Details about Roberto S. Mariano

Workplace:

Bangko Sentral Ng Pilipinas (Central Bank of the Philippines), (more information at EDIRC) 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 2024-07-17. Update your information in the RePEc Author Service.

Short-id: pma174

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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

2020

2. 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
3. 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

2009

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

2007

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

2006

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

2005

11. 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
12. Sustainable External Debt Levels: Estimates for Selected Asian Countries
    Macroeconomics Working Papers, East Asian Bureau of Economic Research View citations (1)
    Also in Working Papers, Singapore Management University, School of Economics (2005) View citations (1)

2004

13. 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) View citations (3)

2003

14. 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 View citations (9)

1997

15. 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 View citations (5)

1994

16. Comparing Predictive Accuracy
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (30)
    See also Journal Article Comparing Predictive Accuracy, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (492) (2002)

1991

17. Comparing predictive accuracy I: an asymptotic test
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (10)

1990

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

1985

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

1979

20. Large Sample Asymptotic Expansions for General Linear Simultaneous Systems Under Misspecification
    UP School of Economics Discussion Papers, University of the Philippines School of Economics
21. 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

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

1970

23. 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
24. 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
25. 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
26. 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

27. 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

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 View citations (2)

2020

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

2018

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

2012

5. Statistical tests for multiple forecast comparison
   Journal of Econometrics, 2012, 169, (1), 123-130 View citations (35)

2010

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

2009

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

2008

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

2007

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

2005

11. Bank lending and real estate in Asia: market optimism and asset bubbles
    Journal of Asian Economics, 2005, 15, (6), 1103-1118 View citations (20)

2004

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

2003

13. A new coincident index of business cycles based on monthly and quarterly series
    Journal of Applied Econometrics, 2003, 18, (4), 427-443 View citations (489)
14. The Bangko Sentral’s structural long-term inflation forecasting model for the Philippines
    Philippine Review of Economics, 2003, 40, (1), 58-72 View citations (1)

2002

15. Comparing Predictive Accuracy
    Journal of Business & Economic Statistics, 2002, 20, (1), 134-44 View citations (492)
    Also in Journal of Business & Economic Statistics, 1995, 13, (3), 253-63 (1995) View citations (5145)
    See also Working Paper Comparing Predictive Accuracy, NBER Technical Working Papers (1994) View citations (30) (1994)

1998

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

1997

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

1994

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

1993

19. 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

1989

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

1985

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

1984

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

1983

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

1982

25. Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
    International Economic Review, 1982, 23, (3), 503-33 View citations (38)

1977

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

1975

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

1973

28. Approximations to the Distribution Functions of Theil's K-Class Estimators
    Econometrica, 1973, 41, (4), 715-21 View citations (3)
29. 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 View citations (6)

1972

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

Books

2023

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

Edited books

2008

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

2000

3. 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
2. Capital and Growth
   Chapter 4 in Economic Adjustment and Growth Theory and Practice, 2023, pp 65-95
3. Does Monetary Policy Matter for Long-Run Growth?
   Chapter 7 in Economic Adjustment and Growth Theory and Practice, 2023, pp 166-196
4. Economic Adjustment and Growth: A Summing Up
   Chapter 11 in Economic Adjustment and Growth Theory and Practice, 2023, pp 282-288
5. External Debt, Adjustment, and Growth
   Chapter 9 in Economic Adjustment and Growth Theory and Practice, 2023, pp 222-249
   Also in A chapter in Fiscal Policy and Management in East Asia, 2007, pp 199-221 (2007) View citations (3)
   See also Working Paper External Debt, Adjustment, and Growth, Singapore Management University, School of Economics (2006) View citations (5) (2006)
6. Finance and Endogenous Growth
   Chapter 5 in Economic Adjustment and Growth Theory and Practice, 2023, pp 96-118
7. Openness, Human Development, and Fiscal Policies
   Chapter 6 in Economic Adjustment and Growth Theory and Practice, 2023, pp 119-165
8. Optimal Saving and Sustainable Foreign Debt
   Chapter 10 in Economic Adjustment and Growth Theory and Practice, 2023, pp 250-281
   See also Journal Article Optimal saving and sustainable foreign debt, University of the Philippines School of Economics and Philippine Economic Society (2020) (2020)
9. Outward-Oriented Trade Policies and Economic Growth
   Chapter 8 in Economic Adjustment and Growth Theory and Practice, 2023, pp 197-221
10. Stabilization Policies and Structural Reforms: The Philippine Case
    Chapter 12 in Economic Adjustment and Growth Theory and Practice, 2023, pp 289-324
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
12. The Basic Neoclassical Growth Model: A Review
    Chapter 1 in Economic Adjustment and Growth Theory and Practice, 2023, pp 1-9

2018

13. 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 View citations (1)

2011

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

2010

16. 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
17. 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

2009

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

2006

19. Capital Controls, Financial Crises and Cures: Simulations with an Econometric Model for Malaysia
    Chapter 4 in Recent Financial Crises, 2006
20. 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 View citations (3)

1995

21. 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