Details about Kaddour Hadri

Access statistics for papers by Kaddour Hadri.

Last updated 2021-03-18. Update your information in the RePEc Author Service.

Short-id: pha377

Working Papers

2020

1. Diffusion Copulas: Identification and Estimation
   Papers, arXiv.org
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018)
   Working Papers, University of Liverpool, Department of Economics (2018)
   See also Journal Article Diffusion copulas: Identification and estimation, Journal of Econometrics, Elsevier (2021) (2021)

2014

2. Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed
   Economics Working Papers, Queen's Management School, Queen's University Belfast
   Also in Discussion Papers, Graduate School of Economics, Hitotsubashi University (2013)
   See also Journal Article Novel panel cointegration tests emending for cross‐section dependence with N fixed, Econometrics Journal, Royal Economic Society (2015) View citations (6) (2015)
3. Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates
   Economics Working Papers, Queen's Management School, Queen's University Belfast
   See also Journal Article Reducible diffusions with time-varying transformations with application to short-term interest rates, Economic Modelling, Elsevier (2016) View citations (5) (2016)

2013

4. Breaking the Dynamic of Relative Primary Commodity Prices in Levels and Volatilities since 1650
   Economics Working Papers, Queen's Management School, Queen's University Belfast View citations (3)
5. Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data
   Economics Working Papers, Queen's Management School, Queen's University Belfast View citations (1)
   Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2012)
6. Testing the Prebisch-Singer Hypothesis Since 1650: Evidence from panel techniques that allow for multiple breaks
   OxCarre Working Papers, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford View citations (38)
   Also in IMF Working Papers, International Monetary Fund (2013) View citations (14)
   See also Journal Article Testing the Prebisch–Singer hypothesis since 1650: Evidence from panel techniques that allow for multiple breaks, Journal of International Money and Finance, Elsevier (2014) View citations (43) (2014)

2012

7. Breaking the Prebish Singer Hypothesis using Panel Data Stationarity Tests
   Economics Working Papers, Queen's Management School, Queen's University Belfast View citations (7)

2011

8. A Locally Optimal Test for No Unit Root in Cross-Sectionally Dependent Panel Data
   Economics Working Papers, Queen's Management School, Queen's University Belfast View citations (10)
   See also Journal Article A Locally Optimal Test for No Unit Root in Cross-sectionally Dependent Panel Data, Hitotsubashi Journal of Economics, Hitotsubashi University (2011) View citations (10) (2011)
9. A Simple Panel Stationarity Test in the Presence of Serial Correlation and a Common Factor
   Economics Working Papers, Queen's Management School, Queen's University Belfast
   See also Journal Article A simple panel stationarity test in the presence of serial correlation and a common factor, Economics Letters, Elsevier (2012) View citations (54) (2012)

2010

10. Testing For Stationarity With a Break in Panels Where the Time Dimension is Finite
    Economics Working Papers, Queen's Management School, Queen's University Belfast
    See also Journal Article TESTING FOR STATIONARITY WITH A BREAK IN PANELS WHERE THE TIME DIMENSION IS FINITE, Bulletin of Economic Research, Wiley Blackwell (2012) View citations (9) (2012)
11. What Can We Learn From Primary Commodity Prices Series Which Is Useful To Policymakers In Resource-Rich Countries?
    Economics Working Papers, Queen's Management School, Queen's University Belfast View citations (2)

2009

12. A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence
    Economics Working Papers, Queen's Management School, Queen's University Belfast View citations (4)
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2008) View citations (8)
    CCES Discussion Paper Series, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University (2008) View citations (11)
13. Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations
    Working Papers, HAL
14. Modelling Multivariate Interest Rates using Time-Varying Copulas and Reducible Non-Linear Stochastic Differential
    Economics Working Papers, Queen's Management School, Queen's University Belfast

2006

15. Conditional Maximum Likelihood Estimation of Higher-Order Integer-Valued Autoregressive Processes
    Working Papers, University of Liverpool, Department of Economics View citations (2)
16. KPSS Test and Model Misspecifications
    Working Papers, University of Liverpool, Department of Economics
    See also Journal Article KPSS test and model misspecifications, Applied Economics Letters, Taylor & Francis Journals (2009) View citations (1) (2009)
17. Panel Stationarity Test with Structural Breaks
    Working Papers, University of Liverpool, Department of Economics View citations (3)
    See also Journal Article Panel Stationarity Test with Structural Breaks*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2008) View citations (64) (2008)

2005

18. Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options
    Working Papers, University of Liverpool, Department of Economics

2003

19. Forecasting Value at Risk in Emerging Arab Stock Markets
    Discussion Papers, University of Exeter, Department of Economics

2002

20. Which Type of Central Bank Smooths the Political Business Cycle?
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (1)

1999

21. Backpropagation Neural Network versus Translog Model in Stochastic Frontiers: a Note Carlo Compatrison
    Discussion Papers, University of Exeter, Department of Economics View citations (2)
22. Doubly Heteroscedastic Stochastic Production Frontiers With Technical Inefficiency Effects. Application To Panel Data Of English Cereal Farms
    Working Papers, University of Liverpool, Department of Economics
23. Effects of Rationing On Consumer Behaviour In Chinese Urban Households
    Working Papers, University of Liverpool, Department of Economics
    Also in Discussion Papers, University of Exeter, Department of Economics (1999)
24. Forecasting Volatility With Asymmetric Conditional Models: Evidence From Emerging Arab Stock Markets
    Working Papers, University of Liverpool, Department of Economics
25. Heteroscedasticity in Stochastic Frontier Models: a Monte Carlo Analysis
    Discussion Papers, University of Exeter, Department of Economics View citations (7)
26. Testing For Stationarity In Heterogeneous Panel Data
    Working Papers, University of Liverpool, Department of Economics View citations (141)
    See also Journal Article Testing for stationarity in heterogeneous panel data, Econometrics Journal, Royal Economic Society (2000) View citations (1369) (2000)
27. Testing The Null Hypothesis Of Stationarity Against The Alternative Of A Unit Root In Panel Data With Serially Correlated Errors
    Working Papers, University of Liverpool, Department of Economics View citations (30)
28. The Accuracy of the Higher Order Bias Approximation for the 2SLS Estimator
    Discussion Papers, University of Exeter, Department of Economics View citations (4)
    See also Journal Article The accuracy of the higher order bias approximation for the 2SLS estimator, Economics Letters, Elsevier (1999) View citations (5) (1999)

1998

29. Doubly Heteroscedastic Stochastic Production Frontiers with an English Cere al Farms
    Discussion Papers, University of Exeter, Department of Economics View citations (1)

1996

30. Chinese emprical evidence on the linear and quadratic expenditure systems
    Discussion Papers, University of Exeter, Department of Economics View citations (1)

1995

31. Bias Nonmonotonicity in Stochastic Difference Equations
    Discussion Papers, University of Exeter, Department of Economics
    Also in Discussion Papers, Department of Economics, University of York View citations (2)
32. Efficiency, environmental Contaminants and Farm Size: Testing for Links Using Stochastic Production Frontiers
    Discussion Papers, University of Exeter, Department of Economics
    See also Journal Article Efficiency, Environmental Contaminants and Farm Size: Testing for Links Using Stochastic Production Frontiers, Journal of Applied Economics, Universidad del CEMA (1999) View citations (12) (1999)

1994

33. The Asymptotic Influence of VAR Dimension on Estimator Biases
    Discussion Papers, University of Exeter, Department of Economics

Undated

34. The Influence of VAR Dimensions on Estimator Biases
    Discussion Papers, Department of Economics, University of York View citations (10)
    See also Journal Article The Influence of VAR Dimensions on Estimator Biases, Econometrica, Econometric Society (1999) View citations (42) (1999)

Journal Articles

2021

1. Diffusion copulas: Identification and estimation
   Journal of Econometrics, 2021, 221, (2), 616-643
   See also Working Paper Diffusion Copulas: Identification and Estimation, Papers (2020) (2020)

2017

2. Specification analysis in regime-switching continuous-time diffusion models for market volatility
   Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 65-80 View citations (2)

2016

3. Reducible diffusions with time-varying transformations with application to short-term interest rates
   Economic Modelling, 2016, 52, (PA), 266-277 View citations (5)
   See also Working Paper Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates, Economics Working Papers (2014) (2014)

2015

4. Novel panel cointegration tests emending for cross‐section dependence with N fixed
   Econometrics Journal, 2015, 18, (3), 363-411 View citations (6)
   See also Working Paper Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed, Economics Working Papers (2014) (2014)
5. Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests
   Manchester School, 2015, 83, (6), 676-700 View citations (1)

2014

6. Testing the Prebisch–Singer hypothesis since 1650: Evidence from panel techniques that allow for multiple breaks
   Journal of International Money and Finance, 2014, 42, (C), 208-223 View citations (43)
   See also Working Paper Testing the Prebisch-Singer Hypothesis Since 1650: Evidence from panel techniques that allow for multiple breaks, OxCarre Working Papers (2013) View citations (38) (2013)

2012

7. A simple panel stationarity test in the presence of serial correlation and a common factor
   Economics Letters, 2012, 115, (1), 31-34 View citations (54)
   See also Working Paper A Simple Panel Stationarity Test in the Presence of Serial Correlation and a Common Factor, Economics Working Papers (2011) (2011)
8. TESTING FOR STATIONARITY WITH A BREAK IN PANELS WHERE THE TIME DIMENSION IS FINITE
   Bulletin of Economic Research, 2012, 64, (Supplement 1), s123-s148 View citations (9)
   See also Working Paper Testing For Stationarity With a Break in Panels Where the Time Dimension is Finite, Economics Working Papers (2010) (2010)
9. Testing the Prebish–Singer hypothesis using second-generation panel data stationarity tests with a break
   Economics Letters, 2012, 117, (3), 814-816 View citations (11)

2011

10. A Locally Optimal Test for No Unit Root in Cross-sectionally Dependent Panel Data
    Hitotsubashi Journal of Economics, 2011, 52, (2), 165-184 View citations (10)
    See also Working Paper A Locally Optimal Test for No Unit Root in Cross-Sectionally Dependent Panel Data, Economics Working Papers (2011) View citations (10) (2011)
11. Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations
    Journal of Financial Econometrics, 2011, 9, (1), 198-236 View citations (19)

2010

12. PANEL DATA UNIT ROOT TEST WITH FIXED TIME DIMENSION
    Bulletin of Economic Research, 2010, 62, (3), 269-277 View citations (1)
13. TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION
    Bulletin of Economic Research, 2010, 62, (3), 209-225 View citations (3)

2009

14. ARE OECD MACROECONOMIC VARIABLES TREND STATIONARY? EVIDENCE FROM PANEL STATIONARITY TESTS ALLOWING FOR A STRUCTURAL BREAK AND CROSS-SECTIONAL DEPENDENCE
    The Singapore Economic Review (SER), 2009, 54, (03), 427-440 View citations (2)
15. KPSS test and model misspecifications
    Applied Economics Letters, 2009, 16, (12), 1187-1190 View citations (1)
    See also Working Paper KPSS Test and Model Misspecifications, Working Papers (2006) (2006)
16. Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
    Econometrics Journal, 2009, 12, (2), 340-366 View citations (25)

2008

17. Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes
    Journal of Time Series Analysis, 2008, 29, (6), 973-994 View citations (13)
18. Panel Stationarity Test with Structural Breaks*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (2), 245-269 View citations (64)
    See also Working Paper Panel Stationarity Test with Structural Breaks, Working Papers (2006) View citations (3) (2006)

2007

19. Estimating option implied risk-neutral densities using spline and hypergeometric functions
    Econometrics Journal, 2007, 10, (2), 216-244 View citations (27)

2005

20. Testing for stationarity in heterogeneous panel data where the time dimension is finite
    Econometrics Journal, 2005, 8, (1), 55-69 View citations (53)

2003

21. Estimating Farm Efficiency in the Presence of Double Heteroscedasticity Using Panel Data
    Journal of Applied Economics, 2003, 06, (2), 14 View citations (16)
    Also in Journal of Applied Economics, 2003, 6, 255-268 (2003) View citations (16)
22. Estimation of technical inefficiency effects using panel data and doubly heteroscedastic stochastic production frontiers
    Empirical Economics, 2003, 28, (1), 203-222 View citations (35)
23. Political Business Cycles and Central Bank Independence
    Economic Journal, 2003, 113, (486), C167-C181 View citations (17)
24. Rejoinder to Comment by Doornik, Nielsen, and Rothenberg
    Econometrica, 2003, 71, (1), 385-386

2000

25. Is More Information a Good Thing? Bias Nonmonotonicity in Stochastic Difference Equations
    Bulletin of Economic Research, 2000, 52, (2), 91-100 View citations (8)
26. Testing for stationarity in heterogeneous panel data
    Econometrics Journal, 2000, 3, (2), 148-161 View citations (1369)
    See also Working Paper Testing For Stationarity In Heterogeneous Panel Data, Working Papers (1999) View citations (141) (1999)

1999

27. Efficiency, Environmental Contaminants and Farm Size: Testing for Links Using Stochastic Production Frontiers
    Journal of Applied Economics, 1999, 2, 337-356 View citations (12)
    See also Working Paper Efficiency, environmental Contaminants and Farm Size: Testing for Links Using Stochastic Production Frontiers, Discussion Papers (1995) (1995)
28. Estimation of a Doubly Heteroscedastic Stochastic Frontier Cost Function
    Journal of Business & Economic Statistics, 1999, 17, (3), 359-63 View citations (104)
29. The Influence of VAR Dimensions on Estimator Biases
    Econometrica, 1999, 67, (1), 163-182 View citations (42)
    See also Working Paper The Influence of VAR Dimensions on Estimator Biases, Discussion Papers View citations (10)
30. The accuracy of the higher order bias approximation for the 2SLS estimator
    Economics Letters, 1999, 62, (2), 167-174 View citations (5)
    See also Working Paper The Accuracy of the Higher Order Bias Approximation for the 2SLS Estimator, Discussion Papers (1999) View citations (4) (1999)

1998

31. Does Central Bank Independence Smooth the Political Business Cycle in Inflation? Some OECD Evidence
    The Manchester School of Economic & Social Studies, 1998, 66, (4), 377-95 View citations (8)

1997

32. A frontier approach to disequilibrium models
    Applied Economics Letters, 1997, 4, (11), 699-701 View citations (3)

1996

33. A note on Sargan densities
    Journal of Econometrics, 1996, 71, (1-2), 285-290 View citations (4)

Edited books

2014

1. Econometric Methods and Their Applications in Finance, Macro and Related Fields
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (3)

Chapters

2014

1. Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-based Multivariate Approach
   Chapter 1 in Econometric Methods and Their Applications in Finance, Macro and Related Fields, 2014, pp 5-29