Details about Christopher Baum
Access statistics for papers by Christopher Baum.
Last updated 2025-01-06. Update your information in the RePEc Author Service.
Short-id: pba1
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Working Papers
2024
- Drivers of COVID-19 in U.S. counties: A wave-level analysis
Boston College Working Papers in Economics, Boston College Department of Economics
- Estimating the Wage Premia of Refugee Immigrants: Lessons from Sweden
Working Papers in Economics and Statistics, Linnaeus University, School of Business and Economics, Department of Economics and Statistics 
Also in Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies (2024)  Boston College Working Papers in Economics, Boston College Department of Economics (2024)  GLO Discussion Paper Series, Global Labor Organization (GLO) (2024) 
See also Journal Article Estimating the Wage Premia of Refugee Immigrants: Lessons from Sweden, ILR Review, Cornell University, ILR School (2024) (2024)
- Estimating the wage premia of refugee immigrants
UK Stata Conference 2024, Stata Users Group 
Also in MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT) (2024)
- Estimating the wage premia of refugee immigrants with coarsened exact matching and recentered influence function quantile regressions
2024 Stata Conference, Stata Users Group
- The contribution of foreign-born STEM workers to the knowledge-intensive economy: Evidence from Sweden
Boston College Working Papers in Economics, Boston College Department of Economics
2023
- Drivers of COVID-19 deaths in the United States: A two-stage modeling approach
UK Stata Conference 2023, Stata Users Group 
Also in 2022 Stata Conference, Stata Users Group (2022)  Northern European Stata Conference 2023, Stata Users Group  German Stata Conference 2023, Stata Users Group (2023)  Swiss Stata Conference 2022, Stata Users Group (2022)
2022
- Firms in (Green) Public Procurement: Financial strength indicators’ impact on contract awards and its repercussion on financial strength
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 (2021) View citations (3)
See also Journal Article Firms in Green Public Procurement: Financial Strength Indicators’ Impact on Contract Awards and Its Repercussion on Financial Strength, Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research (2021) View citations (3) (2021)
- Impact of proximity to gas production activity on birth outcomes across the US
London Stata Conference 2022, Stata Users Group
- Productivity of refugee workers and implications for innovation and growth
Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies
2021
- Drivers of COVID-19 Outcomes: Evidence from a Heterogeneous SAR Panel Data Model
London Stata Conference 2021, Stata Users Group 
Also in 2021 Stata Conference, Stata Users Group (2021)
- Innovation by start-up firms: The influence of the board of directors for knowledge spillovers
Boston College Working Papers in Economics, Boston College Department of Economics
- Testing for time-varying Granger causality
Economics Virtual Symposium 2021, Stata Users Group 
See also Journal Article Testing for time-varying Granger causality, Stata Journal, StataCorp LLC (2022) View citations (11) (2022)
- The Stata module for CUB models for rating data analysis
London Stata Conference 2021, Stata Users Group
- The impact of offshoring on productivity and innovation: Evidence from Swedish manufacturing firms
Boston College Working Papers in Economics, Boston College Department of Economics
2020
- Innovation by start-up firms: The influence of the board of directors
Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies
- Institutional Diversity in Domestic Banking Sectors and Bank Stability: A Cross-Country Study
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2020) View citations (3)
- Occupational Sorting and Wage Gaps of Refugees
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in Portugal Stata Conference 2020, Stata Users Group (2020)  GLO Discussion Paper Series, Global Labor Organization (GLO) (2020)  MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT) (2020)  GLO Discussion Paper Series, Global Labor Organization (GLO) (2020)
- Socioeconomic Factors influencing the Spatial Spread of COVID-19 in the United States
Boston College Working Papers in Economics, Boston College Department of Economics View citations (3)
Also in London Stata Conference 2020, Stata Users Group (2020) View citations (4)
- State-level gun policy changes and rate of workplace homicide in the United States
Nordic and Baltic Stata Users' Group Meeting 2019, Stata Users Group 
Also in London Stata Conference 2019, Stata Users Group (2019)
- The impact of offshoring on innovation and productivity: Evidence from Swedish manufacturing firms
Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies View citations (1)
- Unit root tests for explosive behaviour
London Stata Conference 2020, Stata Users Group View citations (4)
See also Journal Article Unit-root tests for explosive behavior, Stata Journal, StataCorp LLC (2021) View citations (3) (2021)
2019
- Advice on using heteroscedasticity based identification
Boston College Working Papers in Economics, Boston College Department of Economics View citations (72)
See also Journal Article Advice on using heteroskedasticity-based identification, Stata Journal, StataCorp LLC (2019) View citations (76) (2019)
- Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data
Boston College Working Papers in Economics, Boston College Department of Economics View citations (3)
See also Journal Article Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data, Energy Economics, Elsevier (2021) View citations (3) (2021)
2018
- Directed Technical Change in Clean Energy: Evidence from the Solar Industry
Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies
- Economic impact of STEM immigrant workers
Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies 
Also in GLO Discussion Paper Series, Global Labor Organization (GLO) (2018)
- INNOVATION STRATEGIES, EXTERNAL KNOWLEDGE AND PRODUCTIVITY GROWTH
Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies View citations (2)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2017) View citations (1)
See also Journal Article Innovation strategies, external knowledge and productivity growth, Industry and Innovation, Taylor & Francis Journals (2019) View citations (3) (2019)
- Implementing the Leybourne-Taylor test for seasonal unit roots in Stata
London Stata Conference 2018, Stata Users Group
- Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications
Boston College Working Papers in Economics, Boston College Department of Economics View citations (5)
See also Journal Article Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications, Energy Economics, Elsevier (2019) View citations (11) (2019)
- Migrant STEM Entrepreneurs
Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies 
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2018)
- Offshoring and Innovation Capabilities: Evidence from Swedish Manufacturing
Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies
- Outside Board Directors and Start-Up Firms’ Innovation
Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies
- Refugee immigrants, occupational sorting and wage gaps
Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies
- The Economic Determinants of Crime: an Approach through Responsiveness Scores
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
- The Impact of Uncertainty on Financial Institutions
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
2017
- Capital Flows and Financial Stability in Emerging Economies
Boston College Working Papers in Economics, Boston College Department of Economics View citations (7)
Also in ADB Economics Working Paper Series, Asian Development Bank (2017) View citations (7)
- Refugees in Sweden: Economic integration and wage convergence
EcoMod2017, EcoMod
- Response surface models for the Elliott, Rothenberg, Stock DF-GLS unit root test
2017 Stata Conference, Stata Users Group View citations (11)
Also in United Kingdom Stata Users' Group Meetings 2017, Stata Users Group (2017) View citations (13)
2016
- Analyzing volatility shocks to Eurozone CDS spreads with a multicountry GMM model in Stata
United Kingdom Stata Users' Group Meetings 2016, Stata Users Group
- Capital Structure Adjustments: Do Macroeconomic and Business Risks Matter?
Boston College Working Papers in Economics, Boston College Department of Economics View citations (7)
See also Journal Article Capital structure adjustments: Do macroeconomic and business risks matter?, Empirical Economics, Springer (2017) View citations (17) (2017)
- Corporate Board Turnover and Securities Fraud Litigation: Some new evidence from case outcomes
Boston College Working Papers in Economics, Boston College Department of Economics View citations (7)
- Corporate Financial Policy and the Value of Cash under Uncertainty
Boston College Working Papers in Economics, Boston College Department of Economics View citations (3)
See also Journal Article Corporate financial policy and the value of cash under uncertainty, International Journal of Managerial Finance, Emerald Group Publishing Limited (2017) View citations (3) (2017)
- Estimating a dose-response function with heterogeneous response to confounders when treatment is continuous and endogenous
EcoMod2016, EcoMod View citations (1)
- Modeling Rating Transition Matrices for Wholesale Loan Portfolios
2016 Stata Conference, Stata Users Group
- The Self-Medication Hypothesis: Evidence from Terrorism and Cigarette Accessibility
Boston College Working Papers in Economics, Boston College Department of Economics View citations (15)
See also Journal Article The self-medication hypothesis: Evidence from terrorism and cigarette accessibility, Economics & Human Biology, Elsevier (2016) View citations (15) (2016)
2015
- 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 View citations (4)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2015) View citations (5) EcoMod2015, EcoMod (2015) View citations (6)
See also Journal Article A new approach to estimation of the R&D–innovation–productivity relationship, Economics of Innovation and New Technology, Taylor & Francis Journals (2017) View citations (18) (2017)
- A large-scale application of Stata's forecast suite: challenges and potential
United Kingdom Stata Users' Group Meetings 2015, Stata Users Group
- Innovation, Spillovers and Productivity Growth: A Dynamic Panel Data Approach
EcoMod2015, EcoMod
- Openness and financial stability
EcoMod2015, EcoMod View citations (2)
- What do Chinese Macro Announcements Tell Us About the World Economy?
Boston College Working Papers in Economics, Boston College Department of Economics View citations (25)
See also Journal Article What do Chinese macro announcements tell us about the world economy?, Journal of International Money and Finance, Elsevier (2015) View citations (24) (2015)
2014
- Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
Boston College Working Papers in Economics, Boston College Department of Economics View citations (6)
Also in NBP Working Papers, Narodowy Bank Polski (2014) View citations (6) EcoMod2014, EcoMod (2014) View citations (3)
See also Journal Article Credit rating agency downgrades and the Eurozone sovereign debt crises, Journal of Financial Stability, Elsevier (2016) View citations (30) (2016)
- Extending Stata's capabilities for asymptotic covariance matrix estimation
United Kingdom Stata Users' Group Meetings 2014, Stata Users Group
- 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 View citations (6)
See also Journal Article Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility, Energy Economics, Elsevier (2016) View citations (27) (2016)
2013
- A general approach to testing for autocorrelation
United Kingdom Stata Users' Group Meetings 2013, Stata Users Group View citations (6)
Also in 2013 Stata Conference, Stata Users Group (2013) View citations (6)
- Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises
Ratio Working Papers, The Ratio Institute View citations (7)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (7)
- Implementing new econometric tools in Stata
Mexican Stata Users' Group Meetings 2013, Stata Users Group View citations (7)
- Instrumental variables estimation using heteroskedasticity-based instruments
German Stata Users' Group Meetings 2013, Stata Users Group View citations (21)
Also in United Kingdom Stata Users' Group Meetings 2012, Stata Users Group (2012) View citations (71)
- Relaxing the Financial Constraint: The Impact of Banking Sector Reform on Firm Performance - Emerging Market Evidence from Turkey
EcoMod2013, EcoMod
2012
- A simple alternative to the linear probability model for binary choice models with endogenous regressors
German Stata Users' Group Meetings 2012, Stata Users Group View citations (3)
- Binary choice models with endogenous regressors
SAN12 Stata Conference, Stata Users Group View citations (132)
- R&D Expenditures and Geographical Sales Diversification
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
See also Journal Article R&D Expenditures and Geographical Sales Diversification, Manchester School, University of Manchester (2016) View citations (11) (2016)
- The Effects of Future Capital Investment and R&D Expenditures on Firms' Liquidity
Boston College Working Papers in Economics, Boston College Department of Economics View citations (5)
See also Journal Article The Effects of Future Capital Investment and R&D Expenditures on Firms' Liquidity, Review of International Economics, Wiley Blackwell (2013) View citations (7) (2013)
2011
- An interpretation and implementation of the Theil-Goldberger 'mixed' estimator
CHI11 Stata Conference, Stata Users Group
- Evaluating one-way and two-way cluster–robust covariance matrix estimates
German Stata Users' Group Meetings 2011, Stata Users Group View citations (5)
Also in United Kingdom Stata Users' Group Meetings 2010, Stata Users Group (2010) View citations (7) BOS10 Stata Conference, Stata Users Group (2010) View citations (6)
- 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 View citations (41)
See also Journal Article The contextual effects of social capital on health: A cross-national instrumental variable analysis, Social Science & Medicine, Elsevier (2011) View citations (32) (2011)
2010
- 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.
- Does the Tenure of Private Equity Investment Improve the Performance of European Firms?
Working Paper / FINESS, DIW Berlin, German Institute for Economic Research View citations (1)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2010) View citations (1) Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) View citations (1)
- Macroeconomic Uncertainty and Credit Default Swap Spreads
Boston College Working Papers in Economics, Boston College Department of Economics View citations (26)
See also Journal Article Macroeconomic uncertainty and credit default swap spreads, Applied Financial Economics, Taylor & Francis Journals (2010) View citations (26) (2010)
- Parliamentary Election Cycles and the Turkish Banking Sector
University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. View citations (48)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2010) View citations (49)
See also Journal Article Parliamentary election cycles and the Turkish banking sector, Journal of Banking & Finance, Elsevier (2010) View citations (42) (2010)
- 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. View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (3)
- The Impact of the Financial System's Structure on Firms' Financial Constraints
Boston College Working Papers in Economics, Boston College Department of Economics View citations (10)
See also Journal Article The impact of the financial system's structure on firms' financial constraints, Journal of International Money and Finance, Elsevier (2011) View citations (25) (2011)
- Using Stata for Applied Research: Reviewing its Capabilities
Boston College Working Papers in Economics, Boston College Department of Economics 
See also Journal Article USING STATA FOR APPLIED RESEARCH: REVIEWING ITS CAPABILITIES, Journal of Economic Surveys, Wiley Blackwell (2011) View citations (6) (2011)
2009
- Implementing econometric estimators with Mata
DC09 Stata Conference, Stata Users Group 
Also in United Kingdom Stata Users' Group Meetings 2009, Stata Users Group (2009)
- The Effects of Uncertainty and Corporate Governance on Firms' Demand for Liquidity
Boston College Working Papers in Economics, Boston College Department of Economics 
See also Journal Article The effects of uncertainty and corporate governance on firms’ demand for liquidity, Applied Economics, Taylor & Francis Journals (2012) View citations (4) (2012)
- Using Mata to work more effectively with Stata: A tutorial
German Stata Users' Group Meetings 2009, Stata Users Group 
Also in United Kingdom Stata Users' Group Meetings 2008, Stata Users Group (2008) View citations (1) Fall North American Stata Users' Group Meetings 2008, Stata Users Group (2008) View citations (1)
2008
- On the Investment Sensitivity of Debt under Uncertainty
Boston College Working Papers in Economics, Boston College Department of Economics 
See also Journal Article On the investment sensitivity of debt under uncertainty, Economics Letters, Elsevier (2010) View citations (27) (2010)
- On the Sensitivity of Firms' Investment to Cash Flow and Uncertainty
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
See also Journal Article On the sensitivity of firms' investment to cash flow and uncertainty, Oxford Economic Papers, Oxford University Press (2010) View citations (49) (2010)
- 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 View citations (3)
See also Journal Article On the sensitivity of the volume and volatility of bilateral trade flows to exchange rate uncertainty, Journal of International Money and Finance, Elsevier (2010) View citations (51) (2010)
- Political patronage in Ukranian banking
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
See also Journal Article Political patronage in Ukrainian banking1, The Economics of Transition, The European Bank for Reconstruction and Development (2008) View citations (17) (2008)
- The Impact of Macroeconomic Uncertainty on Firms' Changes in Financial Leverage
Boston College Working Papers in Economics, Boston College Department of Economics 
See also Journal Article The impact of macroeconomic uncertainty on firms' changes in financial leverage, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2010) View citations (13) (2010)
- The Volatility of International Trade Flows and Exchange Rate Uncertainty
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
- 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 (3)
See also Journal Article THE ROLE OF UNCERTAINTY IN THE TRANSMISSION OF MONETARY POLICY EFFECTS ON BANK LENDING, Manchester School, University of Manchester (2013) View citations (18) (2013)
- 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 View citations (11)
See also Journal Article The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds, Economics Letters, Elsevier (2009) View citations (49) (2009)
- Using instrumental variables techniques in economics and finance
German Stata Users' Group Meetings 2008, Stata Users Group View citations (10)
2007
- 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 View citations (3)
- Enhanced routines for instrumental variables/GMM estimation and testing
CERT Discussion Papers, Centre for Economic Reform and Transformation, Heriot Watt University View citations (393)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2007) View citations (373)
- Instrumental variables: Overview and advances
United Kingdom Stata Users' Group Meetings 2007, Stata Users Group View citations (7)
- Powerful new tools for time series analysis
North American Stata Users' Group Meetings 2007, Stata Users Group
- Should you become a Stata programmer?
German Stata Users' Group Meetings 2007, Stata Users Group
- 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 View citations (17)
- 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 View citations (13)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2006) View citations (13)
- The Effects of Uncertainty on the Leverage of Non-Financial Firms
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
See also Journal Article THE EFFECTS OF UNCERTAINTY ON THE LEVERAGE OF NONFINANCIAL FIRMS, Economic Inquiry, Western Economic Association International (2009) View citations (47) (2009)
- Uncertainty Determinants of Firm Investment
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
See also Journal Article Uncertainty determinants of firm investment, Economics Letters, Elsevier (2008) View citations (44) (2008)
2006
- Firm Investment and Financial Frictions
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (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 View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2006) View citations (3)
- Time series filtering techniques in Stata
United Kingdom Stata Users' Group Meetings 2006, Stata Users Group View citations (7)
Also in North American Stata Users' Group Meetings 2006, Stata Users Group (2006) View citations (7)
- Uncertainty Determinants of Corporate Liquidity
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
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, Business School - Economics, University of Glasgow (2006) View citations (8)
See also Journal Article Uncertainty determinants of corporate liquidity, Economic Modelling, Elsevier (2008) View citations (46) (2008)
2005
- 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)
- Macroeconomics Uncertainty and Firm Leverage
Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2004) View citations (5)
- 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 (26)
Also in Working Papers, Business School - Economics, University of Glasgow (2005) 
See also Journal Article The impact of macroeconomic uncertainty on non-financial firms' demand for liquidity, Review of Financial Economics, Elsevier (2006) View citations (57) (2006)
- The second moments matter: The response of bank lending behaviour to macroeconomic uncertainty
Working Papers, Business School - Economics, University of Glasgow View citations (14)
Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (19) Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) View citations (19)
- cron, perl and Stata: automated production and presentation of a business-daily index
North American Stata Users' Group Meetings 2005, Stata Users Group
2004
- Dynamics of Intra-EMS Interest Rate Linkages
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
Also in Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations (1)
See also Journal Article Dynamics of Intra-EMS Interest Rate Linkages, Journal of Money, Credit and Banking, Blackwell Publishing (2006) View citations (23) (2006)
- 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 (8)
- Rolling Regressions with Stata
North American Stata Users' Group Meetings 2004, Stata Users Group
- Stata: The language of choice for time series analysis?
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
See also Journal Article Stata: The language of choice for time-series analysis?, Stata Journal, StataCorp LLC (2005) View citations (31) (2005)
- 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 (13)
Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (9) Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) View citations (5) ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2004) View citations (4)
- Topics in time series regression modeling
United Kingdom Stata Users' Group Meetings 2004, Stata Users Group View citations (4)
2003
- A review of Stata 8.1 and its time series capabilities
Boston College Working Papers in Economics, Boston College Department of Economics View citations (6)
See also Journal Article A review of Stata 8.1 and its time series capabilities, International Journal of Forecasting, Elsevier (2004) View citations (62) (2004)
- Instrumental variables and GMM: Estimation and testing
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1069)
Also in North American Stata Users' Group Meetings 2003, Stata Users Group (2002) View citations (60) United Kingdom Stata Users' Group Meetings 2003, Stata Users Group (2002) View citations (124)
See also Journal Article Instrumental variables and GMM: Estimation and testing, Stata Journal, StataCorp LLC (2003) View citations (1073) (2003)
- Long-Memory Forecasting of U.S. Monetary Indices
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
See also Journal Article Long-memory forecasting of US monetary indices, Journal of Forecasting, John Wiley & Sons, Ltd. (2006) View citations (10) (2006)
- Nearest-Neighbor Forecasts of U.S. Interest Rates
Boston College Working Papers in Economics, Boston College Department of Economics View citations (9)
- Sectoral Fluctuations in U.K. Firms' Investment Expenditures
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
Also in Working Papers, University of Liverpool, Department of Economics (2002) 
See also Journal Article Sectoral fluctuations in U.K. firms' investment expenditures, Economics Bulletin, AccessEcon (2003) (2003)
- The Impact of Macroeconomic Uncertainty on Trade Credit for Non-Financial Firms
Boston College Working Papers in Economics, Boston College Department of Economics View citations (3)
2002
- Facilitating Applied Economic Research with Stata
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
- 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 (4)
See also Journal Article Nonlinear effects of exchange rate volatility on the volume of bilateral exports, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2004) View citations (84) (2004)
- The Impact of Macroeconomic Uncertainty on Bank Lending Behavior
Computing in Economics and Finance 2002, Society for Computational Economics View citations (21)
Also in Working Papers, University of Liverpool, Department of Economics (2002) View citations (22)
2001
- 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)
- Exchange Rate Effects on the Volume and Variability of Trade Flows
Boston College Working Papers in Economics, Boston College Department of Economics View citations (14)
Also in Working Papers, Koc University (1998)
See also Journal Article Exchange rate effects on the volume and variability of trade flows, Journal of International Money and Finance, Elsevier (2002) View citations (50) (2002)
- 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 (9)
Also in CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) View citations (9)
- 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 (2)
See also Journal Article Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums, Journal of Macroeconomics, Elsevier (2003) View citations (14) (2003)
2000
- A re-evaluation of empirical tests of the Fisher hypothesis
Computing in Economics and Finance 1999, Society for Computational Economics View citations (7)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2000) View citations (8)
- Exchange Rate Uncertainty and Firm Profitability
Boston College Working Papers in Economics, Boston College Department of Economics View citations (3)
See also Journal Article Exchange Rate Uncertainty and Firm Profitability, Journal of Macroeconomics, Elsevier (2001) View citations (34) (2001)
- Modeling fixed income excess returns
Boston College Working Papers in Economics, Boston College Department of Economics
- Persistent Dependence in Foreign Exchange Rates? A Reexamination
Boston College Working Papers in Economics, Boston College Department of Economics View citations (6)
- The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test
Boston College Working Papers in Economics, Boston College Department of Economics View citations (3)
1999
- 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 (42)
See also Journal Article Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era, Journal of International Money and Finance, Elsevier (2001) View citations (183) (2001)
- Waves and Persistence in Merger and Acquisition Activity
Boston College Working Papers in Economics, Boston College Department of Economics View citations (9)
See also Journal Article Waves and persistence in merger and acquisition activity, Economics Letters, Elsevier (2001) View citations (15) (2001)
1998
- Fractional Monetary Dynamics
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
See also Journal Article Fractional monetary dynamics, Applied Economics, Taylor & Francis Journals (1999) View citations (8) (1999)
- 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 (13)
See also Journal Article Long memory or structural breaks: can either explain nonstationary real exchange rates under the current float?, Journal of International Financial Markets, Institutions and Money, Elsevier (1999) View citations (54) (1999)
1997
- Credible Disinflation Policy in a Dynamic Setting
Boston College Working Papers in Economics, Boston College Department of Economics
- Long Memory and Forecasting in Euroyen Deposit Rates
Boston College Working Papers in Economics, Boston College Department of Economics View citations (9)
- Monetary Policy in the Transition to a Zero Federal Deficit
Boston College Working Papers in Economics, Boston College Department of Economics
- 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 View citations (1)
- Reexamining the Term Structure of Interest Rates and the Interwar Demand for Money
Boston College Working Papers in Economics, Boston College Department of Economics 
See also Journal Article Reexamining the term structure of interest rates and the interwar demand for money, Journal of Economics and Finance, Springer (1998) View citations (1) (1998)
- Stochastic Long Memory in Traded Goods Prices
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
See also Journal Article Stochastic long memory in traded goods prices, Applied Economics Letters, Taylor & Francis Journals (1998) View citations (5) (1998)
- 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 (1)
Also in Computing in Economics and Finance 1997, Society for Computational Economics View citations (1)
1996
- 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 (6)
See also Journal Article A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency, Applied Financial Economics, Taylor & Francis Journals (1997) View citations (19) (1997)
- Fractional Cointegration Analysis of Long Term International Interest Rates
Boston College Working Papers in Economics, Boston College Department of Economics View citations (4)
- Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates
Boston College Working Papers in Economics, Boston College Department of Economics View citations (6)
See also Journal Article FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES, Journal of Financial Research, Southern Finance Association (1997) View citations (26) (1997)
- Fractional Dynamics in Japanese Financial Time Series
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
See also Journal Article Fractional dynamics in Japanese financial time series, Pacific-Basin Finance Journal, Elsevier (1998) View citations (16) (1998)
- Long Memory in the Greek Stock Market
Boston College Working Papers in Economics, Boston College Department of Economics View citations (20)
See also Journal Article Long memory in the Greek stock market, Applied Financial Economics, Taylor & Francis Journals (2000) View citations (99) (2000)
- Long Term Dependence in Stock Returns
Boston College Working Papers in Economics, Boston College Department of Economics View citations (92)
See also Journal Article Long-term dependence in stock returns, Economics Letters, Elsevier (1996) View citations (89) (1996)
- Modelling Federal Reserve Discount Policy
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
See also Journal Article Modelling Federal Reserve Discount Policy, Computational Economics, Springer (1998) View citations (17) (1998)
- Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate
Boston College Working Papers in Economics, Boston College Department of Economics
- Persistence in International Inflation Rates
Boston College Working Papers in Economics, Boston College Department of Economics View citations (23)
See also Journal Article Persistence in International Inflation Rates, Southern Economic Journal, John Wiley & Sons (1999) View citations (11) (1999)
- Q, Cash Flow and Investment: An Econometric Critique
Boston College Working Papers in Economics, Boston College Department of Economics 
See also Journal Article Q, Cash Flow and Investment: An Econometric Critique, Review of Quantitative Finance and Accounting, Springer (1999) View citations (3) (1999)
- Time-Varying Risk Premia in the Foreign Currency Futures Basis
Boston College Working Papers in Economics, Boston College Department of Economics View citations (12)
See also Journal Article Time‐varying risk premia in the foreign currency futures basis, Journal of Futures Markets, John Wiley & Sons, Ltd. (1996) View citations (1) (1996)
1995
- Modeling Returns on the Term Structure of Treasury Interest Rates
Boston College Working Papers in Economics, Boston College Department of Economics
1994
- 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
- Comparing Alternative Models of the Term Structure of Interest Rates
Boston College Working Papers in Economics, Boston College Department of Economics View citations (5)
1993
- Anti-Takeover Amendments, Managerial Entrenchment, And Shareholders' Interests
Boston College Working Papers in Economics, Boston College Department of Economics
- Tobin's Q And Financial Policy Revisited
Boston College Working Papers in Economics, Boston College Department of Economics
1988
- An Alternative Nonlinear General Equilibrium Model of the Term Structure of Interest Rates
Boston College Working Papers in Economics, Boston College Department of Economics
- Bounded-Influence Estimation Techniques for the Analysis of Structural Macroeconometric Models
Boston College Working Papers in Economics, Boston College Department of Economics
- Bounded-Influence Instrumental Variable Estimation Techniques for the Diagnosis of Time-Series Regression Equations
Boston College Working Papers in Economics, Boston College Department of Economics
- Dynamic Adjustment of Firms' Capital Structures in a Varying-Risk Environment
Boston College Working Papers in Economics, Boston College Department of Economics 
See also Journal Article Dynamic adjustment of firms' capital structures in a varying-risk environment, Journal of Economic Dynamics and Control, Elsevier (1988) (1988)
- On Construction of Monthly Term Structures of U.S. Interest Rates 1910-1930
Boston College Working Papers in Economics, Boston College Department of Economics
- The Term Structure of Interest Rates and the Demand for Money During the Great Depression
Boston College Working Papers in Economics, Boston College Department of Economics View citations (3)
1983
- Changes in the Balance Sheet of the U.S. Manufacturing Sector, 1926-1977
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Chapter Changes in the Balance Sheet of the U.S. Manufacturing Sector, 1926-1977, NBER Chapters, National Bureau of Economic Research, Inc (1985) View citations (1) (1985)
1981
- An Examination of Postwar U.S Stabilization Policy: Monetary and Fiscal Policy in an Accelerationist World
Boston College Working Papers in Economics, Boston College Department of Economics
Undated
- 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
2025
- The dynamics of U.S. industrial production: A time-varying Granger causality perspective
Econometrics and Statistics, 2025, 33, (C), 13-22
2024
- Cumulative author index, volumes 1-24
Stata Journal, 2024, 24, (4)
- Estimating the Wage Premia of Refugee Immigrants: Lessons from Sweden
ILR Review, 2024, 77, (4), 562-597 
See also Working Paper Estimating the Wage Premia of Refugee Immigrants: Lessons from Sweden, Working Papers in Economics and Statistics (2024) (2024)
- Estimating treatment effects when program participation is misreported
Stata Journal, 2024, 24, (4), 614-629
2023
- COVID-19 vaccinations and mental health among U.S. adults: Individual and spillover effects
Social Science & Medicine, 2023, 329, (C)
2022
- Erratum: Unit-root tests for explosive behavior
Stata Journal, 2022, 22, (1), 234-237
- Fitting mixture models for feeling and uncertainty for rating data analysis
Stata Journal, 2022, 22, (1), 195-223 View citations (3)
- Innovation by start-up firms: The role of the board of directors for knowledge spillovers
Research Policy, 2022, 51, (1) View citations (5)
- Socio-economic and demographic factors influencing the spatial spread of COVID-19 in the USA
International Journal of Computational Economics and Econometrics, 2022, 12, (4), 366-380 View citations (1)
- Testing for time-varying Granger causality
Stata Journal, 2022, 22, (2), 355-378 View citations (11)
See also Working Paper Testing for time-varying Granger causality, Economics Virtual Symposium 2021 (2021) (2021)
- The impact of offshoring on technical change: Evidence from Swedish manufacturing firms
Review of International Economics, 2022, 30, (3), 796-818 View citations (1)
2021
- Evaluating the impact of compliance with governance recommendations on firm performance: The case of Spain
International Journal of Finance & Economics, 2021, 26, (3), 3788-3806 View citations (1)
- Firms in Green Public Procurement: Financial Strength Indicators’ Impact on Contract Awards and Its Repercussion on Financial Strength
Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, 2021, 90, (4), 71-92 View citations (3)
See also Working Paper Firms in (Green) Public Procurement: Financial strength indicators’ impact on contract awards and its repercussion on financial strength, Boston College Working Papers in Economics (2022) (2022)
- Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data
Energy Economics, 2021, 93, (C) View citations (3)
See also Working Paper Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data, Boston College Working Papers in Economics (2019) View citations (3) (2019)
- The BDS test of independence
Stata Journal, 2021, 21, (2), 279-294 View citations (1)
- The impact of uncertainty on financial institutions: A cross‐country study
International Journal of Finance & Economics, 2021, 26, (3), 3719-3739 View citations (5)
- Unit-root tests for explosive behavior
Stata Journal, 2021, 21, (4), 999-1020 View citations (3)
See also Working Paper Unit root tests for explosive behaviour, London Stata Conference 2020 (2020) View citations (4) (2020)
- “What good is a volatility model?” A reexamination after 20 years
Stata Journal, 2021, 21, (2), 295-319
2020
- Local Whittle estimation of the long-memory parameter
Stata Journal, 2020, 20, (3), 565-583
2019
- Advice on using heteroskedasticity-based identification
Stata Journal, 2019, 19, (4), 757-767 View citations (76)
See also Working Paper Advice on using heteroscedasticity based identification, Boston College Working Papers in Economics (2019) View citations (72) (2019)
- Innovation strategies, external knowledge and productivity growth
Industry and Innovation, 2019, 26, (3), 348-367 View citations (3)
See also Working Paper INNOVATION STRATEGIES, EXTERNAL KNOWLEDGE AND PRODUCTIVITY GROWTH, Working Paper Series in Economics and Institutions of Innovation (2018) View citations (2) (2018)
- Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications
Energy Economics, 2019, 79, (C), 111-129 View citations (11)
See also Working Paper Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications, Boston College Working Papers in Economics (2018) View citations (5) (2018)
2018
- Policy Evaluation With Incomplete Data: Assessing the Affordable Care Act Breastfeeding Provision
American Journal of Public Health, 2018, 108, (2), 164-166
- Unit-root tests based on forward and reverse Dickey–Fuller regressions
Stata Journal, 2018, 18, (1), 22-28 View citations (4)
2017
- A new approach to estimation of the R&D–innovation–productivity relationship
Economics of Innovation and New Technology, 2017, 26, (1-2), 121-133 View citations (18)
See also Working Paper A New Approach to Estimation of the R&D-Innovation-Productivity Relationship, Working Paper Series in Economics and Institutions of Innovation (2015) View citations (4) (2015)
- Capital structure adjustments: Do macroeconomic and business risks matter?
Empirical Economics, 2017, 53, (4), 1463-1502 View citations (17)
See also Working Paper Capital Structure Adjustments: Do Macroeconomic and Business Risks Matter?, Boston College Working Papers in Economics (2016) View citations (7) (2016)
- Corporate financial policy and the value of cash under uncertainty
International Journal of Managerial Finance, 2017, 13, (2), 149-164 View citations (3)
See also Working Paper Corporate Financial Policy and the Value of Cash under Uncertainty, Boston College Working Papers in Economics (2016) View citations (3) (2016)
- Effect of the affordable care act on disparities in breastfeeding: The case of Maine
American Journal of Public Health, 2017, 107, (7), 1119-1121
- Response surface models for the Elliott, Rothenberg, and Stock unit-root test
Stata Journal, 2017, 17, (4), 985-1002 View citations (13)
2016
- Credit rating agency downgrades and the Eurozone sovereign debt crises
Journal of Financial Stability, 2016, 24, (C), 117-131 View citations (30)
See also Working Paper Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises, Boston College Working Papers in Economics (2014) View citations (6) (2014)
- Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Energy Economics, 2016, 53, (C), 175-181 View citations (27)
See also Working Paper Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility, Boston College Working Papers in Economics (2014) View citations (6) (2014)
- R&D Expenditures and Geographical Sales Diversification
Manchester School, 2016, 84, (2), 197-221 View citations (11)
See also Working Paper R&D Expenditures and Geographical Sales Diversification, Boston College Working Papers in Economics (2012) View citations (2) (2012)
- Securities fraud and corporate board turnover: New evidence from lawsuit outcomes
International Review of Law and Economics, 2016, 48, (C), 14-25 View citations (6)
- Stata tip 126: Handling irregularly spaced high-frequency transactions data
Stata Journal, 2016, 16, (2), 517-520
- The self-medication hypothesis: Evidence from terrorism and cigarette accessibility
Economics & Human Biology, 2016, 22, (C), 94-102 View citations (15)
See also Working Paper The Self-Medication Hypothesis: Evidence from Terrorism and Cigarette Accessibility, Boston College Working Papers in Economics (2016) View citations (15) (2016)
2015
- Happily Ever After? Pre-and-Post Disaster Determinants of Happiness Among Survivors of Hurricane Katrina
Journal of Happiness Studies, 2015, 16, (2), 427-442 View citations (16)
- What do Chinese macro announcements tell us about the world economy?
Journal of International Money and Finance, 2015, 59, (C), 100-122 View citations (24)
See also Working Paper What do Chinese Macro Announcements Tell Us About the World Economy?, Boston College Working Papers in Economics (2015) View citations (25) (2015)
2014
- Impact of state cigarette taxes on disparities in maternal smoking during pregnancy
American Journal of Public Health, 2014, 104, (8), 1464-1470 View citations (3)
2013
- THE ROLE OF UNCERTAINTY IN THE TRANSMISSION OF MONETARY POLICY EFFECTS ON BANK LENDING
Manchester School, 2013, 81, (2), 202-225 View citations (18)
See also Working Paper The role of uncertainty in the transmission of monetary policy effects on bank lending, Boston College Working Papers in Economics (2008) View citations (3) (2008)
- The Effects of Future Capital Investment and R&D Expenditures on Firms' Liquidity
Review of International Economics, 2013, 21, (3), 459-474 View citations (7)
See also Working Paper The Effects of Future Capital Investment and R&D Expenditures on Firms' Liquidity, Boston College Working Papers in Economics (2012) View citations (5) (2012)
2012
- The effects of uncertainty and corporate governance on firms’ demand for liquidity
Applied Economics, 2012, 44, (4), 515-525 View citations (4)
See also Working Paper The Effects of Uncertainty and Corporate Governance on Firms' Demand for Liquidity, Boston College Working Papers in Economics (2009) (2009)
2011
- Richard Sperling (1961-2011)
Stata Journal, 2011, 11, (2), 157-158
- The contextual effects of social capital on health: A cross-national instrumental variable analysis
Social Science & Medicine, 2011, 73, (12), 1689-1697 View citations (32)
See also Working Paper The contextual effects of social capital on health: a cross-national instrumental variable analysis, Boston College Working Papers in Economics (2011) View citations (41) (2011)
- The impact of the financial system's structure on firms' financial constraints
Journal of International Money and Finance, 2011, 30, (4), 678-691 View citations (25)
See also Working Paper The Impact of the Financial System's Structure on Firms' Financial Constraints, Boston College Working Papers in Economics (2010) View citations (10) (2010)
- USING STATA FOR APPLIED RESEARCH: REVIEWING ITS CAPABILITIES
Journal of Economic Surveys, 2011, 25, (2), 380-394 View citations (6)
See also Working Paper Using Stata for Applied Research: Reviewing its Capabilities, Boston College Working Papers in Economics (2010) (2010)
2010
- Macroeconomic uncertainty and credit default swap spreads
Applied Financial Economics, 2010, 20, (15), 1163-1171 View citations (26)
See also Working Paper Macroeconomic Uncertainty and Credit Default Swap Spreads, Boston College Working Papers in Economics (2010) View citations (26) (2010)
- On the investment sensitivity of debt under uncertainty
Economics Letters, 2010, 106, (1), 25-27 View citations (27)
See also Working Paper On the Investment Sensitivity of Debt under Uncertainty, Boston College Working Papers in Economics (2008) (2008)
- On the sensitivity of firms' investment to cash flow and uncertainty
Oxford Economic Papers, 2010, 62, (2), 286-306 View citations (49)
See also Working Paper On the Sensitivity of Firms' Investment to Cash Flow and Uncertainty, Boston College Working Papers in Economics (2008) View citations (1) (2008)
- 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 View citations (51)
See also Working Paper On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty, Boston College Working Papers in Economics (2008) View citations (3) (2008)
- Parliamentary election cycles and the Turkish banking sector
Journal of Banking & Finance, 2010, 34, (11), 2709-2719 View citations (42)
See also Working Paper Parliamentary Election Cycles and the Turkish Banking Sector, University of East Anglia Applied and Financial Economics Working Paper Series (2010) View citations (48) (2010)
- Stata tip 88: Efficiently evaluating elasticities with the margins command
Stata Journal, 2010, 10, (2), 309-312 View citations (1)
- The impact of macroeconomic uncertainty on firms' changes in financial leverage
International Journal of Finance & Economics, 2010, 15, (1), 22-30 View citations (13)
See also Working Paper The Impact of Macroeconomic Uncertainty on Firms' Changes in Financial Leverage, Boston College Working Papers in Economics (2008) (2008)
2009
- Evaluating concavity for production and cost functions
Stata Journal, 2009, 9, (1), 161-165 View citations (10)
- Stata tip 73: append with care!
Stata Journal, 2009, 9, (1), 166-168
- THE EFFECTS OF UNCERTAINTY ON THE LEVERAGE OF NONFINANCIAL FIRMS
Economic Inquiry, 2009, 47, (2), 216-225 View citations (47)
See also Working Paper The Effects of Uncertainty on the Leverage of Non-Financial Firms, Boston College Working Papers in Economics (2007) View citations (2) (2007)
- The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds
Economics Letters, 2009, 102, (2), 87-89 View citations (49)
See also Working Paper The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds, Boston College Working Papers in Economics (2008) View citations (11) (2008)
2008
- Political patronage in Ukrainian banking1
The Economics of Transition, 2008, 16, (3), 537-557 View citations (17)
See also Working Paper Political patronage in Ukranian banking, Boston College Working Papers in Economics (2008) View citations (1) (2008)
- Stata tip 63: Modeling proportions
Stata Journal, 2008, 8, (2), 299-303 View citations (98)
- Uncertainty determinants of corporate liquidity
Economic Modelling, 2008, 25, (5), 833-849 View citations (46)
See also Working Paper Uncertainty Determinants of Corporate Liquidity, Boston College Working Papers in Economics (2006) View citations (2) (2006)
- Uncertainty determinants of firm investment
Economics Letters, 2008, 98, (3), 282-287 View citations (44)
See also Working Paper Uncertainty Determinants of Firm Investment, Boston College Working Papers in Economics (2007) View citations (2) (2007)
2007
- Enhanced routines for instrumental variables/generalized method of moments estimation and testing
Stata Journal, 2007, 7, (4), 465-506 View citations (666)
- Stata tip 40: Taking care of business
Stata Journal, 2007, 7, (1), 137-139
- Stata tip 45: Getting those data into shape
Stata Journal, 2007, 7, (2), 268-271 View citations (2)
- Ukrainische Banken: politische Patronage von Bedeutung
DIW Wochenbericht, 2007, 74, (23), 367-371
2006
- Dynamics of Intra-EMS Interest Rate Linkages
Journal of Money, Credit and Banking, 2006, 38, (2), 469-482 View citations (23)
See also Working Paper Dynamics of Intra-EMS Interest Rate Linkages, Boston College Working Papers in Economics (2004) View citations (2) (2004)
- Long-memory forecasting of US monetary indices
Journal of Forecasting, 2006, 25, (4), 291-302 View citations (10)
See also Working Paper Long-Memory Forecasting of U.S. Monetary Indices, Boston College Working Papers in Economics (2003) View citations (1) (2003)
- Stata tip 37: And the last shall be first
Stata Journal, 2006, 6, (4), 588-589
- Stata tip 38: Testing for groupwise heteroskedasticity
Stata Journal, 2006, 6, (4), 590-592 View citations (4)
- The impact of macroeconomic uncertainty on non-financial firms' demand for liquidity
Review of Financial Economics, 2006, 15, (4), 289-304 View citations (57)
Also in Review of Financial Economics, 2006, 15, (4), 289-304 (2006) View citations (5)
See also Working Paper The Impact of Macroeconomic Uncertainty on Non-Financial Firms' Demand for Liquidity, Boston College Working Papers in Economics (2005) View citations (26) (2005)
2005
- Stata: The language of choice for time-series analysis?
Stata Journal, 2005, 5, (1), 46-63 View citations (31)
See also Working Paper Stata: The language of choice for time series analysis?, Boston College Working Papers in Economics (2004) View citations (1) (2004)
2004
- A review of Stata 8.1 and its time series capabilities
International Journal of Forecasting, 2004, 20, (1), 151-161 View citations (62)
See also Working Paper A review of Stata 8.1 and its time series capabilities, Boston College Working Papers in Economics (2003) View citations (6) (2003)
- Nonlinear effects of exchange rate volatility on the volume of bilateral exports
Journal of Applied Econometrics, 2004, 19, (1), 1-23 View citations (84)
See also Working Paper Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports, Boston College Working Papers in Economics (2002) View citations (4) (2002)
2003
- Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums
Journal of Macroeconomics, 2003, 25, (1), 109-122 View citations (14)
See also Working Paper Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums, Boston College Working Papers in Economics (2001) View citations (2) (2001)
- Instrumental variables and GMM: Estimation and testing
Stata Journal, 2003, 3, (1), 1-31 View citations (1073)
See also Working Paper Instrumental variables and GMM: Estimation and testing, Boston College Working Papers in Economics (2003) View citations (1069) (2003)
- Sectoral fluctuations in U.K. firms' investment expenditures
Economics Bulletin, 2003, 5, (13), 1-10 
See also Working Paper Sectoral Fluctuations in U.K. Firms' Investment Expenditures, Boston College Working Papers in Economics (2003) View citations (2) (2003)
- The forward rate unbiasedness hypothesis reexamined: evidence from a new test
Global Finance Journal, 2003, 14, (1), 83-93 View citations (12)
2002
- Exchange rate effects on the volume and variability of trade flows
Journal of International Money and Finance, 2002, 21, (4), 481-496 View citations (50)
See also Working Paper Exchange Rate Effects on the Volume and Variability of Trade Flows, Boston College Working Papers in Economics (2001) View citations (14) (2001)
2001
- A test for long-range dependence in a time series
Stata Technical Bulletin, 2001, 10, (60)
- Compacting time series data
Stata Technical Bulletin, 2001, 10, (57)
- Exchange Rate Uncertainty and Firm Profitability
Journal of Macroeconomics, 2001, 23, (4), 565-576 View citations (34)
See also Working Paper Exchange Rate Uncertainty and Firm Profitability, Boston College Working Papers in Economics (2000) View citations (3) (2000)
- Multivariate portmanteau (Q) test for white noise
Stata Technical Bulletin, 2001, 10, (60) View citations (1)
- 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 (183)
See also Working Paper Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era, Boston College Working Papers in Economics (1999) View citations (42) (1999)
- Residual diagnostics for cross-section time series regression models
Stata Journal, 2001, 1, (1), 101-104 View citations (129)
- Test for autoregressive conditional heteroskedasticity in regression error distribution
Stata Technical Bulletin, 2001, 10, (55)
- Tests for heteroskedasticity in regression error distribution
Stata Technical Bulletin, 2001, 10, (55)
- Tests for long memory in a time series
Stata Technical Bulletin, 2001, 10, (57) View citations (7)
- Tests for serial correlation in regression error distribution
Stata Technical Bulletin, 2001, 10, (55)
- Tests for stationarity of a time series
Stata Technical Bulletin, 2001, 10, (57) View citations (9)
- Tests for stationarity of a time series: update
Stata Technical Bulletin, 2001, 10, (58) View citations (4)
- Utility for time series data
Stata Technical Bulletin, 2001, 10, (57) View citations (2)
- Waves and persistence in merger and acquisition activity
Economics Letters, 2001, 70, (2), 237-243 View citations (15)
See also Working Paper Waves and Persistence in Merger and Acquisition Activity, Boston College Working Papers in Economics (1999) View citations (9) (1999)
2000
- Long memory in the Greek stock market
Applied Financial Economics, 2000, 10, (2), 177-184 View citations (99)
See also Working Paper Long Memory in the Greek Stock Market, Boston College Working Papers in Economics (1996) View citations (20) (1996)
- Metadata for user-written contributions to the Stata programming language
Stata Technical Bulletin, 2000, 9, (52)
- Metadata for user-written contributions to the Stata programming language: extensions
Stata Technical Bulletin, 2000, 9, (54)
1999
- Fractional monetary dynamics
Applied Economics, 1999, 31, (11), 1393-1400 View citations (8)
See also Working Paper Fractional Monetary Dynamics, Boston College Working Papers in Economics (1998) View citations (1) (1998)
- 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 (54)
See also Working Paper Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float?, Boston College Working Papers in Economics (1998) View citations (13) (1998)
- Persistence in International Inflation Rates
Southern Economic Journal, 1999, 65, (4), 900-913 View citations (11)
See also Working Paper Persistence in International Inflation Rates, Boston College Working Papers in Economics (1996) View citations (23) (1996)
- Q, Cash Flow and Investment: An Econometric Critique
Review of Quantitative Finance and Accounting, 1999, 12, (1), 35-47 View citations (3)
See also Working Paper Q, Cash Flow and Investment: An Econometric Critique, Boston College Working Papers in Economics (1996) (1996)
1998
- Fractional dynamics in Japanese financial time series
Pacific-Basin Finance Journal, 1998, 6, (1-2), 115-124 View citations (16)
See also Working Paper Fractional Dynamics in Japanese Financial Time Series, Boston College Working Papers in Economics (1996) View citations (2) (1996)
- Modelling Federal Reserve Discount Policy
Computational Economics, 1998, 11, (1-2), 53-70 View citations (17)
See also Working Paper Modelling Federal Reserve Discount Policy, Boston College Working Papers in Economics (1996) View citations (2) (1996)
- Reexamining the term structure of interest rates and the interwar demand for money
Journal of Economics and Finance, 1998, 22, (2), 5-12 View citations (1)
See also Working Paper Reexamining the Term Structure of Interest Rates and the Interwar Demand for Money, Boston College Working Papers in Economics (1997) (1997)
- Stochastic long memory in traded goods prices
Applied Economics Letters, 1998, 5, (3), 135-138 View citations (5)
See also Working Paper Stochastic Long Memory in Traded Goods Prices, Boston College Working Papers in Economics (1997) View citations (1) (1997)
1997
- A nonparametric investigation of the 90-day t-bill rate
Review of Financial Economics, 1997, 6, (2), 187-198 View citations (8)
Also in Review of Financial Economics, 1997, 6, (2), 187-198 (1997)
- 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 View citations (19)
See also Working Paper A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange Market Efficiency, Boston College Working Papers in Economics (1996) View citations (6) (1996)
- FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES
Journal of Financial Research, 1997, 20, (3), 355-372 View citations (26)
See also Working Paper Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates, Boston College Working Papers in Economics (1996) View citations (6) (1996)
1996
- Long-term dependence in stock returns
Economics Letters, 1996, 53, (3), 253-259 View citations (89)
See also Working Paper Long Term Dependence in Stock Returns, Boston College Working Papers in Economics (1996) View citations (92) (1996)
- Time‐varying risk premia in the foreign currency futures basis
Journal of Futures Markets, 1996, 16, (7), 735-755 View citations (1)
See also Working Paper Time-Varying Risk Premia in the Foreign Currency Futures Basis, Boston College Working Papers in Economics (1996) View citations (12) (1996)
- Tobin's Q, intangible capital, and financial policy
Journal of Economics and Business, 1996, 48, (4), 387-400 View citations (5)
1992
- 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
- Tobin's q and measurement error: Caveat investigator
Journal of Economics and Business, 1991, 43, (3), 241-252 View citations (5)
1990
- 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 (5)
1988
- Dynamic adjustment of firms' capital structures in a varying-risk environment
Journal of Economic Dynamics and Control, 1988, 12, (1), 127-133 
See also Working Paper Dynamic Adjustment of Firms' Capital Structures in a Varying-Risk Environment, Boston College Working Papers in Economics (1988) (1988)
- Foreword
Journal of Economic Dynamics and Control, 1988, 12, (1), 3-3
1987
- 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
- Coordination of large macroeconomies'policies and the stability of small economies
Journal of Economic Dynamics and Control, 1986, 10, (1-2), 21-25
1983
- Activist policy and macroeconomic instability
Economics Letters, 1983, 11, (1-2), 43-48
1980
- On the sensitivity of optimal control solutions
Journal of Economic Dynamics and Control, 1980, 2, (1), 205-208
1979
- 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 (16)
1978
- 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) View citations (2)
1977
- An empirical analysis of the composition of manufacturing employment in the industrialized countries
European Economic Review, 1977, 9, (1), 1-19 View citations (1)
Books
2021
- Environmental Econometrics Using Stata
Stata Press books, StataCorp LLC View citations (4)
2015
- An Introduction to Stata Programming, Second Edition
Stata Press books, StataCorp LLC View citations (2)
2006
- An Introduction to Modern Econometrics using Stata
Stata Press books, StataCorp LLC View citations (642)
Chapters
1985
- 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 View citations (1)
See also Working Paper Changes in the Balance Sheet of the U.S. Manufacturing Sector, 1926-1977, National Bureau of Economic Research, Inc (1983) (1983)
Software Items
2025
- ACTEST: Stata module to perform Cumby-Huizinga general test for autocorrelation in time series
Statistical Software Components, Boston College Department of Economics
2024
- FREDUSEX: Stata module to import FRED (Federal Reserve Economic Database) data
Statistical Software Components, Boston College Department of Economics
- IVREG2: Stata module for extended instrumental variables/2SLS and GMM estimation
Statistical Software Components, Boston College Department of Economics View citations (52)
- IVREG2H: Stata module to perform instrumental variables estimation using heteroskedasticity-based instruments
Statistical Software Components, Boston College Department of Economics
- IVREG2M: Stata module to identify treatment-effects estimates with potentially misreported and endogenous program participation
Statistical Software Components, Boston College Department of Economics
- NBERCYCLES: Stata module to generate graph command (and optionally graph) timeseries vs. NBER recession dating
Statistical Software Components, Boston College Department of Economics
- TVGC: Stata module to perform Time-Varying Granger Causality tests
Statistical Software Components, Boston College Department of Economics
- XTTEST3: Stata module to compute Modified Wald statistic for groupwise heteroskedasticity
Statistical Software Components, Boston College Department of Economics View citations (2)
2023
- GPHUDAK: Stata module to estimate long memory in a timeseries
Statistical Software Components, Boston College Department of Economics
- LOG2HTML: Stata module to produce HTML log files
Statistical Software Components, Boston College Department of Economics
- PWCOV: Stata module to compute pairwise covariances
Statistical Software Components, Boston College Department of Economics
- WHITTLE: Stata module to compute long-memory parameter via Whittle method
Statistical Software Components, Boston College Department of Economics
- XTTEST2: Stata module to perform Breusch-Pagan LM test for cross-sectional correlation in panel data model
Statistical Software Components, Boston College Department of Economics
2022
- 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
- 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
- RADF: Stata module to calculate unit root tests for explosive behaviour
Statistical Software Components, Boston College Department of Economics
- SSCSUBMIT: Stata module -- some notes on SSC Archive use for Stata users
Statistical Software Components, Boston College Department of Economics
2021
- BCUSE: Stata module to access instructional datasets on Boston College server
Statistical Software Components, Boston College Department of Economics
- 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 View citations (9)
- DMARIANO: Stata module to calculate Diebold-Mariano comparison of forecast accuracy
Statistical Software Components, Boston College Department of Economics
- SSPECIALREG: Stata module to estimate binary choice model with discrete endogenous regressor via special regressor method
Statistical Software Components, Boston College Department of Economics
2020
- ARIMASEL: Stata module to compute selection criteria for ARMA(p,q) models
Statistical Software Components, Boston College Department of Economics
- CUSUM9: Stata module to compute cusum, cusum^2 stability tests
Statistical Software Components, Boston College Department of Economics
- OVERID: Stata module to conduct postestimation tests of overidentification
Statistical Software Components, Boston College Department of Economics View citations (9)
- XTILETEST: Stata module to test equality of percentiles across groups of observations
Statistical Software Components, Boston College Department of Economics
2019
- LOMACKINLAY: Stata module to perform Lo-MacKinlay variance ratio test
Statistical Software Components, Boston College Department of Economics
2018
- 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 (2)
- FCSTATS: Stata module to compute time series forecast accuracy statistics
Statistical Software Components, Boston College Department of Economics
- KPSS: Stata module to compute Kwiatkowski-Phillips-Schmidt-Shin test for stationarity
Statistical Software Components, Boston College Department of Economics
2016
- GRPDF: Stata module to produce PDFs from memory graphs
Statistical Software Components, Boston College Department of Economics
2015
- 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
- IVREG210: Stata module for extended instrumental variables/2SLS and GMM estimation (v10)
Statistical Software Components, Boston College Department of Economics
- IVREG29: Stata module for extended instrumental variables/2SLS and GMM estimation (v9)
Statistical Software Components, Boston College Department of Economics View citations (2)
- 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 (2)
- dspace2redif.pl, a script converting DSpace metadata to ReDIF
RePEc scripts, RePEc Team
2014
- OUTTABLE: Stata module to write matrix to LaTeX table
Statistical Software Components, Boston College Department of Economics
2013
- BIDENSITY: Stata module to produce and graph bivariate density estimates
Statistical Software Components, Boston College Department of Economics
- IVACTEST: Stata module to perform Cumby-Huizinga test for autocorrelation after IV/OLS estimation
Statistical Software Components, Boston College Department of Economics
- STATICFC: Stata module to compute static forecasts for a recursive rolling regression
Statistical Software Components, Boston College Department of Economics
- TSCOLLAP: Stata module to compact timeseries into dataset of means, sums, end-of-period values
Statistical Software Components, Boston College Department of Economics
2012
- KDENS2: Stata module to estimate bivariate kernel density
Statistical Software Components, Boston College Department of Economics
2011
- IVREG28: Stata module for extended instrumental variables/2SLS and GMM estimation (v8)
Statistical Software Components, Boston College Department of Economics View citations (3)
- TGMIXED: Stata module to perform Theil-Goldberger mixed estimation of regression equation
Statistical Software Components, Boston College Department of Economics
2010
- ITSP_ADO: Stata module to accompany Introduction to Stata Programming book
Statistical Software Components, Boston College Department of Economics
- LEVPREDICT: Stata module to compute log-linear level predictions reducing retransformation bias
Statistical Software Components, Boston College Department of Economics
2009
- HPRESCOTT: Stata module to implement Hodrick-Prescott filter for timeseries data
Statistical Software Components, Boston College Department of Economics
- OMNINORM: Stata module to calculate omnibus test for univariate/multivariate normality
Statistical Software Components, Boston College Department of Economics View citations (1)
2008
- HLP2PDF: Stata module to create PDF or PostScript from Stata help file
Statistical Software Components, Boston College Department of Economics
- PWCORR2: Stata module to compute pairwise correlations and return results
Statistical Software Components, Boston College Department of Economics
- 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
- CHECKREG3: Stata module to check identification status of simultaneous equations system
Statistical Software Components, Boston College Department of Economics
- IPSHIN: Stata module to perform Im-Pesaran-Shin panel unit root test
Statistical Software Components, Boston College Department of Economics View citations (3)
- IVENDOG: Stata module to calculate Durbin-Wu-Hausman endogeneity test after ivreg
Statistical Software Components, Boston College Department of Economics View citations (2)
- MVSUMM: Stata module to generate moving-window descriptive statistics in time series or panel
Statistical Software Components, Boston College Department of Economics
- NHARVEY: Stata module to perform Nyblom-Harvey panel test of common stochastic trends
Statistical Software Components, Boston College Department of Economics
- ORSE: Stata module to save odds ratios and their standard errors after logit, ologit
Statistical Software Components, Boston College Department of Economics
- PROBEXOG-TOBEXOG: Stata modules to test exogeneity in probit/tobit
Statistical Software Components, Boston College Department of Economics View citations (4)
- ROLLING2: Stata module to perform rolling window and recursive estimation
Statistical Software Components, Boston College Department of Economics
- URCOVAR: Stata module to perform Elliott-Jansson test for unit roots with stationary covariates
Statistical Software Components, Boston College Department of Economics
2006
- BKING: Stata module to implement Baxter-King filter for timeseries data
Statistical Software Components, Boston College Department of Economics
- BUTTERWORTH: Stata module to implement Butterworth square-wave highpass filter for timeseries data
Statistical Software Components, Boston College Department of Economics
- CFITZRW: Stata module to implement Christiano-Fitzgerald Random Walk band pass filter for timeseries data
Statistical Software Components, Boston College Department of Economics
- FRACDIFF: Stata module to generate fractionally-differenced timeseries
Statistical Software Components, Boston College Department of Economics View citations (2)
- LEVINLIN: Stata module to perform Levin-Lin-Chu panel unit root test
Statistical Software Components, Boston College Department of Economics View citations (2)
- LOMODRS: Stata module to perform Lo R/S test for long range dependence in timeseries
Statistical Software Components, Boston College Department of Economics
- MADFULLER: Stata module to perform Dickey-Fuller test on panel data
Statistical Software Components, Boston College Department of Economics View citations (1)
- MODLPR: Stata module to estimate long memory in a timeseries
Statistical Software Components, Boston College Department of Economics
- ROBLPR: Stata module to estimate long memory in a set of timeseries
Statistical Software Components, Boston College Department of Economics
- SEMEAN: Stata module to compute standard error of mean (optionally from transformed data)
Statistical Software Components, Boston College Department of Economics
- TORATS: Stata module to facilitate transfer of data to RATS
Statistical Software Components, Boston College Department of Economics
2005
- MVCORR: Stata module to generate moving-window correlation or autocorrelation in time series or panel
Statistical Software Components, Boston College Department of Economics
- ONESPELL: Stata module to generate single longest spell for each unit in panel data, listwise
Statistical Software Components, Boston College Department of Economics
- ROLLREG: Stata module to perform rolling regression estimation
Statistical Software Components, Boston College Department of Economics
- SPEARMAN2: Stata module to calculate Spearman rank correlations, extended
Statistical Software Components, Boston College Department of Economics
- STATSMAT: Stata module to place descriptive statistics in matrix
Statistical Software Components, Boston College Department of Economics
- bejeap2.pl, a script converting OAI data to ReDIF with Unicode support
RePEc scripts, RePEc Team
2004
- BETACOEF: Stata module to calculate beta coefficients from regression
Statistical Software Components, Boston College Department of Economics
- IVGMM0: Stata module to perform instrumental variables via GMM
Statistical Software Components, Boston College Department of Economics
- MATIN4-MATOUT4: Stata module to import and export matrices
Statistical Software Components, Boston College Department of Economics
- TSLIST: Stata module to list time series data
Statistical Software Components, Boston College Department of Economics
- TSMKTIM: Stata module to generate time-series calendar variable
Statistical Software Components, Boston College Department of Economics
2003
- DMEXOGXT: Stata module to test consistency of OLS vs XT-IV estimates
Statistical Software Components, Boston College Department of Economics View citations (3)
- HADRILM: Stata module to perform Hadri panel unit root test
Statistical Software Components, Boston College Department of Economics
- PANELAUTO: Stata module to support tests for autocorrelation on panel data
Statistical Software Components, Boston College Department of Economics
- PANELUNIT: Stata module to support unit root tests on panel data
Statistical Software Components, Boston College Department of Economics
- TSGRAPH: Stata module to produce time series line graph
Statistical Software Components, Boston College Department of Economics
- bejeap.pl, a script converting OAI data to ReDIF
RePEc scripts, RePEc Team
2002
- AVPLOT3: Stata module to generate partial regression plots for subsamples
Statistical Software Components, Boston College Department of Economics
- BGTEST: Stata module to calculate Breusch-Godfrey test for serial correlation
Statistical Software Components, Boston College Department of Economics
- DURBINH: Stata module to calculate Durbin's h test for serial correlation
Statistical Software Components, Boston College Department of Economics
- GENEIGEN: Stata module to calculate eigenvalues of a real general matrix
Statistical Software Components, Boston College Department of Economics
- VECAR6: Stata module to estimate vector autoregressive (VAR) models (version 6)
Statistical Software Components, Boston College Department of Economics
- VECAR: Stata module to estimate vector autoregressive (VAR) models
Statistical Software Components, Boston College Department of Economics
- WHITETST: Stata module to perform White's test for heteroskedasticity
Statistical Software Components, Boston College Department of Economics
- WNTSTMVQ: Stata module to compute multivariate Ljung-Box Q test
Statistical Software Components, Boston College Department of Economics
- cdl-ciders.pl, a script converting XML data to ReDIF
RePEc scripts, RePEc Team
2001
- ARRANGEDAR: RATS procedures to calculate arranged autoregressions
Computational Economics Software Archive, Kluwer Academic Publishers
- DFGLS: Stata module to compute Dickey-Fuller/GLS unit root test
Statistical Software Components, Boston College Department of Economics View citations (1)
- HEGY4: Stata module to compute Hylleberg et al seasonal unit root test
Statistical Software Components, Boston College Department of Economics
- OUTSERIES: Stata module to write timeseries to text files
Statistical Software Components, Boston College Department of Economics
- TOSQL: Stata module to transfer data to SQL database
Statistical Software Components, Boston College Department of Economics
- aer.pl, a script converting XML data to ReDIF
RePEc scripts, RePEc Team
2000
- CUSUM6: Stata module to compute cusum, cusum^2 stability tests
Statistical Software Components, Boston College Department of Economics
- FRACIRF: Stata module to compute impulse response function for fractionally-integrated timeseries
Statistical Software Components, Boston College Department of Economics View citations (2)
- GHISTCUM: Stata module to graph histogram and cumulative distribution
Statistical Software Components, Boston College Department of Economics
- ectj.pl, a script converting html data to ReDIF
RePEc scripts, RePEc Team
- imfocpcvt.pl, a script converting html data to ReDIF
RePEc scripts, RePEc Team
1999
- ARCH: MATLAB function to compute ARCH test
Statistical Software Components, Boston College Department of Economics
- ARCHLM: Stata module to calculate LM test for ARCH effects
Statistical Software Components, Boston College Department of Economics
- ARIMAFIT: Stata module to calculate AIC, SIC for ARIMA model
Statistical Software Components, Boston College Department of Economics
- BPAGAN: Stata module to perform Breusch-Pagan test for heteroskedasticity
Statistical Software Components, Boston College Department of Economics
- CNSRSIG: Stata module to evaluate validity of restrictions on a regression
Statistical Software Components, Boston College Department of Economics
- QSTAT2: MATLAB function to compute Ljung-Box Q statistic
Statistical Software Components, Boston College Department of Economics
- rjeyr.pl, a script converting html data to ReDIF
RePEc scripts, RePEc Team
1998
- GPH_SEAS: RATS module to perform fractional integration of seasonally adjusted timeseries
Statistical Software Components, Boston College Department of Economics
1997
- GPHROB: RATS modules to perform tests for fractional integration of timeseries
Statistical Software Components, Boston College Department of Economics
1996
- ARFIMAFC: RATS modules to forecast fractionally differenced timeseries
Statistical Software Components, Boston College Department of Economics
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