stata module to calculate Zivot-Andrews unit root test in presence of structural break
    Statistical Software Components, Boston College Department of Economics Downloads View citations (2)
  9. dspace2redif.pl, a script converting DSpace metadata to ReDIF
    RePEc scripts, RePEc Team Downloads

2014

  1. DENTON: Stata module to interpolate a flow or stock series from low-frequency totals via proportional Denton method
    Statistical Software Components, Boston College Department of Economics Downloads View citations (9)
  2. OUTTABLE: Stata module to write matrix to LaTeX table
    Statistical Software Components, Boston College Department of Economics Downloads

2013

  1. BIDENSITY: Stata module to produce and graph bivariate density estimates
    Statistical Software Components, Boston College Department of Economics Downloads
  2. IVACTEST: Stata module to perform Cumby-Huizinga test for autocorrelation after IV/OLS estimation
    Statistical Software Components, Boston College Department of Economics Downloads
  3. STATICFC: Stata module to compute static forecasts for a recursive rolling regression
    Statistical Software Components, Boston College Department of Economics Downloads
  4. TSCOLLAP: Stata module to compact timeseries into dataset of means, sums, end-of-period values
    Statistical Software Components, Boston College Department of Economics Downloads

2012

  1. KDENS2: Stata module to estimate bivariate kernel density
    Statistical Software Components, Boston College Department of Economics Downloads

2011

  1. DMARIANO: Stata module to calculate Diebold-Mariano comparison of forecast accuracy
    Statistical Software Components, Boston College Department of Economics Downloads
  2. IVREG28: Stata module for extended instrumental variables/2SLS and GMM estimation (v8)
    Statistical Software Components, Boston College Department of Economics Downloads View citations (3)
  3. NBERCYCLES: Stata module to generate graph command (and optionally graph) timeseries vs. NBER recession dating
    Statistical Software Components, Boston College Department of Economics Downloads
  4. SSCSUBMIT: Stata module -- some notes on SSC Archive use for Stata users
    Statistical Software Components, Boston College Department of Economics Downloads
  5. TGMIXED: Stata module to perform Theil-Goldberger mixed estimation of regression equation
    Statistical Software Components, Boston College Department of Economics Downloads
  6. XTTEST2: Stata module to perform Breusch-Pagan LM test for cross-sectional correlation in fixed effects model
    Statistical Software Components, Boston College Department of Economics Downloads

2010

  1. ITSP_ADO: Stata module to accompany Introduction to Stata Programming book
    Statistical Software Components, Boston College Department of Economics Downloads
  2. LEVPREDICT: Stata module to compute log-linear level predictions reducing retransformation bias
    Statistical Software Components, Boston College Department of Economics Downloads

2009

  1. HPRESCOTT: Stata module to implement Hodrick-Prescott filter for timeseries data
    Statistical Software Components, Boston College Department of Economics Downloads
  2. OMNINORM: Stata module to calculate omnibus test for univariate/multivariate normality
    Statistical Software Components, Boston College Department of Economics Downloads View citations (1)

2008

  1. HLP2PDF: Stata module to create PDF or PostScript from Stata help file
    Statistical Software Components, Boston College Department of Economics Downloads
  2. LOG2HTML: Stata module to produce HTML log files
    Statistical Software Components, Boston College Department of Economics Downloads
  3. PWCORR2: Stata module to compute pairwise correlations and return results
    Statistical Software Components, Boston College Department of Economics Downloads
  4. QLL: Stata module to implement Elliott-Müller efficient test for general persistent time variation in regression coefficients
    Statistical Software Components, Boston College Department of Economics Downloads

2007

  1. CHECKREG3: Stata module to check identification status of simultaneous equations system
    Statistical Software Components, Boston College Department of Economics Downloads
  2. IPSHIN: Stata module to perform Im-Pesaran-Shin panel unit root test
    Statistical Software Components, Boston College Department of Economics Downloads View citations (3)
  3. IVENDOG: Stata module to calculate Durbin-Wu-Hausman endogeneity test after ivreg
    Statistical Software Components, Boston College Department of Economics Downloads View citations (2)
  4. LOMACKINLAY: Stata module to perform Lo-MacKinlay variance ratio test
    Statistical Software Components, Boston College Department of Economics Downloads
  5. MVSUMM: Stata module to generate moving-window descriptive statistics in time series or panel
    Statistical Software Components, Boston College Department of Economics Downloads
  6. NHARVEY: Stata module to perform Nyblom-Harvey panel test of common stochastic trends
    Statistical Software Components, Boston College Department of Economics Downloads
  7. ORSE: Stata module to save odds ratios and their standard errors after logit, ologit
    Statistical Software Components, Boston College Department of Economics Downloads
  8. PROBEXOG-TOBEXOG: Stata modules to test exogeneity in probit/tobit
    Statistical Software Components, Boston College Department of Economics Downloads View citations (4)
  9. ROLLING2: Stata module to perform rolling window and recursive estimation
    Statistical Software Components, Boston College Department of Economics Downloads
  10. URCOVAR: Stata module to perform Elliott-Jansson test for unit roots with stationary covariates
    Statistical Software Components, Boston College Department of Economics Downloads

2006

  1. BKING: Stata module to implement Baxter-King filter for timeseries data
    Statistical Software Components, Boston College Department of Economics Downloads
  2. BUTTERWORTH: Stata module to implement Butterworth square-wave highpass filter for timeseries data
    Statistical Software Components, Boston College Department of Economics Downloads
  3. CFITZRW: Stata module to implement Christiano-Fitzgerald Random Walk band pass filter for timeseries data
    Statistical Software Components, Boston College Department of Economics Downloads
  4. FRACDIFF: Stata module to generate fractionally-differenced timeseries
    Statistical Software Components, Boston College Department of Economics Downloads View citations (2)
  5. GPHUDAK: Stata module to estimate long memory in a timeseries
    Statistical Software Components, Boston College Department of Economics Downloads
  6. KPSS: Stata module to compute Kwiatkowski-Phillips-Schmidt-Shin test for stationarity
    Statistical Software Components, Boston College Department of Economics Downloads
  7. LEVINLIN: Stata module to perform Levin-Lin-Chu panel unit root test
    Statistical Software Components, Boston College Department of Economics Downloads View citations (2)
  8. LOMODRS: Stata module to perform Lo R/S test for long range dependence in timeseries
    Statistical Software Components, Boston College Department of Economics Downloads
  9. MADFULLER: Stata module to perform Dickey-Fuller test on panel data
    Statistical Software Components, Boston College Department of Economics Downloads View citations (1)
  10. MODLPR: Stata module to estimate long memory in a timeseries
    Statistical Software Components, Boston College Department of Economics Downloads
  11. PWCOV: Stata module to compute pairwise covariances
    Statistical Software Components, Boston College Department of Economics Downloads
  12. ROBLPR: Stata module to estimate long memory in a set of timeseries
    Statistical Software Components, Boston College Department of Economics Downloads
  13. SEMEAN: Stata module to compute standard error of mean (optionally from transformed data)
    Statistical Software Components, Boston College Department of Economics Downloads
  14. TORATS: Stata module to facilitate transfer of data to RATS
    Statistical Software Components, Boston College Department of Economics Downloads

2005

  1. MVCORR: Stata module to generate moving-window correlation or autocorrelation in time series or panel
    Statistical Software Components, Boston College Department of Economics Downloads
  2. ONESPELL: Stata module to generate single longest spell for each unit in panel data, listwise
    Statistical Software Components, Boston College Department of Economics Downloads
  3. ROLLREG: Stata module to perform rolling regression estimation
    Statistical Software Components, Boston College Department of Economics Downloads
  4. SPEARMAN2: Stata module to calculate Spearman rank correlations, extended
    Statistical Software Components, Boston College Department of Economics Downloads
  5. STATSMAT: Stata module to place descriptive statistics in matrix
    Statistical Software Components, Boston College Department of Economics Downloads
  6. bejeap2.pl, a script converting OAI data to ReDIF with Unicode support
    RePEc scripts, RePEc Team Downloads

2004

  1. BETACOEF: Stata module to calculate beta coefficients from regression
    Statistical Software Components, Boston College Department of Economics Downloads
  2. IVGMM0: Stata module to perform instrumental variables via GMM
    Statistical Software Components, Boston College Department of Economics Downloads
  3. MATIN4-MATOUT4: Stata module to import and export matrices
    Statistical Software Components, Boston College Department of Economics Downloads
  4. TSLIST: Stata module to list time series data
    Statistical Software Components, Boston College Department of Economics Downloads
  5. TSMKTIM: Stata module to generate time-series calendar variable
    Statistical Software Components, Boston College Department of Economics Downloads

2003

  1. DMEXOGXT: Stata module to test consistency of OLS vs XT-IV estimates
    Statistical Software Components, Boston College Department of Economics Downloads View citations (3)
  2. HADRILM: Stata module to perform Hadri panel unit root test
    Statistical Software Components, Boston College Department of Economics Downloads
  3. PANELAUTO: Stata module to support tests for autocorrelation on panel data
    Statistical Software Components, Boston College Department of Economics Downloads
  4. PANELUNIT: Stata module to support unit root tests on panel data
    Statistical Software Components, Boston College Department of Economics Downloads
  5. TSGRAPH: Stata module to produce time series line graph
    Statistical Software Components, Boston College Department of Economics Downloads
  6. bejeap.pl, a script converting OAI data to ReDIF
    RePEc scripts, RePEc Team Downloads

2002

  1. AVPLOT3: Stata module to generate partial regression plots for subsamples
    Statistical Software Components, Boston College Department of Economics Downloads
  2. BGTEST: Stata module to calculate Breusch-Godfrey test for serial correlation
    Statistical Software Components, Boston College Department of Economics Downloads
  3. DURBINH: Stata module to calculate Durbin's h test for serial correlation
    Statistical Software Components, Boston College Department of Economics Downloads
  4. GENEIGEN: Stata module to calculate eigenvalues of a real general matrix
    Statistical Software Components, Boston College Department of Economics Downloads
  5. VECAR6: Stata module to estimate vector autoregressive (VAR) models (version 6)
    Statistical Software Components, Boston College Department of Economics Downloads
  6. VECAR: Stata module to estimate vector autoregressive (VAR) models
    Statistical Software Components, Boston College Department of Economics Downloads
  7. WHITETST: Stata module to perform White's test for heteroskedasticity
    Statistical Software Components, Boston College Department of Economics Downloads
  8. WNTSTMVQ: Stata module to compute multivariate Ljung-Box Q test
    Statistical Software Components, Boston College Department of Economics Downloads
  9. cdl-ciders.pl, a script converting XML data to ReDIF
    RePEc scripts, RePEc Team Downloads

2001

  1. ARRANGEDAR: RATS procedures to calculate arranged autoregressions
    Computational Economics Software Archive, Kluwer Academic Publishers Downloads
  2. DFGLS: Stata module to compute Dickey-Fuller/GLS unit root test
    Statistical Software Components, Boston College Department of Economics Downloads View citations (1)
  3. HEGY4: Stata module to compute Hylleberg et al seasonal unit root test
    Statistical Software Components, Boston College Department of Economics Downloads
  4. OUTSERIES: Stata module to write timeseries to text files
    Statistical Software Components, Boston College Department of Economics Downloads
  5. TOSQL: Stata module to transfer data to SQL database
    Statistical Software Components, Boston College Department of Economics Downloads
  6. XTTEST3: Stata module to compute Modified Wald statistic for groupwise heteroskedasticity
    Statistical Software Components, Boston College Department of Economics Downloads View citations (2)
  7. aer.pl, a script converting XML data to ReDIF
    RePEc scripts, RePEc Team Downloads

2000

  1. CUSUM6: Stata module to compute cusum, cusum^2 stability tests
    Statistical Software Components, Boston College Department of Economics Downloads
  2. FRACIRF: Stata module to compute impulse response function for fractionally-integrated timeseries
    Statistical Software Components, Boston College Department of Economics Downloads View citations (2)
  3. GHISTCUM: Stata module to graph histogram and cumulative distribution
    Statistical Software Components, Boston College Department of Economics Downloads
  4. ectj.pl, a script converting html data to ReDIF
    RePEc scripts, RePEc Team Downloads
  5. imfocpcvt.pl, a script converting html data to ReDIF
    RePEc scripts, RePEc Team Downloads

1999

  1. ARCH: MATLAB function to compute ARCH test
    Statistical Software Components, Boston College Department of Economics Downloads
  2. ARCHLM: Stata module to calculate LM test for ARCH effects
    Statistical Software Components, Boston College Department of Economics Downloads
  3. ARIMAFIT: Stata module to calculate AIC, SIC for ARIMA model
    Statistical Software Components, Boston College Department of Economics Downloads
  4. BPAGAN: Stata module to perform Breusch-Pagan test for heteroskedasticity
    Statistical Software Components, Boston College Department of Economics Downloads
  5. CNSRSIG: Stata module to evaluate validity of restrictions on a regression
    Statistical Software Components, Boston College Department of Economics Downloads
  6. QSTAT2: MATLAB function to compute Ljung-Box Q statistic
    Statistical Software Components, Boston College Department of Economics Downloads
  7. rjeyr.pl, a script converting html data to ReDIF
    RePEc scripts, RePEc Team Downloads

1998

  1. GPH_SEAS: RATS module to perform fractional integration of seasonally adjusted timeseries
    Statistical Software Components, Boston College Department of Economics Downloads

1997

  1. GPHROB: RATS modules to perform tests for fractional integration of timeseries
    Statistical Software Components, Boston College Department of Economics Downloads

1996

  1. ARFIMAFC: RATS modules to forecast fractionally differenced timeseries
    Statistical Software Components, Boston College Department of Economics Downloads

Editor

  1. 2013 Stata Conference
    Stata Users Group
  2. 2014 Stata Conference
    Stata Users Group
  3. 2015 Stata Conference
    Stata Users Group
  4. 2016 Stata Conference
    Stata Users Group
  5. 2017 Stata Conference
    Stata Users Group
  6. Australasian Stata Users' Group Meetings 2004
    Stata Users Group
  7. BOS10 Stata Conference
    Stata Users Group
  8. Boston College Working Papers in Economics
    Boston College Department of Economics
  9. Canadian Stata Users' Group Meetings 2009
    Stata Users Group
  10. CHI11 Stata Conference
    Stata Users Group
  11. Computational Economics Software Archive
    Kluwer Academic Publishers
  12. Computing in Economics and Finance 1996
    Society for Computational Economics
  13. Computing in Economics and Finance 1997
    Society for Computational Economics
  14. Computing in Economics and Finance 1999
    Society for Computational Economics
  15. Computing in Economics and Finance 2000
    Society for Computational Economics
  16. Computing in Economics and Finance 2001
    Society for Computational Economics
  17. Computing in Economics and Finance 2002
    Society for Computational Economics
  18. Computing in Economics and Finance 2003
    Society for Computational Economics
  19. Computing in Economics and Finance 2004
    Society for Computational Economics
  20. Computing in Economics and Finance 2005
    Society for Computational Economics
  21. Computing in Economics and Finance 2006
    Society for Computational Economics
  22. DC09 Stata Conference
    Stata Users Group
  23. Dutch-German Stata Users' Group Meetings 2002
    Stata Users Group
  24. Fall North American Stata Users' Group Meetings 2008
    Stata Users Group
  25. German Stata Users' Group Meetings 2004
    Stata Users Group
  26. German Stata Users' Group Meetings 2005
    Stata Users Group
  27. German Stata Users' Group Meetings 2006
    Stata Users Group
  28. German Stata Users' Group Meetings 2007
    Stata Users Group
  29. German Stata Users' Group Meetings 2008
    Stata Users Group
  30. German Stata Users' Group Meetings 2009
    Stata Users Group
  31. German Stata Users' Group Meetings 2010
    Stata Users Group
  32. German Stata Users' Group Meetings 2011
    Stata Users Group
  33. German Stata Users' Group Meetings 2012
    Stata Users Group
  34. German Stata Users' Group Meetings 2013
    Stata Users Group
  35. German Stata Users' Group Meetings 2014
    Stata Users Group
  36. Instructional Stata datasets for econometrics
    Boston College Department of Economics
  37. Italian Stata Users' Group Meetings 2008
    Stata Users Group
  38. Italian Stata Users' Group Meetings 2009
    Stata Users Group
  39. Italian Stata Users' Group Meetings 2010
    Stata Users Group
  40. Italian Stata Users' Group Meetings 2011
    Stata Users Group
  41. Italian Stata Users' Group Meetings 2012
    Stata Users Group
  42. Italian Stata Users' Group Meetings 2013
    Stata Users Group
  43. Italian Stata Users' Group Meetings 2014
    Stata Users Group
  44. Mexican Stata Users' Group Meetings 2009
    Stata Users Group
  45. Mexican Stata Users' Group Meetings 2010
    Stata Users Group
  46. Mexican Stata Users' Group Meetings 2011
    Stata Users Group
  47. Mexican Stata Users' Group Meetings 2013
    Stata Users Group
  48. Nordic and Baltic Stata Users' Group Meetings 2007
    Stata Users Group
  49. North American Stata Users' Group Meetings 2001
    Stata Users Group
  50. North American Stata Users' Group Meetings 2003
    Stata Users Group
  51. North American Stata Users' Group Meetings 2004
    Stata Users Group
  52. North American Stata Users' Group Meetings 2005
    Stata Users Group
  53. North American Stata Users' Group Meetings 2006
    Stata Users Group
  54. North American Stata Users' Group Meetings 2007
    Stata Users Group
  55. Portuguese Stata Users' Group Meetings 2010
    Stata Users Group
  56. SAN12 Stata Conference
    Stata Users Group
  57. Statistical Software Components
    Boston College Department of Economics
  58. Summer North American Stata Users' Group Meetings 2008
    Stata Users Group
  59. United Kingdom Stata Users' Group Meetings 2001
    Stata Users Group
  60. United Kingdom Stata Users' Group Meetings 2002
    Stata Users Group
  61. United Kingdom Stata Users' Group Meetings 2003
    Stata Users Group
  62. United Kingdom Stata Users' Group Meetings 2004
    Stata Users Group
  63. United Kingdom Stata Users' Group Meetings 2005
    Stata Users Group
  64. United Kingdom Stata Users' Group Meetings 2006
    Stata Users Group
  65. United Kingdom Stata Users' Group Meetings 2007
    Stata Users Group
  66. United Kingdom Stata Users' Group Meetings 2008
    Stata Users Group
  67. United Kingdom Stata Users' Group Meetings 2009
    Stata Users Group
  68. United Kingdom Stata Users' Group Meetings 2010
    Stata Users Group
  69. United Kingdom Stata Users' Group Meetings 2011
    Stata Users Group
  70. United Kingdom Stata Users' Group Meetings 2012
    Stata Users Group
  71. United Kingdom Stata Users' Group Meetings 2013
    Stata Users Group
  72. United Kingdom Stata Users' Group Meetings 2014
    Stata Users Group
  73. United Kingdom Stata Users' Group Meetings 2015
    Stata Users Group
  74. United Kingdom Stata Users' Group Meetings 2016
    Stata Users Group
  75. West Coast Stata Users' Group Meetings 2007
    Stata Users Group
 
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