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There are 965 results for: content related to: SEMIPARAMETRIC VECTOR MEM

  1. You have free access to this content
    Identification of Spatial Durbin Panel Models

    Journal of Applied Econometrics

    Volume 31, Issue 1, January/February 2016, Pages: 133–162, Lung-fei Lee and Jihai Yu

    Version of Record online : 20 FEB 2015, DOI: 10.1002/jae.2450

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    A Two-Stage Approach to Spatio-Temporal Analysis with Strong and Weak Cross-Sectional Dependence

    Journal of Applied Econometrics

    Volume 31, Issue 1, January/February 2016, Pages: 249–280, Natalia Bailey, Sean Holly and M. Hashem Pesaran

    Version of Record online : 14 JUN 2015, DOI: 10.1002/jae.2468

  3. Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from A Robust Test

    Journal of Applied Econometrics

    Volume 30, Issue 6, September/October 2015, Pages: 924–947, Efrem Castelnuovo and Luca Fanelli

    Version of Record online : 12 OCT 2014, DOI: 10.1002/jae.2423

  4. Anticipating Long-Term Stock Market Volatility

    Journal of Applied Econometrics

    Volume 30, Issue 7, November/December 2015, Pages: 1090–1114, Christian Conrad and Karin Loch

    Version of Record online : 11 AUG 2014, DOI: 10.1002/jae.2404

  5. Exponent of Cross-Sectional Dependence: Estimation and Inference

    Journal of Applied Econometrics

    Natalia Bailey, George Kapetanios and M. Hashem Pesaran

    Version of Record online : 16 JUL 2015, DOI: 10.1002/jae.2476

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    Firm-Level Productivity Spillovers in China's Chemical Industry: A Spatial Hausman-Taylor Approach

    Journal of Applied Econometrics

    Volume 31, Issue 1, January/February 2016, Pages: 214–248, Badi H. Baltagi, Peter H. Egger and Michaela Kesina

    Version of Record online : 4 MAY 2015, DOI: 10.1002/jae.2460

  7. Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?

    Journal of Applied Econometrics

    Volume 30, Issue 2, March 2015, Pages: 263–290, Nikolaus Hautsch, Lada M. Kyj and Peter Malec

    Version of Record online : 27 NOV 2013, DOI: 10.1002/jae.2361

  8. Error Correction Testing in Panels with Common Stochastic Trends

    Journal of Applied Econometrics

    Christian Gengenbach, Jean-Pierre Urbain and Joakim Westerlund

    Version of Record online : 14 JUL 2015, DOI: 10.1002/jae.2475

  9. EFFICIENT AGGREGATION OF PANEL QUALITATIVE SURVEY DATA

    Journal of Applied Econometrics

    Volume 28, Issue 4, June/July 2013, Pages: 580–603, James Mitchell, Richard J. Smith and Martin R. Weale

    Version of Record online : 17 MAY 2012, DOI: 10.1002/jae.2273

  10. Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models

    Journal of Applied Econometrics

    Jason R. Blevins

    Version of Record online : 16 JUN 2015, DOI: 10.1002/jae.2470

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    Directed Tests of No Cross-Sectional Correlation in Large-N Panel Data Models

    Journal of Applied Econometrics

    Volume 31, Issue 1, January/February 2016, Pages: 4–31, Matei Demetrescu and Ulrich Homm

    Version of Record online : 8 DEC 2015, DOI: 10.1002/jae.2496

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    Panel Data Models with Grouped Factor Structure Under Unknown Group Membership

    Journal of Applied Econometrics

    Volume 31, Issue 1, January/February 2016, Pages: 163–191, Tomohiro Ando and Jushan Bai

    Version of Record online : 21 MAY 2015, DOI: 10.1002/jae.2467

  13. Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts

    Journal of Applied Econometrics

    Volume 31, Issue 3, April/May 2016, Pages: 507–532, Barbara Rossi and Tatevik Sekhposyan

    Version of Record online : 25 JAN 2015, DOI: 10.1002/jae.2440

  14. Bayesian Graphical Models for STructural Vector Autoregressive Processes

    Journal of Applied Econometrics

    Volume 31, Issue 2, March 2016, Pages: 357–386, Daniel Felix Ahelegbey, Monica Billio and Roberto Casarin

    Version of Record online : 11 FEB 2015, DOI: 10.1002/jae.2443

  15. FIRM HETEROGENEITY, PERSISTENT AND TRANSIENT TECHNICAL INEFFICIENCY: A GENERALIZED TRUE RANDOM-EFFECTS model

    Journal of Applied Econometrics

    Volume 29, Issue 1, January/February 2014, Pages: 110–132, Efthymios G. Tsionas and Subal C. Kumbhakar

    Version of Record online : 25 SEP 2012, DOI: 10.1002/jae.2300

  16. Purchasing Power Parity and the Taylor Rule

    Journal of Applied Econometrics

    Volume 30, Issue 6, September/October 2015, Pages: 874–903, Hyeongwoo Kim, Ippei Fujiwara, Bruce E. Hansen and Masao Ogaki

    Version of Record online : 3 APR 2014, DOI: 10.1002/jae.2391

  17. Panicca: Panic on Cross-Section Averages

    Journal of Applied Econometrics

    Simon Reese and Joakim Westerlund

    Version of Record online : 26 AUG 2015, DOI: 10.1002/jae.2487

  18. CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS WITH SKEWNESS AND LEVERAGE EFFECTS

    Journal of Applied Econometrics

    Volume 28, Issue 7, November/December 2013, Pages: 1110–1137, Prosper Dovonon

    Version of Record online : 19 JUN 2012, DOI: 10.1002/jae.2281

  19. Cointegration in Panel Data with Structural Breaks and Cross-Section Dependence

    Journal of Applied Econometrics

    Volume 30, Issue 1, January/February 2015, Pages: 1–23, Anindya Banerjee and Josep Lluís Carrion-i-Silvestre

    Version of Record online : 7 OCT 2013, DOI: 10.1002/jae.2348

  20. REAL-TIME FORECASTING OF INFLATION AND OUTPUT GROWTH WITH AUTOREGRESSIVE MODELS IN THE PRESENCE OF DATA REVISIONS

    Journal of Applied Econometrics

    Volume 28, Issue 3, April/May 2013, Pages: 458–477, Michael P. Clements and Ana Beatriz Galvão

    Version of Record online : 14 MAY 2012, DOI: 10.1002/jae.2274