Cambridge Working Papers in Economics

From Faculty of Economics, University of Cambridge
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0003: Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Michael Binder, C. Hsaio and Mohammad Pesaran

0002: (1) Modelling RETA: A Model of Forward Trading and the Balancing Mechanism AND (2) Rebidding in the Balancing Mechanism: An Economic Analysis

Tanga McDaniel and Richard Green

0001: The Declining Role of the State in Infrastructure Investments in the UK

Michael Pollitt

9921: Inflation Targeting, Transparency and Interest Rate Volatility: Ditching 'Monetary Mystique' in the UK

Charles Nolan and Jagjit Chadha

9920: Monetary Policy Loss Functions: Two Cheers for the Quadratic

P. Schellekens and Jagjit Chadha

9919: On Aggregation of Linear Dynamic Models

Mohammad Pesaran

9918: Non-nested Hypothesis Testing: An Overview

Mohammad Pesaran and Melvyn Weeks

9917: Effective Exchange Rates in Japan, 1879-1938

M. Shimazaki and Solomos Solomou

9916: On the Evolution of Regional Asymmetries

E. Giovannetti

9915: Weather Effects on European Agricultural Output 1850-1913

Solomos Solomou and W. Wu

9914: On Interdependent Supergames: Multimarket Contact, Concavity, and Collusion

Giancarlo Spagnolo

9913: Issue Linkage, Delegation, and International Policy Cooperation

Giancarlo Spagnolo

9912: The Statistical Relationship between Bivariate and Multinomial Choice Models

Melvyn Weeks and C. Orne

9911: Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality

John Knight and S. Satchell

9910: Economic and Statistical Measures of Forecast Accuracy

Clive Granger and Mohammad Pesaran

9909: The Evolution of Portfolio Rules and the Capital Asset Pricing Model

Emanuela Sciubba

9908: Asymmetric Information and Survival in Financial Markets

Emanuela Sciubba

9907: Bounds Testing Approaches to the Analysis of Long-run Relationships

Mohammad Pesaran, Yongcheol Shin and Richard Smith

9906: Model Selection in Threshold Models

George Kapetanios

9905: Threshold Models for Trended Time Series

George Kapetanios

9904: Neglected Heterogeneity and Dynamics in Cross-country Savings Regressions

N. U. Haque, Mohammad Pesaran and Sunil Sharma

9903: Expenditure on Environmentally Sensitive Goods and Services: Household Spending in Europe

J. Kohler, H-J Luhmann and A Wadeskog

9902: Tests of Common Stochastic Trends

Jukka Nyblom and Andrew Harvey

9901: A survey of the liberalisation of public enterprises in the UK since 1979

Michael Pollitt

9826: Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods

Cheng Hsaio, Mohammad Pesaran and A. Kamil Tahmiscioglu

9825: An Empirical Reassessment of Target-zone Nonlinearities

Anthony Garratt, Zacharias Psaradakis and Martin Sola

9824: A Citizen's Pension

Holly Sutherland

9823: A Structural Cointegrating VAR Approach to Macroeconometric Modelling

Anthony Garratt, Kevin Lee, Mohammad Pesaran and Yongcheol Shin

9822: The Good News and the Bad News about Long-run Stock Market Returns

Donald Robertson and Stephen Wright

9821: Statistical Properties of the Sample Semi-variance, with Applications to Emerging Markets' Data

Shaun A Bond and Stephen E Satchell

9820: Monetary Policy, Nominal Interest Rates, and Long-horizon Inflation Uncertainty

Stephen Wright

9819: Utility Functions with Parameters Depending on Initial Wealth

Christian C Pedersen and Stephen E Satchell

9818: Economic Trends and Macroeconomic Policies in Post-revolutionary Iran

Mohammad Pesaran

9817: Recasting Safety Nets: Reforming Social Assistance in Germany, Ireland and the United Kingdom

C. Donoghue and M. Evans

9816: Towards a Two-rate VAT in Italy: Distributional and Welfare Effects

Francesca Gastaldi and Paolo Liberati

9815: Microsimulation and Policy Debate: A Case Study of the Minimum Pension Guarantee in Britain

Anthony Atkinson and Holly Sutherland

9814: Effective Exchange Rates, 1879-1913

Solomos Solomou and Luis Catão

9813: Weather Impacts on the Construction Sector, 1855-1913

Solomos Solomou and W. Wu

9812: A Long-run Structural Macro-econometric Model of the UK

Anthony Garratt, Kevin Lee, Mohammad Pesaran and Yongcheol Shin

9811: Structural Analysis of Cointegrating VARs

Mohammad Pesaran and Ronald Smith

9810: Financial Integration and Monetary Competition

R. Cardarelli and J.-P. Vidal

9809: Economic Integration and Growth under Intergenerational Financing of Human Capital Formation

Philippe Michel and J.-P. Vidal.

9808: Analytical and Numerical Solution of Finite-horizon Nonlinear Rational Expectations Models

Michael Binder, Mohammad Pesaran and Hossein Samiei

9807: Global Equity Styles and Industry Effects: Portfolio Construction via Dummy Variables

G. W. Kuo and S. E. Satchell

9806: Modelling Emerging Market Risk Premia using Higher Moments

Soosung Hwang and S. E. Satchell

9805: Optimal Consumption Decisions under Social Interactions

Michael Binder and Mohammad Pesaran

9804: Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models

Cheng Hsiao, Mohammad Pesaran and A. K. Tahmiscioglu

9803: Cross-sectional Aggregation of Non-linear Models

Kees Jan van Garderen, Kevin Lee and Mohammad Pesaran

9802: Bias Reduction in Estimating Long-run Relationships from Dynamic Heterogenous Panels

Mohammad Pesaran and Z. Zhao

9801: Death and Gender in Victorian England and Wales: Comparisons with Contemporary Developing Countries

K. McNay, J. Humphries and Stephan Klasen