Details about Roberto S. Mariano
Access statistics for papers by Roberto S. Mariano.
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Short-id: pma174
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Working Papers
2021
- Fighting COVID-19: Patterns in International Data, Expanded
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
2020
- 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
- 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
- Misaligned Incentives and Mortgage Lending in Asia
Microeconomics Working Papers, East Asian Bureau of Economic Research View citations (1)
Also in Working Papers, Singapore Management University, School of Economics (2009)  Working Paper, USC Lusk Center for Real Estate (2007) 
See also Chapter Misaligned Incentives and Mortgage Lending in Asia, NBER Chapters, National Bureau of Economic Research, Inc (2009) View citations (1) (2009)
2007
- Financial Liberalization and Monetary Policy Cooperation in East Asia
Working Papers, Singapore Management University, School of Economics
- Financial Liberalization and Monetary Policy Cooperation in East Asia1
Finance Working Papers, East Asian Bureau of Economic Research View citations (2)
- 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
- 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)
- 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)
- 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
- 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
- Sustainable External Debt Levels: Estimates for Selected Asian Countries
Working Papers, Singapore Management University, School of Economics View citations (1)
Also in Macroeconomics Working Papers, East Asian Bureau of Economic Research (2005) View citations (1)
2004
- 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
- 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
- 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
- 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 (484) (2002)
1991
- Comparing predictive accuracy I: an asymptotic test
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (10)
1990
- The PIDS-NEDA Annual Macroeconometric Model, Version 1989: A Summary
Working Papers, Philippine Institute for Development Studies View citations (1)
1985
- 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
- Large Sample Asymptotic Expansions for General Linear Simultaneous Systems Under Misspecification
UP School of Economics Discussion Papers, University of the Philippines School of Economics
- 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
- A Macro-Economic Model of the Philippines, 1950-1969
UP School of Economics Discussion Papers, University of the Philippines School of Economics
1970
- 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
- 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
- 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
- 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
- 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
- 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
- Fighting COVID-19: patterns in international data
Philippine Review of Economics, 2020, 57, (2), 200-223
- 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
- Potential output and output gap estimation models for the Philippines
Philippine Review of Economics, 2018, 55, (1 and 2), 161-197
2012
- Statistical tests for multiple forecast comparison
Journal of Econometrics, 2012, 169, (1), 123-130 View citations (35)
2010
- A Coincident Index, Common Factors, and Monthly Real GDP*
Oxford Bulletin of Economics and Statistics, 2010, 72, (1), 27-46 View citations (106)
- MONETARY POLICY COOPERATION TO SUPPORT ASIAN ECONOMIC INTEGRATION
The Singapore Economic Review (SER), 2010, 55, (01), 83-101 View citations (3)
2009
- The NEDA quarterly macroeconomic model: theoretical structure and some empirical results
Philippine Review of Economics, 2009, 46, (2), 240-260 View citations (3)
2008
- 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
- 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
- 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
- Prediction of Currency Crises: Case of Turkey
Review of Middle East Economics and Finance, 2004, 2, (2), 1-21 View citations (15)
2003
- A new coincident index of business cycles based on monthly and quarterly series
Journal of Applied Econometrics, 2003, 18, (4), 427-443 View citations (487)
- 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
- Comparing Predictive Accuracy
Journal of Business & Economic Statistics, 2002, 20, (1), 134-44 View citations (484)
Also in Journal of Business & Economic Statistics, 1995, 13, (3), 253-63 (1995) View citations (5124)
See also Working Paper Comparing Predictive Accuracy, NBER Technical Working Papers (1994) View citations (30) (1994)
1998
- Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
Journal of Econometrics, 1998, 83, (1-2), 263-290 View citations (22)
1997
- 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
- 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
- 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
- Measures of Deterministic Prediction Bias in Nonlinear Models
International Economic Review, 1989, 30, (3), 667-84 View citations (13)
- Predictors in Dynamic Nonlinear Models: Large-Sample Behavior
Econometric Theory, 1989, 5, (3), 430-452 View citations (22)
1985
- New tests of the life cycle and tax discounting hypotheses
Journal of Monetary Economics, 1985, 15, (2), 195-215 View citations (43)
1984
- Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System
Econometrica, 1984, 52, (2), 321-43 View citations (29)
1983
- Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System
International Economic Review, 1983, 24, (3), 523-36 View citations (19)
1982
- Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
International Economic Review, 1982, 23, (3), 503-33 View citations (38)
1977
- Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients
Econometrica, 1977, 45, (2), 487-96 View citations (7)
1975
- Some large-concentration-parameter asymptotics for the k-class estimators
Journal of Econometrics, 1975, 3, (2), 171-177 View citations (1)
1973
- Approximations to the Distribution Functions of Theil's K-Class Estimators
Econometrica, 1973, 41, (4), 715-21 View citations (3)
- 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
- 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
- Economic Adjustment and Growth:Theory and Practice
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
Edited books
2008
- Econometric Forecasting and High-Frequency Data Analysis
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
- Simulation-based Inference in Econometrics
Cambridge Books, Cambridge University Press
2000
- Simulation-based Inference in Econometrics
Cambridge Books, Cambridge University Press View citations (145)
Chapters
2023
- A Modified Neoclassical Growth Model with Endogenous Labor Participation
Chapter 3 in Economic Adjustment and Growth Theory and Practice, 2023, pp 44-64
- Capital and Growth
Chapter 4 in Economic Adjustment and Growth Theory and Practice, 2023, pp 65-95
- Does Monetary Policy Matter for Long-Run Growth?
Chapter 7 in Economic Adjustment and Growth Theory and Practice, 2023, pp 166-196
- Economic Adjustment and Growth: A Summing Up
Chapter 11 in Economic Adjustment and Growth Theory and Practice, 2023, pp 282-288
- 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)
- Finance and Endogenous Growth
Chapter 5 in Economic Adjustment and Growth Theory and Practice, 2023, pp 96-118
- Openness, Human Development, and Fiscal Policies
Chapter 6 in Economic Adjustment and Growth Theory and Practice, 2023, pp 119-165
- 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)
- Outward-Oriented Trade Policies and Economic Growth
Chapter 8 in Economic Adjustment and Growth Theory and Practice, 2023, pp 197-221
- Stabilization Policies and Structural Reforms: The Philippine Case
Chapter 12 in Economic Adjustment and Growth Theory and Practice, 2023, pp 289-324
- 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
- The Basic Neoclassical Growth Model: A Review
Chapter 1 in Economic Adjustment and Growth Theory and Practice, 2023, pp 1-9
2018
- 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
- Comment on "Commodity Prices, Commodity Currencies, and Global Economic Developments"
A chapter in Commodity Prices and Markets, 2011, pp 44-46
- Comment on "The Consumption Terms of Trade and Commodity Prices"
A chapter in Commodity Prices and Markets, 2011, pp 145-146
2010
- 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
- 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
- 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
- Capital Controls, Financial Crises and Cures: Simulations with an Econometric Model for Malaysia
Chapter 4 in Recent Financial Crises, 2006
- 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
- 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
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