Economics Papers

from Economics Group, Nuffield College, University of Oxford
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1305: Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality

María Dolores Martínez Miranda, Bent Nielsen and Jens Perch Nielsen

1304: Unpredictability in Economic Analysis, Econometric Modeling and Forecasting

David F. Hendry and Grayham E. Mizon

1303: Generalised empirical likelihood-based kernel density estimation

Vitaliy Oryshchenko and Richard J. Smith

1302: Asymptotic analysis of the Forward Search

Bent Nielsen and Soren Johansen

1301: Martingale unobserved component models

Neil Shephard

1213: Estimation of Discrete Choice Models with Many Alternatives Using Random Subsets of the Full Choice Set: With an Application to Demand for Frozen Pizza

Nada Wasi and Michael P Keane

1212: Reconciling Micro and Macro Labor Supply Elasticities: A Structural Perspective

Michael P Keane and Richard Rogerson

1211: Discrimination in a universal health system: Explaining socioeconomic waiting time gaps

Meliyanni Johar, Glenn Jones, Michael P Keane, Elizabeth Savage and Olena Stavrunova

1210: Adverse Selection, Moral Hazard and the Demand for Medigap Insurance

Michael P Keane and Olena Stavrunova

1209: How the Allocation of Children’s Time Affects Cognitive and Non-Cognitive Development

Michael P Keane

1208: Income Taxation in a Life Cycle Model with Human Capital

Michael P Keane

1207: A Joint Chow Test for Structural Instability

Bent Nielsen and Andrew Whitby

1206: Basics of Levy processes

Ole E. Barndorff-Nielsen and Neil Shephard

1205: Robust inference on parameters via particle filters and sandwich covariance matrices

Arnaud Doucet and Neil Shephard

1204: Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices

Neil Shephard and Dacheng Xiu

1203: Regulated Prices, Rent-Seeking, and Consumer Surplus

Jeremy Bulow and Paul Klemperer

1202: Efficient and feasible inference for the components of financial variation using blocked multipower variation

Per A. Mykland, Neil Shephard and Kevin Keith Sheppard

1201: Multivariate Rotated ARCH Models

Diaa Noureldin, Neil Shephard and Kevin Keith Sheppard

1101: Multivariate High-Frequency-Based Volatility (HEAVY) Models

Diaa Noureldin, Neil Shephard and Kevin Keith Sheppard

1006: Testing for rational bubbles in a co-explosive vector autoregression

Tom Engsted and Bent Nielsen

1005: Forecasting in an extended chain-ladder-type model

Di Kuang, Bent Nielsen and Jens Perch Nielsen

1004: Discrete-valued Levy processes and low latency financial econometrics

Ole E. Barndorff-Nielsen, David G. Pollard and Neil Shephard

1003: Deferred fees for universities

Neil Shephard

1002: Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

Soren Johansen and Bent Nielsen

1001: Submission to the review on “Higher Education Funding and Student Finance”

Neil Shephard

0916: Monetary Policy in a Currency Union with Heterogeneous Limited Asset Markets Participation

Fabian Eser

0915: A Nonparametric Analysis of the Cournot Model

Andrés Carvajal and John K.-H. Quah

0914: Optimal Fiscal Stabilisation through Government Spending

Fabian Eser

0913: Income contingent tuition fees for universities

Neil Shephard

0912: Nuisance parameters, composite likelihoods and a panel of GARCH models

Cavit Pakel, Neil Shephard and Kevin Keith Sheppard

0911: A New Payment Rule for Core-Selecting Package Auctions

Aytek Erdil and Paul Klemperer

0910: Test for cointegration rank in general vector autoregressions

Bent Nielsen

0909: Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends

Jouni Sohkanen and Bent Nielsen

0908: Chain-Ladder as Maximum Likelihood Revisited

D. Kuang, B. Nielsen and J. P. Nielsen

0907: Price Controls and Consumer Surplus

Jeremy Bulow and Paul Klemperer

0906: A New Auction for Substitutes: Central-Bank Liquidity Auctions, “Toxic Asset” Auctions, and Variable Product-Mix Auctions

Paul Klemperer

0905: Why Do Sellers (Usually) Prefer Auctions?

Jeremy Bulow and Paul Klemperer

0904: Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading

Nathaniel Frank

0903: Realising the future: forecasting with high frequency based volatility (HEAVY) models

Neil Shephard and Kevin Keith Sheppard

0902: The role of income in money demand during hyper-inflation: the case of Yugoslavia

Zorica Mladenovic and Bent Nielsen

0901: What is the Top Priority on Climate Change?

Paul Klemperer

0812: Emissions Trading with Profit-Neutral Permit Allocations

Cameron J. Hepburn, John K.-H. Quah and Robert A. Ritz

0810: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard

0809: Forecasting with the age-period-cohort model and the extended chain-ladder model

D. Kuang, Bent Nielsen and J. P. Nielsen

0808: Learning while voting: determinants of collective experimentation

Bruno H. Strulovici

0807: Properties of etimated characteristic roots

Bent Nielsen and Heino Bohn Nielsen

0806: Unit Root Testing with Unstable Volatility

Brendan K. Beare

0805: The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve

Clive Graham Bowsher and Roland Meeks

0804: Stochastic Volatility: Origins and Overview

Neil Shephard and Torben G. Andersen

0803: An analysis of the indicator saturation estimator as a robust regression estimator

Soren Johansen and Bent Nielsen