Details about Roberto S. Mariano

Access statistics for papers by Roberto S. Mariano.

Last updated 2009-11-09. Update your information in the RePEc Author Service.

Short-id: pma174

Working Papers

2008

1. Misaligned Incentives and Mortgage Lending in Asia
   Working Papers, Singapore Management University, School of Economics

2007

2. Financial Liberalization and Monetary Policy Cooperation in East Asia
   Working Papers, Singapore Management University, School of Economics
3. Markov switching GARCH models of currency turmoil in southeast Asia
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
   See also Journal Article in Emerging Markets Review (2008)

2006

4. Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
5. External Debt, Adjustment, and Growth
   Working Papers, Singapore Management University, School of Economics
6. Underpriced Default Spread Exacerbates Market Crashes
   Working Papers, Singapore Management University, School of Economics View citations

2005

7. Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
   Working Papers, Singapore Management University, School of Economics
8. Sustainable External Debt Levels: Estimates for Selected Asian Countries
   Working Papers, Singapore Management University, School of Economics

2004

9. Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model
   Econometric Society 2004 Far Eastern Meetings, Econometric Society
   Also in Working Papers, Singapore Management University, School of Economics (2004)

2003

10. Markov Switching Garch Models of Currency Crises in Southeast Asia
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations

1997

11. Testing under non-standard conditions in frequency domain: with applications to Markov regime-switching models of exchange rates and federal funds rate
    Staff Reports, Federal Reserve Bank of New York View citations

1994

12. Comparing Predictive Accuracy
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Business & Economic Statistics (2002)

1991

13. Comparing predictive accuracy I: an asymptotic test
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations

1990

14. The PIDS-NEDA Annual Macroeconometric Model, Version 1989: A Summary
    Working Papers, Philippine Institute for Development Studies

1985

15. Finite-Sample Properties in Stochastic Predictors in Nonlinear Systems: Some Initial Results
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics

Journal Articles

2008

1. Markov switching GARCH models of currency turmoil in Southeast Asia
   Emerging Markets Review, 2008, 9, (2), 104-128
   See also Working Paper (2007)

2007

2. Open vs. sealed-bid auctions: testing for revenue equivalence under Singapore's vehicle quota system
   Applied Economics, 2007, 39, (1), 125-134 View citations

2005

3. Bank lending and real estate in Asia: market optimism and asset bubbles
   Journal of Asian Economics, 2005, 15, (6), 1103-1118

2003

4. A new coincident index of business cycles based on monthly and quarterly series
   Journal of Applied Econometrics, 2003, 18, (4), 427-443 View citations

2002

5. Comparing Predictive Accuracy
   Journal of Business & Economic Statistics, 2002, 20, (1), 134-44 View citations
   Also in Journal of Business & Economic Statistics, 1995, 13, (3), 253-63 (1995) View citations
   See also Working Paper (1994)

1998

6. Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
   Journal of Econometrics, 1998, 83, (1-2), 263-290 View citations

1997

7. Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea
   Asia-Pacific Financial Markets, 1997, 4, (2), 147-169

1994

8. Prediction, Filtering and Smoothing in Non-linear and Non-normal Cases Using Monte Carlo Integration
   Journal of Applied Econometrics, 1994, 9, (2), 163-79 View citations

1993

9. Complementarity and Conflict among Population and other Policies: Specifying an Economic-Demographic Model for a Developing Country
   The Pakistan Development Review, 1993, 32, (4), 523-540

1989

10. Measures of Deterministic Prediction Bias in Nonlinear Models
    International Economic Review, 1989, 30, (3), 667-84 View citations

1985

11. New tests of the life cycle and tax discounting hypotheses
    Journal of Monetary Economics, 1985, 15, (2), 195-215 View citations

1984

12. Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System
    Econometrica, 1984, 52, (2), 321-43 View citations

1983

13. Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System
    International Economic Review, 1983, 24, (3), 523-36 View citations
14. Comment
    Econometric Reviews, 1983, 2, (1), 71-74

1982

15. Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
    International Economic Review, 1982, 23, (3), 503-33 View citations

1977

16. Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients
    Econometrica, 1977, 45, (2), 487-96 View citations

1975

17. Some large-concentration-parameter asymptotics for the k-class estimators
    Journal of Econometrics, 1975, 3, (2), 171-177

1973

18. Approximations to the Distribution Functions of Theil's K-Class Estimators
    Econometrica, 1973, 41, (4), 715-21
19. Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables
    Econometrica, 1973, 41, (1), 67-77 View citations

1972

20. The Existence of Moments of the Ordinary Least Squares and Two-Stage Least Squares Estimators
    Econometrica, 1972, 40, (4), 643-52

Chapters

2006

1. Monetary policy approaches and implementation in Asia: the Philippines and Indonesia
   A chapter in Monetary policy in Asia: approaches and implementation, 2006, vol. 31, pp 207-226