EconPapers    
Economics at your fingertips  
 

Details about Roberto S. Mariano

E-mail:
Workplace:Department of Economics, University of Pennsylvania, (more information at EDIRC)
School of Economics, Singapore Management University, (more information at EDIRC)

Access statistics for papers by Roberto S. Mariano.

Last updated 2014-10-29. Update your information in the RePEc Author Service.

Short-id: pma174


Jump to Journal Articles Edited books Chapters

Working Papers

2009

  1. Misaligned Incentives and Mortgage Lending in Asia
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Microeconomics Working Papers, East Asian Bureau of Economic Research (2009) Downloads View citations (1)
    Working Paper, USC Lusk Center for Real Estate (2007) Downloads

    See also Chapter (2009)

2007

  1. Financial Liberalization and Monetary Policy Cooperation in East Asia
    Working Papers, Singapore Management University, School of Economics Downloads
  2. Financial Liberalization and Monetary Policy Cooperation in East Asia1
    Finance Working Papers, East Asian Bureau of Economic Research Downloads
  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.) Downloads View citations (9)
    See also Journal Article in Emerging Markets Review (2008)

2006

  1. Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (1)
    Also in Finance Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (1)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2006) Downloads View citations (4)
  2. External Debt, Adjustment, and Growth
    Working Papers, Singapore Management University, School of Economics Downloads View citations (2)
    See also Chapter (2007)
  3. Underpriced Default Spread Exacerbates Market Crashes
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (4)
    Also in Working Papers, Singapore Management University, School of Economics (2006) Downloads View citations (2)

2005

  1. 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 Downloads
  2. Sustainable External Debt Levels: Estimates for Selected Asian Countries
    Macroeconomics Working Papers, East Asian Bureau of Economic Research Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2005) Downloads View citations (1)

2004

  1. Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (2)
    Also in Working Papers, Singapore Management University, School of Economics (2004) Downloads View citations (1)

2003

  1. 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 Downloads View citations (7)

1997

  1. 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 Downloads View citations (4)

1994

  1. Comparing Predictive Accuracy
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
    See also Journal Article in Journal of Business & Economic Statistics (2002)

1991

  1. Comparing predictive accuracy I: an asymptotic test
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads View citations (4)

1990

  1. The PIDS-NEDA Annual Macroeconometric Model, Version 1989: A Summary
    Working Papers, Philippine Institute for Development Studies Downloads View citations (1)

1985

  1. 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

1979

  1. Large Sample Asymptotic Expansions for General Linear Simultaneous Systems Under Misspecification
    UP School of Economics Discussion Papers, University of the Philippines School of Economics
  2. On the Effect of Multicollinearity Upon the Properties of Structural Coefficient Estimators
    UP School of Economics Discussion Papers, University of the Philippines School of Economics

1971

  1. A Macro-Economic Model of the Philippines, 1950-1969
    UP School of Economics Discussion Papers, University of the Philippines School of Economics

1970

  1. Approximations to the Distribution Fuinctions of Theil's K- Class Estimators in the Case of Two Included Endogenous Variables
    UP School of Economics Discussion Papers, University of the Philippines School of Economics
  2. Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Squares Least Squares Estimators in the Case of Two Included Endogenous Variables
    UP School of Economics Discussion Papers, University of the Philippines School of Economics
  3. Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
    UP School of Economics Discussion Papers, University of the Philippines School of Economics
  4. On the Existence of Moments of the Ordianary Least Squares and Two-Stage Least Squares Estimators
    UP School of Economics Discussion Papers, University of the Philippines School of Economics

Journal Articles

2012

  1. Statistical tests for multiple forecast comparison
    Journal of Econometrics, 2012, 169, (1), 123-130 Downloads View citations (12)

2010

  1. A Coincident Index, Common Factors, and Monthly Real GDP
    Oxford Bulletin of Economics and Statistics, 2010, 72, (1), 27-46 Downloads View citations (35)
  2. MONETARY POLICY COOPERATION TO SUPPORT ASIAN ECONOMIC INTEGRATION
    The Singapore Economic Review (SER), 2010, 55, (01), 83-101 Downloads View citations (3)

2009

  1. The NEDA quarterly macroeconomic model: theoretical structure and some empirical results
    Philippine Review of Economics, 2009, 46, (2), 240-260 Downloads

2008

  1. Markov switching GARCH models of currency turmoil in Southeast Asia
    Emerging Markets Review, 2008, 9, (2), 104-128 Downloads View citations (7)
    See also Working Paper (2007)

2007

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

2005

  1. Bank lending and real estate in Asia: market optimism and asset bubbles
    Journal of Asian Economics, 2005, 15, (6), 1103-1118 Downloads View citations (17)

2004

  1. Prediction of Currency Crises: Case of Turkey
    Review of Middle East Economics and Finance, 2004, 2, (2), 1-21 Downloads View citations (12)

2003

  1. A new coincident index of business cycles based on monthly and quarterly series
    Journal of Applied Econometrics, 2003, 18, (4), 427-443 Downloads View citations (229)
  2. The Bangko Sentral’s structural long-term inflation forecasting model for the Philippines
    Philippine Review of Economics, 2003, 40, (1), 58-72 Downloads

2002

  1. Comparing Predictive Accuracy
    Journal of Business & Economic Statistics, 2002, 20, (1), 134-44 View citations (54)
    Also in Journal of Business & Economic Statistics, 1995, 13, (3), 253-63 (1995) View citations (2560)

    See also Working Paper (1994)

1998

  1. Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
    Journal of Econometrics, 1998, 83, (1-2), 263-290 Downloads View citations (8)

1997

  1. Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea
    Asia-Pacific Financial Markets, 1997, 4, (2), 147-169 Downloads View citations (1)

1994

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

1993

  1. 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 Downloads

1989

  1. Measures of Deterministic Prediction Bias in Nonlinear Models
    International Economic Review, 1989, 30, (3), 667-84 Downloads View citations (12)
  2. Predictors in Dynamic Nonlinear Models: Large-Sample Behavior
    Econometric Theory, 1989, 5, (03), 430-452 Downloads View citations (19)

1985

  1. New tests of the life cycle and tax discounting hypotheses
    Journal of Monetary Economics, 1985, 15, (2), 195-215 Downloads View citations (32)

1984

  1. Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System
    Econometrica, 1984, 52, (2), 321-43 Downloads View citations (21)

1983

  1. Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System
    International Economic Review, 1983, 24, (3), 523-36 Downloads View citations (15)

1982

  1. Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
    International Economic Review, 1982, 23, (3), 503-33 Downloads View citations (29)

1977

  1. Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients
    Econometrica, 1977, 45, (2), 487-96 Downloads View citations (5)

1975

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

1973

  1. Approximations to the Distribution Functions of Theil's K-Class Estimators
    Econometrica, 1973, 41, (4), 715-21 Downloads View citations (1)
  2. 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 Downloads View citations (4)

1972

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

Edited books

2008

  1. Simulation-based Inference in Econometrics
    Cambridge Books, Cambridge University Press

2000

  1. Simulation-based Inference in Econometrics
    Cambridge Books, Cambridge University Press

Chapters

2011

  1. Comment on "Commodity Prices, Commodity Currencies, and Global Economic Developments"
    A chapter in Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, 2011, pp 44-46 Downloads
  2. Comment on "The Consumption Terms of Trade and Commodity Prices"
    A chapter in Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, 2011, pp 145-146 Downloads

2010

  1. Comment on "Demographic Transition, Childless Families and Economic Growth"
    A chapter in The Economic Consequences of Demographic Change in East Asia, NBER-EASE Volume 19, 2010, pp 374-375 Downloads
  2. Comment on "Population Aging and Economic Growth in Asia"
    A chapter in The Economic Consequences of Demographic Change in East Asia, NBER-EASE Volume 19, 2010, pp 89-90 Downloads

2009

  1. Misaligned Incentives and Mortgage Lending in Asia
    A chapter in Financial Sector Development in the Pacific Rim, East Asia Seminar on Economics, Volume 18, 2009, pp 95-111 Downloads View citations (1)
    See also Working Paper (2009)

2007

  1. External Debt, Adjustment, and Growth
    A chapter in Fiscal Policy and Management in East Asia, NBER-EASE, Volume 16, 2007, pp 199-221 Downloads
    See also Working Paper (2006)

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 Downloads
 
Page updated 2017-03-29