Browse by JEL codes

A

Alessi, Lucia, Barigozzi, Matteo and Capasso, Marco (2009) Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors. European Central Bank working paper series. European Central Bank, Frankfurt, Germany.

Alessi, Lucia, Barigozzi, Matteo and Capasso, Marco (2007) Generalized dynamic factor model + GARCH: exploiting multivariant information for univariate prediction. LEM working paper series (2006/13). Laboratory of Economics and Management (LEM), Pisa, Italy.

B

Barigozzi, Matteo, Halbleib-Chiriac, Roxana and Veredas, David (2012) Which model to match? Working paper (4). European Center for Advanced Research in Economics and Statistics, Bruxelles, Belgium.

Barigozzi, Matteo and Moneta, Alessio (2016) Identifying the independent sources of consumption variation. Journal of Applied Economics, 31 (2). pp. 420-449. ISSN 1514-0326

Barigozzi, Matteo and Moneta, Alessio (2011) The rank of a system of Engel curves: how many common factors? Papers on economics and evolution (1101). Max Planck Institute of Economics, Jena, Germany.

Blake, David (2002) The impact of wealth on consumption and retirement behaviour in the UK. Financial Markets Group Discussion Papers (429). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Bryzgalova, Svetlana, Huang, Jiantao and Julliard, Christian ORCID: 0000-0001-8177-7441 (2020) Bayesian solutions for the factor zoo: we just ran two quadrillion models. Systemic Risk Centre Discussion Papers (93). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

C

Cantore, Cristiano, Ferroni, Filippo and León-Ledesma, Miguel A. (2018) The missing link: monetary policy and the labor share. CFM Discussion Paper Series (CFM-DP2018-29). Centre For Macroeconomics, London, UK.

Chadha, Jagjit S. and Shibayama, Katsuyuki (2018) Bayesian estimation of DSGE models: identification using a diagnostic indicator. CFM Discussion Paper Series (CFM-DP2018-25). Centre For Macroeconomics, London School of Economics and Political Science, London, UK.

Chen, Xiaohong, Fan, Yanqin and Patton, Andrew J. (2004) Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates. Financial Markets Group Discussion Papers (483). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Chernov, Mikhail (2003) Alternative models for stock price dynamics. Journal of Econometrics, 116 (1-2). pp. 225-257. ISSN 0304-4076

Chernov, Mikhail (2003) Empirical reverse engineering of the pricing kernel. Journal of Econometrics, 116 (1-2). pp. 329-364. ISSN 0304-4076

Chernov, Mikhail and Ghysels, Eric (2000) A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation. Journal of Financial Economics, 56 (3). pp. 407-458. ISSN 0304-405X

Chiu, Ching-Wai (Jeremy), Mumtaz, Haroon and Pinter, Gabor (2016) VAR models with non-Gaussian shocks. CFM discussion paper series (CFM-DP2016-09). Centre For Macroeconomics, London, UK.

Cortes, Fabio, Lindner, Peter, Malik, Sheheryar and Segoviano, Miguel (2018) A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN). Systemic Risk Centre Discussion Papers (80). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

D

Den Haan, Wouter J. ORCID: 0000-0001-6214-8156 and Drechsel, Thomas (2018) Agnostic structural disturbances (ASDs): detecting and reducing misspecification in empirical macroeconomic models. CFM Discussion Paper Series (CFM-DP2018-26). Centre For Macroeconomics, London School of Economics and Political Science, London, UK.

Den Haan, Wouter J. ORCID: 0000-0001-6214-8156 and Drechsel, Thomas (2020) Agnostic structural disturbances (ASDs): detecting and reducing misspecification in empirical macroeconomic models. Journal of Monetary Economics. pp. 1-26. ISSN 0304-3932

Donkers, Bas and Schafgans, Marcia M. A. ORCID: 0009-0002-1015-3548 (2005) A method of moments estimator for semiparametric index models. Econometrics Papers (EM/2005/493). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Dridi, Ramdan (2000) Simulated asymptotic least squares theory. EM (396). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Dridi, Ramdan and Renault, Eric (2000) Semi-parametric indirect inference. EM (392). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Duca, John V., Muellbauer, John and Murphy, Anthony (2011) House prices and credit constraints: making sense of the U.S. experience. SERC Discussion Papers (SERCDP0077). Spatial Economics Research Centre (SERC), London School of Economics and Political Science, London, UK.

Duca, John V., Muellbauer, John and Murphy, Anthony (2011) Shifting credit standards and the boom and bust in U.S. house prices. SERC Discussion Papers (SERCDP0076). Spatial Economics Research Centre (SERC), London School of Economics and Political Science, London, UK.

G

Gerba, Eddie and Hauzenberger, Klemens (2013) Estimating US fiscal and monetary interactions in a time varying VAR. School of Economics discussion paper (KDPE 1303). University of Kent, Canterbury, UK.

Ghosh, Anisha, Julliard, Christian ORCID: 0000-0001-8177-7441 and Taylor, Alex (2011) What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models. Financial Markets Group Discussion Papers (691). Financial Markets Group, The London School of Economics and Political Science, London, UK.

H

Hajivassiliou, Vassilis ORCID: 0009-0000-7041-0791 (2019) Estimation and specification testing of panel data models with non-ignorable persistent heterogeneity, contemporaneous and intertemporal simultaneity and observable and unobservable dynamics. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hajivassiliou, Vassilis ORCID: 0009-0000-7041-0791 (2019) Switching regressions with imperfect regime classification information: theory and applications. STICERD Econometrics Papers (610). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hajivassiliou, Vassilis ORCID: 0009-0000-7041-0791 and Savignac, Frédérique (2007) Financing constraints and a firm's decision and ability to innovate: establishing direct and reverse effects. . Financial Markets Group, The London School of Economics and Political Science, London, UK.

Hajivassiliou, Vassilis ORCID: 0009-0000-7041-0791 and Savignac, Frédérique (2019) Novel approaches to coherency conditions in dynamic LDV models: quantifying financing constraints and a firm's decision and ability to innovate. Econometrics Papers (606). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hajivassiliou, Vassilis ORCID: 0009-0000-7041-0791 and Savignac, Frédérique (2024) Simultaneously incomplete and incoherent (SII) dynamic LDV models: with an application to financing constraints and firms’ decision to innovate. Journal of Econometrics, 238 (1). ISSN 0304-4076

Hérault, Nicolas and Jenkins, Stephen P. ORCID: 0000-0002-8305-9774 (2019) How valid are synthetic panel estimates of poverty dynamics? Journal of Economic Inequality, 17 (1). pp. 51-76. ISSN 1569-1721

L

Linton, Oliver, Song, Kyungchul and Whang, Yoon-Jae (2008) Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary. Econometrics Papers (EM/2008/527). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Lleo, Sebastien and Ziemba, Bill (2015) The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis. Special Papers (No 8). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

M

Machin, Stephen ORCID: 0009-0004-8130-2701, McNally, Sandra ORCID: 0000-0003-2332-9709 and Meghir, Costas (2004) Improving pupil performance in English secondary schools: excellence in cities. Journal of the European Economic Association, 2 (2-3). pp. 396-405. ISSN 1542-4774

Machin, Stephen ORCID: 0009-0004-8130-2701, McNally, Sandra ORCID: 0000-0003-2332-9709 and Meghir, Costas (2007) Resources and standards in urban schools. . Institute for the Study of Labor, Bonn, Germany.

Mencia, Javier F. and Sentana, Enrique (2004) Estimation and testing of dynamic models with generalised hyperbolic innovations. Financial Markets Group Discussion Papers (502). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Monti, Francesca (2015) Can a data-rich environment help identify the sources of model misspecification? CFM discussion paper series (CFM-DP2015-05). Centre For Macroeconomics, London, UK.

P

Patton, Andrew J. and Timmermann, Allan (2005) Testable implications of forecast optimality. EM (485). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Pei, Zhuan, Pischke, Jorn-Steffen ORCID: 0000-0002-6466-1874 and Schwandt, Hannes (2018) Poorly measured confounders are more useful on the left than on the right. Journal of Business and Economic Statistics. ISSN 0735-0015

Pei, Zhuan, Pischke, Jorn-Steffen ORCID: 0000-0002-6466-1874 and Schwandt, Hannes (2018) Poorly measured confounders are more useful on the left than on the right. CEP Discussion Papers (CEPDP1539). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

Perez-Quiros, Gabriel and Timmermann, Allan (2001) Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities. Journal of Econometrics, 103 (1-2). 259 - 306. ISSN 0304-4076

Perez-Quiros, Gabriel and Timmermann, Allan (2000) Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities. Financial Markets Group Discussion Papers (360). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Petralias, Athanassios, Petros, Sotirios and Prodromídis, Pródromos (2013) Greece in recession: economic predictions, mispredictions and policy implications. GreeSE: Hellenic Observatory papers on Greece and Southeast Europe (75). Hellenic Observatory, London School of Economics and Political Science, London, U.K..

Pontes de Arruda, Bruno and Valls Pereira, Pedro L. (2013) Analysis of the volatility's dependency structure during the subprime crisis. Applied Economics, 45 (36). pp. 5031-5045. ISSN 0003-6846

R

Resende, Guilherme Mendes (2014) Measuring micro- and macro-impacts of regional development policies: the case of the Northeast regional fund (FNE) industrial loans in Brazil, 2000–2006. Regional Studies, 48 (4). pp. 646-664. ISSN 0034-3404

S

Schneider, Eric B. ORCID: 0000-0001-7682-0126 (2018) Sample selection biases and the historical growth pattern of children. Economic History working papers (273/2018). London School of Economics and Political Science, London, UK.

Schneider, Eric B. ORCID: 0000-0001-7682-0126 (2020) Sample-selection biases and the historical growth pattern of children. Social Science History, 44 (3). 417 - 444. ISSN 0145-5532

Segoviano, Miguel A. and Goodhart, Charles (2009) Banking stability measures. Financial Markets Group Discussion Papers (627). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Silva, João M. C. Santos, Tenreyro, Silvana ORCID: 0000-0002-9816-7452 and Windmeijer, Frank (2015) Testing competing models for non-negative data with many zeros. Journal of Econometric Methods, 4 (1). pp. 29-46. ISSN 2156-6674

Sullivan, Ryan, Timmermann, Allan and White, Halbert (1998) Data snooping, technical trading, rule performance, and the bootstrap. Financial Markets Group Discussion Papers (303). Financial Markets Group, The London School of Economics and Political Science, London, UK.

T

Thompson, Erica L. and Smith, Leonard A. (2019) Escape from model-land. Economics, 13. ISSN 1864-6042

Z

Zhang, Ning, Gong, Yujing and Xue, Xiaohan (2023) Less disagreement, better forecasts: adjusted risk measures in the energy futures market. Journal of Futures Markets, 43 (10). 1332 - 1372. ISSN 0270-7314