Details about Ivana Komunjer

Access statistics for papers by Ivana Komunjer.

Last updated 2023-09-12. Update your information in the RePEc Author Service.

Short-id: pko295

Working Papers

2017

1. Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts
   Working Papers, Federal Reserve Bank of St. Louis View citations (5)
   See also Journal Article Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts, Journal of Money, Credit and Banking, Blackwell Publishing (2020) View citations (3) (2020)

2014

2. Minimum Distance Estimation of Dynamic Models with Errors-In-Variables
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (3)

2011

3. Nonparametric Identification and Estimation of Transformation Models
   CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics View citations (3)
   See also Journal Article Nonparametric identification and estimation of transformation models, Journal of Econometrics, Elsevier (2015) View citations (39) (2015)

2010

4. What Goods Do Countries Trade? A Quantitative Exploration of Ricardo's Ideas
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   See also Journal Article What Goods Do Countries Trade? A Quantitative Exploration of Ricardo's Ideas, The Review of Economic Studies, Review of Economic Studies Ltd (2012) View citations (362) (2012)

2009

5. Existence and Uniqueness of Semiparametric Projections
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
6. Semiparametric Estimation of Nonseparable Models: A Minimum Distance from Independence Approach
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
   See also Journal Article Semi-parametric estimation of non-separable models: a minimum distance from independence approach, Econometrics Journal, Royal Economic Society (2010) View citations (5) (2010)

2008

7. Correct Specification and Identification of Nonparametric Transformation Models
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
8. Global Identification In Nonlinear Semiparametric Models
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (2)
   Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2007)
9. Global Identification of the Semiparametric Box-Cox Model
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
   See also Journal Article Global identification of the semiparametric Box-Cox model, Economics Letters, Elsevier (2009) (2009)

2007

10. A Test For Monotone Comparative Statics
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences (2007)
    See also Chapter A Test for Monotone Comparative Statics, Advances in Econometrics, Emerald Group Publishing Limited (2013) (2013)
11. Multivariate Forecast Evaluation And Rationality Testing
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (5)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (3)
    See also Journal Article Multivariate Forecast Evaluation and Rationality Testing, The Review of Economics and Statistics, MIT Press (2012) View citations (48) (2012)
12. What Goods Do Countries Trade? New Ricardian Predictions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2006) View citations (3)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2006) View citations (5)

2006

13. Efficientt Conditional Quantile Estimation: The Time Series Case
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (9)

2005

14. BIASES IN MACROECONOMIC FORECASTS: IRRATIONALITY OR ASYMMETRIC LOSS?
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (9)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (17)
    See also Journal Article Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?, Journal of the European Economic Association, MIT Press (2008) View citations (176) (2008)
15. Testing Models w/ multiple equilibria by quantile methods
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences

2004

16. Asymmetric Power Distribution: Theory and Applications to Risk Measurement
    Econometric Society 2004 Latin American Meetings, Econometric Society
    See also Journal Article Asymmetric power distribution: Theory and applications to risk measurement, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2007) View citations (46) (2007)
17. Testing Models with Multiple Equilibria by Quantile Methods
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (1)
    See also Journal Article Testing Models With Multiple Equilibria by Quantile Methods, Econometrica, Econometric Society (2009) View citations (24) (2009)

2003

18. Estimating Loss Function Parameters
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
19. Evaluation and Combination of Conditional Quantile Forecasts
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (6)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002) View citations (3)
    See also Journal Article Evaluation and Combination of Conditional Quantile Forecasts, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (181) (2005)

2002

20. Quasi-Maximum Likelihood Estimation for Conditional Quantiles
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences
    See also Journal Article Quasi-maximum likelihood estimation for conditional quantiles, Journal of Econometrics, Elsevier (2005) View citations (80) (2005)
21. The Alpha-Quantile Distribution Function and its Applications to Financial Modeling
    Computing in Economics and Finance 2002, Society for Computational Economics

2001

22. Consistent Estimation for Aggregated GARCH
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (3)

Journal Articles

2020

1. Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts
   Journal of Money, Credit and Banking, 2020, 52, (1), 205-228 View citations (3)
   See also Working Paper Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts, Working Papers (2017) View citations (5) (2017)
2. Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models
   Journal of Econometrics, 2020, 218, (2), 561-586 View citations (2)

2017

3. Simulated minimum distance estimation of dynamic models with errors-in-variables
   Journal of Econometrics, 2017, 200, (2), 181-193 View citations (10)

2016

4. EXISTENCE AND CHARACTERIZATION OF CONDITIONAL DENSITY PROJECTIONS
   Econometric Theory, 2016, 32, (4), 947-987 View citations (10)

2015

5. Nonparametric identification and estimation of transformation models
   Journal of Econometrics, 2015, 188, (1), 22-39 View citations (39)
   See also Working Paper Nonparametric Identification and Estimation of Transformation Models, CAM Working Papers (2011) View citations (3) (2011)

2014

6. MEASUREMENT ERRORS IN DYNAMIC MODELS
   Econometric Theory, 2014, 30, (1), 150-175 View citations (11)

2012

7. GLOBAL IDENTIFICATION IN NONLINEAR MODELS WITH MOMENT RESTRICTIONS
   Econometric Theory, 2012, 28, (4), 719-729 View citations (21)
8. Learning from a Piece of Pie
   The Review of Economic Studies, 2012, 79, (1), 162-195 View citations (18)
9. Multivariate Forecast Evaluation and Rationality Testing
   The Review of Economics and Statistics, 2012, 94, (4), 1066-1080 View citations (48)
   See also Working Paper Multivariate Forecast Evaluation And Rationality Testing, University of California at San Diego, Economics Working Paper Series (2007) View citations (5) (2007)
10. What Goods Do Countries Trade? A Quantitative Exploration of Ricardo's Ideas
    The Review of Economic Studies, 2012, 79, (2), 581-608 View citations (362)
    See also Working Paper What Goods Do Countries Trade? A Quantitative Exploration of Ricardo's Ideas, NBER Working Papers (2010) View citations (5) (2010)

2011

11. Dynamic Identification of Dynamic Stochastic General Equilibrium Models
    Econometrica, 2011, 79, (6), 1995-2032 View citations (138)

2010

12. Efficient estimation in dynamic conditional quantile models
    Journal of Econometrics, 2010, 157, (2), 272-285 View citations (10)
13. SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES
    Econometric Theory, 2010, 26, (2), 383-405 View citations (6)
14. Semi-parametric estimation of non-separable models: a minimum distance from independence approach
    Econometrics Journal, 2010, 13, (3), S28-S55 View citations (5)
    See also Working Paper Semiparametric Estimation of Nonseparable Models: A Minimum Distance from Independence Approach, University of California at San Diego, Economics Working Paper Series (2009) (2009)

2009

15. Global identification of the semiparametric Box-Cox model
    Economics Letters, 2009, 104, (2), 53-56
    See also Working Paper Global Identification of the Semiparametric Box-Cox Model, University of California at San Diego, Economics Working Paper Series (2008) (2008)
16. Testing Models With Multiple Equilibria by Quantile Methods
    Econometrica, 2009, 77, (4), 1281-1297 View citations (24)
    See also Working Paper Testing Models with Multiple Equilibria by Quantile Methods, Econometric Society 2004 North American Summer Meetings (2004) View citations (1) (2004)

2008

17. Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
    Journal of the European Economic Association, 2008, 6, (1), 122-157 View citations (176)
    See also Working Paper BIASES IN MACROECONOMIC FORECASTS: IRRATIONALITY OR ASYMMETRIC LOSS?, CAMA Working Papers (2005) View citations (9) (2005)

2007

18. Asymmetric power distribution: Theory and applications to risk measurement
    Journal of Applied Econometrics, 2007, 22, (5), 891-921 View citations (46)
    See also Working Paper Asymmetric Power Distribution: Theory and Applications to Risk Measurement, Econometric Society 2004 Latin American Meetings (2004) (2004)

2005

19. Estimation and Testing of Forecast Rationality under Flexible Loss
    The Review of Economic Studies, 2005, 72, (4), 1107-1125 View citations (230)
20. Evaluation and Combination of Conditional Quantile Forecasts
    Journal of Business & Economic Statistics, 2005, 23, 416-431 View citations (181)
    See also Working Paper Evaluation and Combination of Conditional Quantile Forecasts, Boston College Working Papers in Economics (2003) View citations (6) (2003)
21. Quasi-maximum likelihood estimation for conditional quantiles
    Journal of Econometrics, 2005, 128, (1), 137-164 View citations (80)
    See also Working Paper Quasi-Maximum Likelihood Estimation for Conditional Quantiles, Working Papers (2002) (2002)

Chapters

2013

1. A Test for Monotone Comparative Statics
   A chapter in Structural Econometric Models, 2013, vol. 31, pp 183-232
   See also Working Paper A Test For Monotone Comparative Statics, Department of Economics, UC San Diego (2007) (2007)
2. Quantile Prediction
   Elsevier View citations (5)