Details about Christopher Baum

E-mail:
Homepage:	http://fmwww.bc.edu/ec/baum.php
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 2008-08-02. Update your information in the RePEc Author Service.

Short-id: pba1

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Working Papers

2008

1. Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports
   Boston College Working Papers in Economics, Boston College Department of Economics
   Also in
   Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007)
2. On the Investment Sensitivity of Debt under Uncertainty
   Boston College Working Papers in Economics, Boston College Department of Economics
3. On the Sensitivity of Firms' Investment to Cash Flow and Uncertainty
   Boston College Working Papers in Economics, Boston College Department of Economics
4. Political patronage in Ukranian banking
   Boston College Working Papers in Economics, Boston College Department of Economics
   See Also Journal Article in The Economics of Transition (2008)
5. Securities Fraud Class Actions and Corporate Governance: New Evidence on the Role of Merit
   Boston College Working Papers in Economics, Boston College Department of Economics
6. The Impact of Macroeconomic Uncertainty on Bank Lending Behavior
   Boston College Working Papers in Economics, Boston College Department of Economics View citations
   Also in
   Research Papers, University of Liverpool Management School (2002) View citations
   Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations
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 View citations
8. Using instrumental variables techniques in economics and finance
   German Stata Users' Group Meetings 2008, Stata Users Group

2007

9. Enhanced routines for instrumental variables/GMM estimation and testing
   Boston College Working Papers in Economics, Boston College Department of Economics View citations
   Also in
   CERT Discussion Papers, Centre for Economic Reform and Transformation, Heriot Watt University (2007) View citations
10. Instrumental variables: Overview and advances
    United Kingdom Stata Users' Group Meetings 2007, Stata Users Group
11. Powerful new tools for time series analysis
    North American Stata Users' Group Meetings 2007, Stata Users Group
12. Should you become a Stata programmer?
    German Stata Users' Group Meetings 2007, Stata Users Group
13. 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
14. 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
    Also in
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2006)
15. The Effects of Uncertainty on the Leverage of Non-Financial Firms
    Boston College Working Papers in Economics, Boston College Department of Economics
16. Uncertainty Determinants of Firm Investment
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Economics Letters (2008)

2006

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

2005

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

2004

27. Dynamics of Intra-EMS Interest Rate Linkages
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    Also in
    Computing in Economics and Finance 2002, Society for Computational Economics (2002)
    See Also Journal Article in Journal of Money, Credit and Banking (2006)
28. 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 View citations
29. Rolling Regressions with Stata
    North American Stata Users' Group Meetings 2004, Stata Users Group
30. Stata: The language of choice for time series analysis?
    Boston College Working Papers in Economics, Boston College Department of Economics
    See Also Journal Article in Stata Journal (2005)
31. The Impact of Macroeconomic Uncertainty on Cash Holdings for Non-Financial Firms
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations
    Also in
    Discussion Papers in Economics, Department of Economics, University of Leicester (2004) View citations
    Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations
    ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research (2004)
32. Topics in time series regression modeling
    United Kingdom Stata Users' Group Meetings 2004, Stata Users Group View citations

2003

33. A review of Stata 8.1 and its time series capabilities
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in International Journal of Forecasting (2004)
34. Instrumental variables and GMM: Estimation and testing
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    Also in
    United Kingdom Stata Users' Group Meetings 2003, Stata Users Group (2002) View citations
    North American Stata Users' Group Meetings 2003, Stata Users Group (2002) View citations
    See Also Journal Article in Stata Journal (2003)
35. Long-Memory Forecasting of U.S. Monetary Indices
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Journal of Forecasting (2006)
36. Nearest-Neighbor Forecasts of U.S. Interest Rates
    Boston College Working Papers in Economics, Boston College Department of Economics
37. Sectoral Fluctuations in U.K. Firms' Investment Expenditures
    Boston College Working Papers in Economics, Boston College Department of Economics
    Also in
    Research Papers, University of Liverpool Management School (2002)
    See Also Journal Article in Economics Bulletin (2003)
38. The Impact of Macroeconomic Uncertainty on Trade Credit for Non-Financial Firms
    Boston College Working Papers in Economics, Boston College Department of Economics

2002

39. Facilitating Applied Economic Research with Stata
    Boston College Working Papers in Economics, Boston College Department of Economics
40. Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Journal of Applied Econometrics (2004)

2001

41. Efficient Management of Multi-Frequency Panel Data with Stata
    North American Stata Users' Group Meetings 2001, Stata Users Group
    Also in
    United Kingdom Stata Users' Group Meetings 2001, Stata Users Group (2001)
42. Exchange Rate Effects on the Volume and Variability of Trade Flows
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    Also in
    Working Papers, Koc University (1998)
    See Also Journal Article in Journal of International Money and Finance (2002)
43. 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 View citations
    Also in
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) View citations
44. 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 View citations

2000

45. A re-evaluation of empirical tests of the Fisher hypothesis
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    Also in
    Computing in Economics and Finance 1999, Society for Computational Economics (2000) View citations
46. Exchange Rate Uncertainty and Firm Profitability
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
47. Modeling fixed income excess returns
    Boston College Working Papers in Economics, Boston College Department of Economics
48. Persistent Dependence in Foreign Exchange Rates? A Reexamination
    Boston College Working Papers in Economics, Boston College Department of Economics
49. The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test
    Boston College Working Papers in Economics, Boston College Department of Economics View citations

1999

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

1998

52. Fractional Monetary Dynamics
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Applied Economics (1999)
53. 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 View citations
    See Also Journal Article in Journal of International Financial Markets, Institutions and Money (1999)

1997

54. Credible Disinflation Policy in a Dynamic Setting
    Boston College Working Papers in Economics, Boston College Department of Economics
55. Long Memory and Forecasting in Euroyen Deposit Rates
    Boston College Working Papers in Economics, Boston College Department of Economics
56. Monetary Policy in the Transition to a Zero Federal Deficit
    Boston College Working Papers in Economics, Boston College Department of Economics
57. 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
58. Reexamining the Term Structure of Interest Rates and the Interwar Demand for Money
    Boston College Working Papers in Economics, Boston College Department of Economics
59. Stochastic Long Memory in Traded Goods Prices
    Boston College Working Papers in Economics, Boston College Department of Economics
    See Also Journal Article in Applied Economics Letters (1998)
60. 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 View citations
    Also in
    Computing in Economics and Finance 1997, Society for Computational Economics

1996

61. 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 View citations
    See Also Journal Article in Applied Financial Economics (1997)
62. Fractional Cointegration Analysis of Long Term International Interest Rates
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
63. Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
64. Fractional Dynamics in Japanese Financial Time Series
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Pacific-Basin Finance Journal (1998)
65. Long Memory in the Greek Stock Market
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Applied Financial Economics (2000)
66. Long Term Dependence in Stock Returns
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    See Also Journal Article in Economics Letters (1996)
67. Modelling Federal Reserve Discount Policy
    Boston College Working Papers in Economics, Boston College Department of Economics
    See Also Journal Article in Computational Economics (1998)
68. Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate
    Boston College Working Papers in Economics, Boston College Department of Economics
69. Persistence in International Inflation Rates
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
70. Q, Cash Flow and Investment: An Econometric Critique
    Boston College Working Papers in Economics, Boston College Department of Economics
    See Also Journal Article in Review of Quantitative Finance and Accounting (1999)
71. Time-Varying Risk Premia in the Foreign Currency Futures Basis
    Boston College Working Papers in Economics, Boston College Department of Economics View citations

1995

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

1994

73. 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

1993

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

1983

76. Changes in the Balance Sheet of the U.S. Manufacturing Sector, 1926- 1977
    NBER Working Papers, National Bureau of Economic Research, Inc

Undated

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

Journal Articles

2008

1. Political patronage in Ukrainian banking
   The Economics of Transition, 2008, 16, (3), 537-557
   See Also Working Paper (2008)
2. Stata tip 63: Modeling proportions
   Stata Journal, 2008, 8, (2), 299-303
3. Uncertainty determinants of firm investment
   Economics Letters, 2008, 98, (3), 282-287 View citations
   See Also Working Paper (2007)

2007

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

2006

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

2005

14. Stata: The language of choice for time-series analysis?
    Stata Journal, 2005, 5, (1), 46-63
    See Also Working Paper (2004)

2004

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

2003

17. Instrumental variables and GMM: Estimation and testing
    Stata Journal, 2003, 3, (1), 1-31 View citations
    See Also Working Paper (2003)
18. Sectoral fluctuations in U.K. firms' investment expenditures
    Economics Bulletin, 2003, 5, (13), 1-10
    See Also Working Paper (2003)
19. The forward rate unbiasedness hypothesis reexamined: evidence from a new test
    Global Finance Journal, 2003, 14, (1), 83-93 View citations

2002

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

2001

21. A test for long-range dependence in a time series
    Stata Technical Bulletin, 2001, 10, (60)
22. Compacting time series data
    Stata Technical Bulletin, 2001, 10, (57)
23. Multivariate portmanteau (Q) test for white noise
    Stata Technical Bulletin, 2001, 10, (60)
24. Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era
    Journal of International Money and Finance, 2001, 20, (3), 379-399 View citations
    See Also Working Paper (1999)
25. Residual diagnostics for cross-section time series regression models
    Stata Journal, 2001, 1, (1), 101-104
26. Test for autoregressive conditional heteroskedasticity in regression error distribution
    Stata Technical Bulletin, 2001, 10, (55)
27. Tests for heteroskedasticity in regression error distribution
    Stata Technical Bulletin, 2001, 10, (55)
28. Tests for long memory in a time series
    Stata Technical Bulletin, 2001, 10, (57) View citations
29. Tests for serial correlation in regression error distribution
    Stata Technical Bulletin, 2001, 10, (55)
30. Tests for stationarity of a time series
    Stata Technical Bulletin, 2001, 10, (57) View citations
31. Tests for stationarity of a time series: update
    Stata Technical Bulletin, 2001, 10, (58)
32. Utility for time series data
    Stata Technical Bulletin, 2001, 10, (57) View citations
33. Waves and persistence in merger and acquisition activity
    Economics Letters, 2001, 70, (2), 237-243 View citations
    See Also Working Paper (1999)

2000

34. Long Memory in the Greek Stock Market
    Applied Financial Economics, 2000, 10, (2), 177-84 View citations
    See Also Working Paper (1996)
35. Metadata for user-written contributions to the Stata programming language
    Stata Technical Bulletin, 2000, 9, (52)
36. Metadata for user-written contributions to the Stata programming language: extensions
    Stata Technical Bulletin, 2000, 9, (54)

1999

37. Fractional Monetary Dynamics
    Applied Economics, 1999, 31, (11), 1393-1400 View citations
    See Also Working Paper (1998)
38. 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 View citations
    See Also Working Paper (1998)
39. Q, Cash Flow and Investment: An Econometric Critique
    Review of Quantitative Finance and Accounting, 1999, 12, (1), 35-47
    See Also Working Paper (1996)

1998

40. Fractional dynamics in Japanese financial time series
    Pacific-Basin Finance Journal, 1998, 6, (1-2), 115-124 View citations
    See Also Working Paper (1996)
41. Modelling Federal Reserve Discount Policy
    Computational Economics, 1998, 11, (1-2), 53-70 View citations
    See Also Working Paper (1996)
42. Stochastic Long Memory in Traded Goods Prices
    Applied Economics Letters, 1998, 5, (3), 135-38
    See Also Working Paper (1997)

1997

43. A Re-examination of the Fragility of Evidence from Cointegration-Based Tests of Foreign Exchange Market Efficiency
    Applied Financial Economics, 1997, 7, (6), 635-43 View citations
    See Also Working Paper (1996)
44. A nonparametric investigation of the 90-day t-bill rate
    Review of Financial Economics, 1997, 6, (2), 187-198

1996

45. Long-term dependence in stock returns
    Economics Letters, 1996, 53, (3), 253-259 View citations
    See Also Working Paper (1996)
46. Tobin's Q, intangible capital, and financial policy
    Journal of Economics and Business, 1996, 48, (4), 387-400

1992

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

1991

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

1990

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

1988

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

1987

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

1986

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

1983

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

1980

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

1979

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

1978

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

1977

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

Books

2006

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

Software Items

2008

1. DENTON: Stata module to interpolate a quarterly flow series from annual totals via proportional Denton method
   Statistical Software Components, Boston College Department of Economics View citations
2. HLP2PDF: Stata module to create PDF or PostScript from Stata help file
   Statistical Software Components, Boston College Department of Economics
3. IVREG2: Stata module for extended instrumental variables/2SLS and GMM estimation
   Statistical Software Components, Boston College Department of Economics View citations
4. KDENS2: Stata module to estimate bivariate kernel density
   Statistical Software Components, Boston College Department of Economics
5. LOG2HTML: Stata module to produce HTML log files
   Statistical Software Components, Boston College Department of Economics
6. OUTTABLE: Stata module to write matrix to LaTeX table
   Statistical Software Components, Boston College Department of Economics
7. OVERID: Stata module to calculate tests of overidentifying restrictions after ivreg, ivreg2, ivprobit, ivtobit, reg3
   Statistical Software Components, Boston College Department of Economics View citations
8. OVERIDXT: Stata module to test validity of instruments in xtivreg
   Statistical Software Components, Boston College Department of Economics
9. 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

2007

10. CHECKREG3: Stata module to check identification status of simultaneous equations system
    Statistical Software Components, Boston College Department of Economics
11. IPSHIN: Stata module to perform Im-Pesaran-Shin panel unit root test
    Statistical Software Components, Boston College Department of Economics
12. IVACTEST: Stata module to perform Cumby-Huizinga test for autocorrelation after IV/OLS estimation
    Statistical Software Components, Boston College Department of Economics
13. IVENDOG: Stata module to calculate Durbin-Wu-Hausman endogeneity test after ivreg
    Statistical Software Components, Boston College Department of Economics View citations
14. IVREG28: Stata module for extended instrumental variables/2SLS and GMM estimation (v8)
    Statistical Software Components, Boston College Department of Economics
15. LOMACKINLAY: Stata module to perform Lo-MacKinlay variance ratio test
    Statistical Software Components, Boston College Department of Economics
16. MVSUMM: Stata module to generate moving-window descriptive statistics in time series or panel
    Statistical Software Components, Boston College Department of Economics
17. NHARVEY: Stata module to perform Nyblom-Harvey panel test of common stochastic trends
    Statistical Software Components, Boston College Department of Economics
18. OMNINORM: Stata module to calculate omnibus test for univariate/multivariate normality
    Statistical Software Components, Boston College Department of Economics
19. ORSE: Stata module to save odds ratios and their standard errors after logit, ologit
    Statistical Software Components, Boston College Department of Economics
20. PROBEXOG-TOBEXOG: Stata modules to test exogeneity in probit/tobit
    Statistical Software Components, Boston College Department of Economics
21. ROLLING2: Stata module to perform rolling window and recursive estimation
    Statistical Software Components, Boston College Department of Economics
22. URCOVAR: Stata module to perform Elliott-Jansson test for unit roots with stationary covariates
    Statistical Software Components, Boston College Department of Economics

2006

23. BKING: Stata module to implement Baxter-King filter for timeseries data
    Statistical Software Components, Boston College Department of Economics
24. BUTTERWORTH: Stata module to implement Butterworth square-wave highpass filter for timeseries data
    Statistical Software Components, Boston College Department of Economics
25. CFITZRW: Stata module to implement Christiano-Fitzgerald Random Walk band pass filter for timeseries data
    Statistical Software Components, Boston College Department of Economics
26. DMARIANO: Stata module to calculate Diebold-Mariano comparison of forecast accuracy
    Statistical Software Components, Boston College Department of Economics
27. FRACDIFF: Stata module to generate fractionally-differenced timeseries
    Statistical Software Components, Boston College Department of Economics View citations
28. GPHUDAK: Stata module to estimate long memory in a timeseries
    Statistical Software Components, Boston College Department of Economics
29. HPRESCOTT: Stata module to implement Hodrick-Prescott filter for timeseries data
    Statistical Software Components, Boston College Department of Economics
30. KPSS: Stata module to compute Kwiatkowski-Phillips-Schmidt-Shin test for stationarity
    Statistical Software Components, Boston College Department of Economics
31. LEVINLIN: Stata module to perform Levin-Lin-Chu panel unit root test
    Statistical Software Components, Boston College Department of Economics
32. LOMODRS: Stata module to perform Lo R/S test for long range dependence in timeseries
    Statistical Software Components, Boston College Department of Economics
33. MADFULLER: Stata module to perform Dickey-Fuller test on panel data
    Statistical Software Components, Boston College Department of Economics
34. MODLPR: Stata module to estimate long memory in a timeseries
    Statistical Software Components, Boston College Department of Economics
35. NBERCYCLES: Stata module to generate graph command (and optionally graph) timeseries vs. NBER recession dating
    Statistical Software Components, Boston College Department of Economics
36. PWCOV: Stata module to compute pairwise covariances
    Statistical Software Components, Boston College Department of Economics
37. ROBLPR: Stata module to estimate long memory in a set of timeseries
    Statistical Software Components, Boston College Department of Economics
38. SEMEAN: Stata module to compute standard error of mean (optionally from transformed data)
    Statistical Software Components, Boston College Department of Economics
39. TORATS: Stata module to facilitate transfer of data to RATS
    Statistical Software Components, Boston College Department of Economics

2005

40. CLEMAO_IO: Stata module to perform unit root tests with one or two structural breaks
    Statistical Software Components, Boston College Department of Economics View citations
41. MVCORR: Stata module to generate moving-window correlation or autocorrelation in time series or panel
    Statistical Software Components, Boston College Department of Economics
42. ONESPELL: Stata module to generate single longest spell for each unit in panel data, listwise
    Statistical Software Components, Boston College Department of Economics
43. ROLLREG: Stata module to perform rolling regression estimation
    Statistical Software Components, Boston College Department of Economics
44. SPEARMAN2: Stata module to calculate Spearman rank correlations, extended
    Statistical Software Components, Boston College Department of Economics
45. SSCSUBMIT: Stata module -- some notes on SSC Archive use for Stata users
    Statistical Software Components, Boston College Department of Economics
46. STATSMAT: Stata module to place descriptive statistics in matrix
    Statistical Software Components, Boston College Department of Economics
47. bejeap2.pl, a script converting OAI data to ReDIF with Unicode support
    RePEc scripts, RePEc Team

2004

48. BETACOEF: Stata module to calculate beta coefficients from regression
    Statistical Software Components, Boston College Department of Economics
49. IVGMM0: Stata module to perform instrumental variables via GMM
    Statistical Software Components, Boston College Department of Economics
50. MATIN4-MATOUT4: Stata module to import and export matrices
    Statistical Software Components, Boston College Department of Economics
51. TSLIST: Stata module to list time series data
    Statistical Software Components, Boston College Department of Economics
52. TSMKTIM: Stata module to generate time-series calendar variable
    Statistical Software Components, Boston College Department of Economics
53. 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
54. ZANDREWS: Stata module to calculate Zivot-Andrews unit root test in presence of structural break
    Statistical Software Components, Boston College Department of Economics View citations

2003

55. DMEXOGXT: Stata module to test consistency of OLS vs XT-IV estimates
    Statistical Software Components, Boston College Department of Economics
56. HADRILM: Stata module to perform Hadri panel unit root test
    Statistical Software Components, Boston College Department of Economics
57. PANELAUTO: Stata module to support tests for autocorrelation on panel data
    Statistical Software Components, Boston College Department of Economics
58. PANELUNIT: Stata module to support unit root tests on panel data
    Statistical Software Components, Boston College Department of Economics
59. TSCOLLAP: Stata module to compact timeseries into dataset of means, sums, end-of-period values
    Statistical Software Components, Boston College Department of Economics
60. TSGRAPH: Stata module to produce time series line graph
    Statistical Software Components, Boston College Department of Economics
61. bejeap.pl, a script converting OAI data to ReDIF
    RePEc scripts, RePEc Team

2002

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

2001

71. ARRANGEDAR: RATS procedures to calculate arranged autoregressions
    Computational Economics Software Archive, Kluwer Academic Publishers
72. DFGLS: Stata module to compute Dickey-Fuller/GLS unit root test
    Statistical Software Components, Boston College Department of Economics
73. HEGY4: Stata module to compute Hylleberg et al seasonal unit root test
    Statistical Software Components, Boston College Department of Economics
74. OUTSERIES: Stata module to write timeseries to text files
    Statistical Software Components, Boston College Department of Economics
75. TOSQL: Stata module to transfer data to SQL database
    Statistical Software Components, Boston College Department of Economics
76. XTTEST3: Stata module to compute Modified Wald statistic for groupwise heteroskedasticity
    Statistical Software Components, Boston College Department of Economics
77. aer.pl, a script converting XML data to ReDIF
    RePEc scripts, RePEc Team

2000

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

1999

83. ARCH: MATLAB function to compute ARCH test
    Statistical Software Components, Boston College Department of Economics
84. ARCHLM: Stata module to calculate LM test for ARCH effects
    Statistical Software Components, Boston College Department of Economics
85. ARIMAFIT: Stata module to calculate AIC, SIC for ARIMA model
    Statistical Software Components, Boston College Department of Economics
86. BPAGAN: Stata module to perform Breusch-Pagan test for heteroskedasticity
    Statistical Software Components, Boston College Department of Economics
87. CNSRSIG: Stata module to evaluate validity of restrictions on a regression
    Statistical Software Components, Boston College Department of Economics
88. QSTAT2: MATLAB function to compute Ljung-Box Q statistic
    Statistical Software Components, Boston College Department of Economics
89. rjeyr.pl, a script converting html data to ReDIF
    RePEc scripts, RePEc Team

1998

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

1997

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

1996

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

Editor

1. Australasian Stata Users' Group Meetings 2004
   Stata Users Group
2. Boston College Working Papers in Economics
   Boston College Department of Economics
3. Computational Economics Software Archive
   Kluwer Academic Publishers
4. Computing in Economics and Finance 1996
   Society for Computational Economics
5. Computing in Economics and Finance 1997
   Society for Computational Economics
6. Computing in Economics and Finance 1999
   Society for Computational Economics
7. Computing in Economics and Finance 2000
   Society for Computational Economics
8. Computing in Economics and Finance 2001
   Society for Computational Economics
9. Computing in Economics and Finance 2002
   Society for Computational Economics
10. Computing in Economics and Finance 2003
    Society for Computational Economics
11. Computing in Economics and Finance 2004
    Society for Computational Economics
12. Computing in Economics and Finance 2005
    Society for Computational Economics
13. Computing in Economics and Finance 2006
    Society for Computational Economics
14. Dutch-German Stata Users' Group Meetings 2002
    Stata Users Group
15. German Stata Users' Group Meetings 2004
    Stata Users Group
16. German Stata Users' Group Meetings 2005
    Stata Users Group
17. German Stata Users' Group Meetings 2006
    Stata Users Group
18. German Stata Users' Group Meetings 2007
    Stata Users Group
19. German Stata Users' Group Meetings 2008
    Stata Users Group
20. Instructional Stata datasets for econometrics
    Boston College Department of Economics
21. Nordic and Baltic Stata Users' Group Meetings 2007
    Stata Users Group
22. North American Stata Users' Group Meetings 2001
    Stata Users Group
23. North American Stata Users' Group Meetings 2003
    Stata Users Group
24. North American Stata Users' Group Meetings 2004
    Stata Users Group
25. North American Stata Users' Group Meetings 2005
    Stata Users Group
26. North American Stata Users' Group Meetings 2006
    Stata Users Group
27. North American Stata Users' Group Meetings 2007
    Stata Users Group
28. Statistical Software Components
    Boston College Department of Economics
29. Summer North American Stata Users' Group Meetings 2008
    Stata Users Group
30. United Kingdom Stata Users' Group Meetings 2001
    Stata Users Group
31. United Kingdom Stata Users' Group Meetings 2002
    Stata Users Group
32. United Kingdom Stata Users' Group Meetings 2003
    Stata Users Group
33. United Kingdom Stata Users' Group Meetings 2004
    Stata Users Group
34. United Kingdom Stata Users' Group Meetings 2005
    Stata Users Group
35. United Kingdom Stata Users' Group Meetings 2006
    Stata Users Group
36. United Kingdom Stata Users' Group Meetings 2007
    Stata Users Group
37. West Coast Stata Users' Group Meetings 2007
    Stata Users Group