# Econometrics

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- 9812002: Bayesian and Classical Approaches to Instrumental Variables Regression
*Frank Kleibergen* and *Eric Zivot*
- 9812001: Cointegration and Forward and Spot Exchange Rate Regressions
*Eric Zivot*
- 9809001: Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study
*Michael A. Hauser*
- 9808001: Impulse Response Priors for Discriminating Structural Vector Autoregressions
*Mark Dwyer*
- 9805004: On the Estimation of a Linear Time Trend Regression with a One- Way Error Component Model in the Presence of Serially Correlated Errors
*Chihwa Kao* and *Jamie Emerson*
- 9805003: Martingales, Nonlinearity, and Chaos
*William Barnett* and *Apostolos Serletis*
- 9805001: Relative Efficiency with Equivalence Classes of Asymptotic Covariances
*David Mandy* and *Carlos Martins-Filho*
- 9804001: Benchmark Priors for Bayesian Model Averaging
*Carmen Fernandez*, *Eduardo Ley* and *Mark Steel*
- 9802003: An Approximate Wavelet MLE of Short and Long Memory Parameters
*Mark Jensen*
- 9802002: Robust Wald Tests in SUR Systems with Adding Up Restrictions: An Algebraic Approach to Proofs of Invariance
*Surajit Ray*, *B Ravikumar* and *N. Eugene Savin*
- 9802001: MCMC Methods for Fitting and Comparing Multinomial Response Models
*Siddhartha Chib*, *Edward Greenberg* and *Yuxin Chen*
- 9712002: A Monte Carlo Comparison of Tests for Cointegration in Panel Data
*Suzanne McCoskey* and *Chihwa Kao*
- 9712001: Statistical Modeling of Fishing Activities in the North Atlantic
*Carmen Fernandez*, *Eduardo Ley* and *Mark Steel*
- 9711002: A RESIDUAL-BASED TEST OF THE NULL OF COINTEGRATION IN PANEL DATA
*Chihwa Kao* and *Suzanne McCoskey*
- 9711001: Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings
*Francisco Cribari-Neto*, *Mark Jensen* and *Álvaro Novo*
- 9710002: Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter
*Mark Jensen*
- 9710001: Testing between Different Types of Switching Regression Models
*Frieder Knuepling*
- 9709002: An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets
*Mark Jensen*
- 9709001: Nonlinear and Complex Dynamics in Economics
*William Barnett*, *Alfredo Medio* and *Apostolos Serletis*
- 9705001: The Impact of Training on Unemployment Duration in West Germany -Combining a Discrete Hazard Rate Model with Matching Techniques-
*R. Hujer*, *K.-O. Maurer* and *M. Wellner*
- 9704001: Estimating the Effect of Training on Unemployment Duration in West Germany - A Discrete Hazard-Rate Model with Instrumental Variables
*R. Hujer*, *K.-O. Maurer* and *M. Wellner*
- 9703002: Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable
*Chihwa Kao*
- 9703001: On the Estimation and Inference of a Cointegrated Regression in Panel Data
*Chihwa Kao* and *Min-Hsien Chiang*
- 9612007: One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -
*Thomas Kaiser*
- 9612006: Selecting the Number of Replications in a Simulation Study
*Ignacio Dmaz-Emparanza*
- 9612004: Causality Among Sales,Advertising and Prices: New Evidence from a Multivariate Cointegrated System
*Francisco F. R. Ramos*
- 9612002: Valid Confidence Intervals and Inference in the Presence of Weak Instruments
*Charles Nelson*, *Richard Startz* and *Eric Zivot*
- 9612001: The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified
*Eric Zivot*
- 9611005: Statistical Inference of a Bivariate Proportional Hazard Model with Grouped Data
*Mark An*
- 9611004: Using Indirect Inference to Solve the Initial Conditions Problem
*Mark An* and *Ming Liu*
- 9611003: Nonparametric Estimation of a Survivor Function with Across- Interval-Censored Data
*Mark An* and *Roberto Ayala*
- 9611002: A Mixture Model of Willingness to Pay Distributions
*Mark An* and *Roberto Ayala*
- 9611001: Semiparametric Estimation of Willingness to Pay Distributions
*Mark An*
- 9610005: Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments
*Jiahui Wang* and *Eric Zivot*
- 9610004: Distribution of the Least Squares Estimator in a First-Order Autoregressive Model
*Mukhtar M. Ali*
- 9610003: Bootstrap Methods For Covariance Structures
*Joel Horowitz*
- 9610002: STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS
*Sangjoon Kim*, *Neil Shephard* and *Siddhartha Chib*
- 9608004: Bootstrap Methods for Median Regression Models
*Joel Horowitz*
- 9608003: Posterior Simulation and Bayes Factors in Panel Count Data Models
*Siddhartha Chib*, *Edward Greenberg* and *Rainer Winkelmann*
- 9608002: Bayesian Analysis of Multivariate Probit Models
*Siddhartha Chib* and *Edward Greenberg*
- 9608001: A Spline Analysis of the Small Firm Effect: Does Size Really Matter?
*Joel Horowitz*, *Tim Loughran* and *N. E. Savin*
- 9607001: The Liquidity Effect: Testing Identification Conditions Under Time-Varying Conditional Volatility
*Michel Normandin* and *Louis Phaneuf*
- 9606003: Measuring Productivity Differences in Equilibrium Search Models
*Gauthier Lanot* and *George Neumann*
- 9606002: The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models
*N.E. Savin* and *Allan Würtz*
- 9606001: Power of Tests in Binary Response Models
*N.E. Savin* and *Allan Würtz*
- 9605004: Real and Spurious Long Memory Properties of Stock Market Data
*Ignacio Lobato* and *N.E. Savin*
- 9605001: Simulation Methods for Probit and Related Models Based on Convenient Error Partitioning
*Kenneth Train*
- 9604002: The Forecasting Accuracy of Five Time Series Models: Evidence from the Portuguese Car Market
*Francisco F. R. Ramos*
- 9604001: Exact Distribution of the Least Squares Estimator in a First- Order Autoregressive Model
*Mukhtar M. Ali*
- 9603004: Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures
*Simon van Norden* and *Robert Vigfusson*