EconPapers    
Economics at your fingertips  
 

Details about Roberto S. Mariano

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

Access statistics for papers by Roberto S. Mariano.

Last updated 2023-12-05. Update your information in the RePEc Author Service.

Short-id: pma174


Jump to Journal Articles Books Edited books Chapters

Working Papers

2021

  1. Fighting COVID-19: Patterns in International Data, Expanded
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads

2020

  1. Fighting COVID-19:Performance of Countries in the First Half of 2020
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads
  2. Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)Abstract: We study how the separation of time and risk preferences relates to a behavioral property that generalizes impatience to stochastic environments: Stochastic Impatience. We show that, within a broad class of models, Stochastic Impatience holds if and only if risk aversion is not too high relative to the inverse of the elasticity of intertemporal substitution. In par-ticular, in the models of Epstein and Zin (1989) and Hansen and Sargent (1995), Stochastic Impatience is violated for all commonly used parameters
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads

2009

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

    See also Chapter Misaligned Incentives and Mortgage Lending in Asia, NBER Chapters, National Bureau of Economic Research, Inc (2009) Downloads View citations (1) (2009)

2007

  1. Financial Liberalization and Monetary Policy Cooperation in East Asia
    Working Papers, Singapore Management University, School of Economics Downloads
  2. Financial Liberalization and Monetary Policy Cooperation in East Asia1
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (2)
  3. Markov switching GARCH models of currency turmoil in southeast Asia
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (11)
    See also Journal Article Markov switching GARCH models of currency turmoil in Southeast Asia, Emerging Markets Review, Elsevier (2008) Downloads View citations (25) (2008)

2006

  1. Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (8)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2006) Downloads View citations (9)
    Finance Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (8)
  2. External Debt, Adjustment, and Growth
    Working Papers, Singapore Management University, School of Economics Downloads View citations (5)
    See also Chapter External Debt, Adjustment, and Growth, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2023) Downloads (2023)
  3. Underpriced Default Spread Exacerbates Market Crashes
    Working Papers, Singapore Management University, School of Economics Downloads View citations (4)
    Also in Finance Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (4)

2005

  1. Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
    Working Papers, Singapore Management University, School of Economics Downloads
  2. Sustainable External Debt Levels: Estimates for Selected Asian Countries
    Macroeconomics Working Papers, East Asian Bureau of Economic Research Downloads View citations (1)
    Also in Working Papers, Singapore Management University, School of Economics (2005) Downloads View citations (1)

2004

  1. Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (3)
    Also in Working Papers, Singapore Management University, School of Economics (2004) Downloads View citations (3)

2003

  1. Markov Switching Garch Models of Currency Crises in Southeast Asia
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (9)

1997

  1. Testing under non-standard conditions in frequency domain: with applications to Markov regime-switching models of exchange rates and federal funds rate
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (5)

1994

  1. Comparing Predictive Accuracy
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (28)
    See also Journal Article Comparing Predictive Accuracy, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (412) (2002)

1991

  1. Comparing predictive accuracy I: an asymptotic test
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads View citations (9)

1990

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

1985

  1. FINITE-SAMPLE PROPERTIES OF STOCHASTIC PREDICTORS IN NONLINEAR SYSTEMS: SOME INITIAL RESULTS
    Economic Research Papers, University of Warwick - Department of Economics Downloads
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1985) Downloads

1979

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

1971

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

1970

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

Undated

  1. Lawrence R. Klein’s Principles in Modeling and Contributions in Nowcasting, Real-Time Forecasting, and Machine Learning
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads

Journal Articles

2021

  1. Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)
    Journal of Quantitative Economics, 2021, 19, (1), 383-400 Downloads View citations (1)

2020

  1. Fighting COVID-19: patterns in international data
    Philippine Review of Economics, 2020, 57, (2), 200-223 Downloads
  2. Optimal saving and sustainable foreign debt
    Philippine Review of Economics, 2020, 57, (2), 170-199 Downloads
    See also Chapter Optimal Saving and Sustainable Foreign Debt, World Scientific Book Chapters, 2023, 250-281 (2023) Downloads (2023)

2018

  1. Potential output and output gap estimation models for the Philippines
    Philippine Review of Economics, 2018, 55, (1 and 2), 161-197 Downloads

2012

  1. Statistical tests for multiple forecast comparison
    Journal of Econometrics, 2012, 169, (1), 123-130 Downloads View citations (31)

2010

  1. A Coincident Index, Common Factors, and Monthly Real GDP*
    Oxford Bulletin of Economics and Statistics, 2010, 72, (1), 27-46 Downloads View citations (106)
  2. MONETARY POLICY COOPERATION TO SUPPORT ASIAN ECONOMIC INTEGRATION
    The Singapore Economic Review (SER), 2010, 55, (01), 83-101 Downloads View citations (3)

2009

  1. The NEDA quarterly macroeconomic model: theoretical structure and some empirical results
    Philippine Review of Economics, 2009, 46, (2), 240-260 Downloads View citations (3)

2008

  1. Markov switching GARCH models of currency turmoil in Southeast Asia
    Emerging Markets Review, 2008, 9, (2), 104-128 Downloads View citations (25)
    See also Working Paper Markov switching GARCH models of currency turmoil in southeast Asia, International Finance Discussion Papers (2007) Downloads View citations (11) (2007)

2007

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

2005

  1. Bank lending and real estate in Asia: market optimism and asset bubbles
    Journal of Asian Economics, 2005, 15, (6), 1103-1118 Downloads View citations (19)

2004

  1. Prediction of Currency Crises: Case of Turkey
    Review of Middle East Economics and Finance, 2004, 2, (2), 1-21 Downloads View citations (15)

2003

  1. A new coincident index of business cycles based on monthly and quarterly series
    Journal of Applied Econometrics, 2003, 18, (4), 427-443 Downloads View citations (473)
  2. The Bangko Sentral’s structural long-term inflation forecasting model for the Philippines
    Philippine Review of Economics, 2003, 40, (1), 58-72 Downloads View citations (1)

2002

  1. Comparing Predictive Accuracy
    Journal of Business & Economic Statistics, 2002, 20, (1), 134-44 View citations (412)
    Also in Journal of Business & Economic Statistics, 1995, 13, (3), 253-63 (1995) View citations (4928)

    See also Working Paper Comparing Predictive Accuracy, NBER Technical Working Papers (1994) Downloads View citations (28) (1994)

1998

  1. Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
    Journal of Econometrics, 1998, 83, (1-2), 263-290 Downloads View citations (22)

1997

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

1994

  1. Prediction, Filtering and Smoothing in Non-linear and Non-normal Cases Using Monte Carlo Integration
    Journal of Applied Econometrics, 1994, 9, (2), 163-79 Downloads View citations (13)

1993

  1. Complementarity and Conflict among Population and other Policies: Specifying an Economic-Demographic Model for a Developing Country
    The Pakistan Development Review, 1993, 32, (4), 523-540 Downloads

1989

  1. Measures of Deterministic Prediction Bias in Nonlinear Models
    International Economic Review, 1989, 30, (3), 667-84 Downloads View citations (13)
  2. Predictors in Dynamic Nonlinear Models: Large-Sample Behavior
    Econometric Theory, 1989, 5, (3), 430-452 Downloads View citations (22)

1985

  1. New tests of the life cycle and tax discounting hypotheses
    Journal of Monetary Economics, 1985, 15, (2), 195-215 Downloads View citations (43)

1984

  1. Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System
    Econometrica, 1984, 52, (2), 321-43 Downloads View citations (29)

1983

  1. Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System
    International Economic Review, 1983, 24, (3), 523-36 Downloads View citations (19)

1982

  1. Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
    International Economic Review, 1982, 23, (3), 503-33 Downloads View citations (37)

1977

  1. Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients
    Econometrica, 1977, 45, (2), 487-96 Downloads View citations (7)

1975

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

1973

  1. Approximations to the Distribution Functions of Theil's K-Class Estimators
    Econometrica, 1973, 41, (4), 715-21 Downloads View citations (3)
  2. Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables
    Econometrica, 1973, 41, (1), 67-77 Downloads View citations (6)

1972

  1. The Existence of Moments of the Ordinary Least Squares and Two-Stage Least Squares Estimators
    Econometrica, 1972, 40, (4), 643-52 Downloads View citations (10)

Books

2023

  1. Economic Adjustment and Growth:Theory and Practice
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

Edited books

2008

  1. Econometric Forecasting and High-Frequency Data Analysis
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads
  2. Simulation-based Inference in Econometrics
    Cambridge Books, Cambridge University Press

2000

  1. Simulation-based Inference in Econometrics
    Cambridge Books, Cambridge University Press View citations (145)

Chapters

2023

  1. A Modified Neoclassical Growth Model with Endogenous Labor Participation
    Chapter 3 in Economic Adjustment and Growth Theory and Practice, 2023, pp 44-64 Downloads
  2. Capital and Growth
    Chapter 4 in Economic Adjustment and Growth Theory and Practice, 2023, pp 65-95 Downloads
  3. Does Monetary Policy Matter for Long-Run Growth?
    Chapter 7 in Economic Adjustment and Growth Theory and Practice, 2023, pp 166-196 Downloads
  4. Economic Adjustment and Growth: A Summing Up
    Chapter 11 in Economic Adjustment and Growth Theory and Practice, 2023, pp 282-288 Downloads
  5. External Debt, Adjustment, and Growth
    Chapter 9 in Economic Adjustment and Growth Theory and Practice, 2023, pp 222-249 Downloads
    Also in A chapter in Fiscal Policy and Management in East Asia, 2007, pp 199-221 (2007) Downloads View citations (3)

    See also Working Paper External Debt, Adjustment, and Growth, Singapore Management University, School of Economics (2006) Downloads View citations (5) (2006)
  6. Finance and Endogenous Growth
    Chapter 5 in Economic Adjustment and Growth Theory and Practice, 2023, pp 96-118 Downloads
  7. Openness, Human Development, and Fiscal Policies
    Chapter 6 in Economic Adjustment and Growth Theory and Practice, 2023, pp 119-165 Downloads
  8. Optimal Saving and Sustainable Foreign Debt
    Chapter 10 in Economic Adjustment and Growth Theory and Practice, 2023, pp 250-281 Downloads
    See also Journal Article Optimal saving and sustainable foreign debt, University of the Philippines School of Economics and Philippine Economic Society (2020) Downloads (2020)
  9. Outward-Oriented Trade Policies and Economic Growth
    Chapter 8 in Economic Adjustment and Growth Theory and Practice, 2023, pp 197-221 Downloads
  10. Stabilization Policies and Structural Reforms: The Philippine Case
    Chapter 12 in Economic Adjustment and Growth Theory and Practice, 2023, pp 289-324 Downloads
  11. Testing the Neoclassical Theory of Economic Growth: A Panel Data Approach
    Chapter 2 in Economic Adjustment and Growth Theory and Practice, 2023, pp 10-43 Downloads
  12. The Basic Neoclassical Growth Model: A Review
    Chapter 1 in Economic Adjustment and Growth Theory and Practice, 2023, pp 1-9 Downloads

2018

  1. High-mixed-frequency forecasting models for GDP and inflation
    Chapter 2 in Global Economic Modeling A Volume in Honor of Lawrence R. Klein, 2018, pp 2-29 Downloads View citations (1)

2011

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

2010

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

2009

  1. Misaligned Incentives and Mortgage Lending in Asia
    A chapter in Financial Sector Development in the Pacific Rim, 2009, pp 95-111 Downloads View citations (1)
    See also Working Paper Misaligned Incentives and Mortgage Lending in Asia, East Asian Bureau of Economic Research (2009) Downloads View citations (1) (2009)

2006

  1. Capital Controls, Financial Crises and Cures: Simulations with an Econometric Model for Malaysia
    Chapter 4 in Recent Financial Crises, 2006 Downloads
  2. Monetary policy approaches and implementation in Asia: the Philippines and Indonesia
    A chapter in Monetary policy in Asia: approaches and implementation, 2006, vol. 31, pp 207-226 Downloads View citations (2)

1995

  1. Stochastic Prediction in Dynamic Nonlinear Systems
    A chapter in Economics, Econometrics and the LINK: Essays in Honor of Lawrence R.Klein, 1995, pp 87-101 Downloads
 
Page updated 2024-05-20