New SSRRN resources 13

Are Price Equations Really Money Demand Equations on their Heads?

A Re-examination of the Q Theory of Investment Using U.S. Firm Data

On the Estimation of Simultaneous-Equations Error-Components Models with an Application to a Model o

Common Trends and Common Cycles

Estimating Nonlinear Time Series Models Using Simulated Vector Autoregressions

A Structural Model of Aircraft Engine Maintenance

Statistical Inference in Calibrated Models

The Linear Quadratic Adjustment Cost Model and the Demand for Labour

A Duration Model of Irreversible OIl Investment: Theory and Empirical Evidence

Asset Trading, Transaction Costs and the Equity Premium

Testing the Implications of Long Run Neutrality for Monetary Business Cycle Models

Cyclical Properties of a Real Business Cycle Model

Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life Cycle Model

Certificate-of-Need Regulation and the Diffusion of New Innovations: A Random Coefficient Model

Efficiency in the Provision of University Teaching and Research: An Empirical Analysis of UK Univers

Labor-Use Efficiency in Swedish Social Insurance Offices

Separability Test for the Electricity Supply Industry

Cointegration Tests of Present Value Models with a Time-varying Discount Factor

Convergence in International Output

Forecasting in Cointegrated Systems

Semiparametric Estimation of Simultaneous Equations with Limited Dependent Variables: A Case Study o

The Distribution of Personal Income: Revisited

Testing for Homogeneity in Demand Systems when the Regressors are Non-Stationary

A Nonlinear Approach to US GNP

Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations

A Simple and Efficient Method for Estimating the Magnitude and Precision of Welfare Changes

Spectral Tests of the Martingale Hypothesis for Exchange Rates

Heterogeneity Biases, Distributional Effects and Aggregate Consumption: An Empirical Analysis using

Maximum Likelihood Estimation of a GARCH-stable Model

The Institutional Hypothesis of the Long-Run Income Velocity of Money and Parameter Stability of the

The Structure of Technology in Brazilian Sugarcane Production, 1975-1987: An Application of a Modif

Multiple Regimes and Cross-Country Growth Behavior

Modelling Market Fundamentals - A Model of the Aluminium Market

Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks

Japan's Financial Deregulation and Linkage of the Gensaki and Euroyen Deposit Markets

A Class of Binary Response Models for Grouped Duration Data

Cyclical Output, Cyclical Unemployment and Okun's Coefficient: A New Approach

Estimation of Equilibrium Wage Distributions with Heterogeneity

Analyzing Incomplete Individual Employment History Using Indirect Inference

An Empirical Model of Asset Replacement in Dairy Production

An Investigation of the Harvest Decisions of Timber Firms in the South

Optimal Response to a Shift in Regulatory Regime: The Case of the U.S. Nuclear Power Industry

Money Stock Targeting and Money Supply: A Closer Examination of the Data

Analyzing Inflation by the Fractionally Integrated ARFIMA-GARCH Model

Measurement of Total Factor Productivity Growth and Biases in Technological Change in Western Austra

Transient Fads and the Crash of '87

Parametric and Semi-Parametric Modelling of Vacation Expenditures

Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's

Money Demand Revisited: An Operational Subjective Approach

A Time Series Analysis of Real Wages, Consumption, and Asset Returns: A Cointegration Euler Equation

Measuring Underlying Economic Activity

Erratum. The likelihood ratio test under nonstandard conditions: Testing the Markov switching model

Panel Estimates of a Two-Tiered Earnings Frontier

Incorporating Monotonicity and Concavity Restrictions in Flexible Functional Forms

The Excess Co-movement of Commodity Prices Reconsidered

Parametric and Semiparametric Estimation of the Binary Response Model of Labour Market Participatio

On a Double Threshold Autoregressive Heteroskedastic Time Series Model

Occupational Pensions and Job Mobility in Britain: Estimation of a Random-Effects Competing Risks Mo

Regime Switching as a Test for Exchange Rate Bubbles

Computing Median Unbiased Estimates in Macroeconometric Models

Analytic Derivatives and the Computation of GARCH Estimates

Credit Rationing and Threshold Effects in the Relation Between Money and Output

The Inconsistency of Common Scale Estimators when Output Prices are Unobserved and Endogenous

Persistence of Shocks on Seasonal Processes

Applied Cointegration Analysis in the Mirror of Macroeconomic Theory

Intercept Corrections and Structural Change

Can We Improve the Perceived Quality of Economic Forecasts

Stock Market Volatility and the Business Cycle

Assessing Forecast Performance in a Cointegrated System

Co-integration Constraint and Forecasting: An Empirical Examination

Estimating Time Series Models using the Relevant Cost Function

Semiparametric Estimation of a Hedonic Price Function

A Nonlinear Model of the Long-Run Real US/UK Exchange Rate

Comparing Fourier and Translog Specifications of Multiproduct Technology: Evidence from an Incomplet

Numerical Distribution Functions for Unit Root and Cointegration Tests

Econometric Methods for Fractional Response Variables with an Application to 401(k) Plan Participati

Sign and Volatility Switching ARCH Models: Theory and Applications to International Stock Markets

A Predictive Approach to Model Selection and Multicollinearity

Permanent and Transitory Shocks and the UK Business Cycle

Cox Regression with Alternative Concepts of Waiting Time: The New Orleans Yellow Fever Epidemic of 1

Cointegration and Changes in Regime: The Japanese Consumption Function

Numerical Methods for Estimation and Inference in Bayesian VAR-models

Statistical Inference via Bootstrapping for Measures of Inequality

Feasible Cross-Validatory Model Selection for General Stationary Processes

Count Data Regression Using Series Expansion: With Applications

Patents, R&D and Spillovers at the Firm Level: Some Evidence from Econometric Count Models for Panel

Estimating the Innovation Function from the Patent Numbers: GMM on Count Panel Data

Demand for Medical Care by the Elderly: A Finite Mixture Approach

Economic Incentives and Hospitalization in Germany

Semiparametric Estimation of Hurdle Regression Models With an Application to Medicaid Utilization

Heterogeneity, Excess Zeros, and the Structure of Count Data Models

Endogeneity in Count Data Models: An Application to Demand for Health Care

Testing for Convergence: Evidence from Nonparametric Multimodality Tests

Is There a Unit Root in the Inflation Rate? Evidence from Sequential Break and Panel Data Models

Stochastic Trends, Deterministic Trends and Business Cycle Turning Points

Growth and Convergence in a Multicountry Empirical Stochastic Solow Model

The Experiment in Applied Econometrics

Are Financial Spreads Useful Indicators of Future Inflation and Output Growth in EU Countries

The Dynamic Laurent Flexible Functional Form and the Demand for Money

Understanding Spot and Forward Exchange Rate Regressions

Interdependent Preferences: An Econometric Analysis

Modelling Money Demand in Germany

The Dynamic of Changes in the Female Wage Distribution in the U.S.: A Quantile Regression Approach

An EMS Target Zone Model In Discrete Time

The Conditional Heteroscedasticity of the Yen-Dollar Exchange Rate

Does More Calculus Improve Student Learning in Intermediate Micro and Macro Economic Theory

Testing Non-Nested Semiparametric Models: An Application to Engel Curves Specification

Bayesian Inference for Periodic Regime-Switching Models

Whose Wages Do Unions Raise? A Dynamic Model of Unionism and Wage Rate Determination for Young Men

Alternative Functional Forms for Production, Cost, and Returns to Scale Functions

Unemployment Persistence: Does the Size of The Shock Matter?

Identifying the Source of Dynamics in Disaggregated Import Data

A Threshold Error Correction Model for Intraday Futures and Index Returns

Substitution, Risk Aversion, Taste Shocks, and Equity Premia

Stylized Facts of Daily Return Series and the Hidden Markov Model

An Empirical Application of Stochastic Volatility Models

An Analysis of Technology, Productivity, and Regulatory Distortion in the Interstate Natural Gas Tra

Robustness Tests of the Augmented Solow Model

The Age-Profile of Mobility Measures: An Application to Earnings in West Germany

Intrahousehold Resource Allocation in Rural Pakistan: A Semiparametric Analysis

Semiparametric Estimation and Consumer Demand

Semiparametric Analysis of German East-West Migration Intentions: Facts and Theory

Individual Demands from Household Aggregates: Time and Age Variation in the Composition of Diet,

Testing the Predictive Value of Subjective Labour Supply Data

A Comparison of Parametric and Semiparametric Estimates of the Effect of Spousal Health Insurance Co

Ethnic Wage Differences in Malaysia: Parametric and Semiparametric Estimation of the Chinese-Malay W

Excess Capacity: A Permanent Characteristic of U.S. Airlines,

Optimal Univariate Inflation Forecasting with Symmetric Stable Shocks

Intertemporal Substitution in Import Demand and Habit Formation

A General Dependence Test and Applications

Causal Ordering and 'The Bank Lending Channel'

Jackknife Instrumental Variables Estimation

Small Sample Properties of LIML and Jackknife IV Estimators: Experiments with Weak Instruments

Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Dat

Estimating the Natural Rate of Unemployment and Testing the Natural Rate Hypothesis

The Time-Varying Behavior of Real Interest Rates: A Re-Evaluation of The Recent Evidence

A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models

Estimating the LQAC model with I(2) variables

Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test

Econometric Software Reliability: EViews, LIMDEP, SHAZAM and TSP

A Nonlinear Filtering Approach to Stochastic Volatility Models with an Application to Daily Stock Re

The Error Structure of Time Series Cross Section Hedonic Models with Sporadic Event Timing and Seria

Estimation in Large and Disaggregated Demand Systems: An Estimator for Conditionally Linear Systems

Testing the Significance of Income Distribution Changes Over the 1980s Business Cycle: A Cross-Natio

Testing the random walk hypothesis for real exchange rates

Common Cycles in Seasonal Nonstationary Time Series

Testing for a Unit Root in the Volatility of Asset Returns

Labor Supply in Italy: An Empirical Analysis of Joint Household Decisions, with Taxes and Quantity C

Applied Econometrics Ranking, 1989-1995,

Estimating the Discount Rate Policy Reaction Function of the Monetary Authority

Learning and Decision Costs in One Person Games

Another Look at Swedish Business Cycles, 1861-1988

Exchange Rates and Monetary Fundamentals: What Do We Learn From Long-Horizon Regressions?

Exchange Rate Target Zone Models: A Bayesian Evaluation

Non-linearities in Cross Country Growth Regressions: A Semiparametric Approach

Investigating Stability and Linearity of a German M1 Money Demand Function

Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration

Testing for ARCH in the Presence of Additive Outliers

Identifying Interdependent Behavior in an Empirical Model of Labor Supply

Adaptive Estimation of Cointegrated Models: Simulation Evidence and an Application to the Forward Ex

Conducting Inference in Semiparametric Duration Models under Inequality Restrictions on the Shape of

Posterior Odds Comparison of a Symmetric Low-Price, Sealed-Bid Auction within the Common Value and t

The Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Some GARCH-M Evidence

Asymptotically Perfect and Relative Convergence of Productivity

Multiple Comparisons with the Best, with Economic Applications

US Deficit Sustainability: A New Approach based on Multiple Endogenous Breaks

Business Cycle Non-linearities in UK Consumption and Production

Stochastic Volatility Models: Conditional Normality versus Heavy-Tailed Distributions

An Empirical Analysis of Alternative Parametric ARCH Models

Real Exchange Rate Behaviour: Evidence from Black Markets

Review of GAUSS for Windows, Including Its Numerical Accuracy

Scale Economies in Electricity Distribution: A Semiparametric Analysis

Union Status of Young Men in Britain: A Decade of Change

Linear Household Technologies

Keynesian Impulses versus Solow Residuals: Identifying Sources of Business Cycle Fluctuations

Box-Cox Quantile Regression and the Distribution of Firm Sizes

Determining Market Power Exertion Between Buyers and Sellers

Wage Differentials across Firms: An Application of Multilevel Modelling

An Examination of the Dynamic Behavior of Local Governments Using GMM Bootstrapping Methods

Incomplete Information and the Time Series Behaviour of Consumption

The Cost and Technological Structure of Aluminum Smelters Worldwide

Gender, Race, Pay and Promotion in the British Nursing Profession: Estimation of a Generalised Order

Tests for Multiple Forecast Encompassing

Near Unit Roots, Cointegration, and the Term Structure of Interest Rates

Mixed MNL Models for Discrete Response

Uncovering Financial Markets' Beliefs about Inflation Targets

Sequential Testing of Duration Data: The Case of Pennsylvania 'Reemployment Bonus' Experiment

Daily Exchange Rate Behaviour and Hedging of Currency Risk

Econometric Applications of Maxmin Expected Utility

A Multivariate Latent Factor Decomposition of International Bond Spreads

A Dynamic Multinomial Probit Model for Brand Choice with Different Long-run and Short-run Effects of

Loss Function Based Evaluation of DSGE Models

Serially Correlated Variables in Dynamic, Discrete Choice Models

Measuring the Equilibrium Effect of Unemployment Benefits

Bayesian Semiparametric Estimation of Discrete Duration Models: An Application of the Dirichlet Proc

An Empirical Comparison of Flexible Demand Systems

Quasi-Fixed Inputs and Tests of Long-run Equilibrium in Production: A Canonical Cointegration Approa

Parametric and Semiparametric Estimation of Sample Selection Models: An Empirical Application to the

Autoregressive Conditional Heteroskedasticity in Commodity Spot Prices

Modelling the Conditional Volatility of Commodity Index Futures as a Regime-Switching Process

Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income

The Effect of Physician Advice on Alcohol Consumption: Count Regression with an Endogenous Treatment

An I(2) Analysis of Inflation and the Markup

Stability and Wage Acceleration in Macroeconomic Models of Cyclical Growth

Earnings, Unemployment and Housing in Great Britain

Output and Inflation in the Long Run

Modelling UK Inflation, 1875--1991

Clusters of Attributes and Well-Being in the US

European Integration and Monetary Transmission Mechanisms: The Case of Italy

Small System Modelling of Wages, Inflation, Unemployment and Output per Capita in Italy 1970-1994

Bounds Testing Approaches to the Analysis of Level Relationships

Descriptive Econometrics for Nonstationary Data

Nonlinear Equilibrium Correction and the UK Demand for Broad Money, 1878-1997

Estimating Shocks and Impulse Response Functions

Persistence and Nonlinearity in US GNP and Unemployment

Monetary Policy Analysis and Inflation Targeting in a Small Open Economy: A VAR Approach

Trend-Stationary GNP: Evidence from a New Exact Pointwise Most Powerful Invariant Unit Root Test

A Flexible Parametric GARCH Model with an Application to Exchange Rates

Unemployment Insurance and Subsequent Job Duration: Job Matching vs. Unobserved Heterogeneity

Income Distribution and Income Dynamics in the United Kingdom

Model Uncertainty in Cross-Country Growth Regressions

Review of Stata 7

A Score Test for Non-Nested Hypotheses with Applications to Discrete Data Models

The Demand for M3 in the Euro Area

Measuring Predictability: Theory and Macroeconomic Applications

Rethinking an Old Empirical Puzzle: Econometric Evidence on the Forward Discount Anomaly

Estimating Economic Relationships Subject to Firm- and Time-Varying Equality and Inequality Constrai

Transitions from Home to Marriage of Young Americans

This is what the Leading Indicators Lead

Labor Market Institutions and Employment in France

A Segment-Level Hazard Approach to Studying Household Purchase Timing Decisions

Quantifying the Uncertainty about the Half-Life of Deviations from PPP

Modelling the Trend and Seasonals within an AIDS Model of the Demand for Alcoholic Beverages in the

Evaluating Asset-Pricing Models Using the Hansen-Jagannathan Bound: A Monte Carlo Investigation

Using R to Teach Econometrics

Stochastic Frontier Models with Random Coefficients

The Relation between Wealth and Labour Market Transitions: An Empirical Study for the Netherlands

Learning and Communication in Sender-Receiver Games: An Econometric Investigation,

A Structural Model of US Aggregate Job Flows

Crack Spread Hedging: Accounting for Time-Varying Volatility Spillovers in the Energy Futures Market

Socio-Economic Distance and Spatial Patterns in Unemployment

Censored Latent Effects Autoregression, with an Application to US Unemployment

Geographic Poverty Traps? A Micro Model of Consumption Growth in Rural China

A Flexible Parametric Selection Model for Non-Normal Data with Application to Health Care Usage

Alcohol Abuse and Employment: A Second Look

Detecting Multiple Breaks in Financial Market Volatility Dynamics

Estimating Quadratic Variation Using Realised Variance

Maximum Likelihood Estimation of STAR and STAR-GARCH Models: Theory and Monte Carlo Evidence

Time irreversibility and EGARCH effects in US stock index returns

New Frontiers for ARCH Models

Bridging the Gap Between the Distribution of Realized (ECU) Volatility and ARCH modeling (of the EUR

Modeling and Forecasting Level Shifts in Absolute Returns

A Theoretical Comparison Between Integrated and Realized Volatility

GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model

Computation and Analysis of Multiple Structural Change Models

Are Differences in Firm Size Transitory or Permanent?

Precautionary Motives and Portfolio Decisions

A Simple Framework for Analyzing Bull and Bear Markets

A Structural Model of Aggregate US Job Flows: Another Look

Evidence on Agglomeration Economies, Diseconomies, and Growth

Asymmetry in First-Price Auctions With Affiliated Private Values

Time-Varying Intercepts and Equilibrium Analysis: An Extension of the Dynamic Almost Ideal Demand Mo

Long range dependence in Spanish political opinion poll data

Individual Heterogeneity and Censoring in Panel Data Estimates of Tobacco Expenditure

A Rational Rank Four Demand System

Retesting Fair's 1978 model on infidelity

Identification and Estimation of a Class of Household Production Models

Estimation of Sons' Intergenerational Earnings Mobility in the Presence of Censoring

On Detrending and Cyclical Asymmetry

Party Loyalty as Habit Formation

A Finite Sample Hierarchical Analysis of Wage Variation Across Public High Schools: Evidence from th

Evaluating Interval Forecasts of High-Frequency Financial Data

Testing Long Run PPP with Infinite Variance Returns

Quasi-Rational and Ex Ante Price Expectations in Commodity Supply Models: An Empirical Analysis of t

A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series

Inferring the Private Information Content of Trades: A Regime-Switching Approach

Incentive Effects in the Demand for Health Care: A Bivariate Panel Count Data Estimation

Does peer ability affect student achievement?

Neighborhood effects and Housing Demand

Correlations between Sisters and Neighboring Girls in Their Subsequent Income as Adults

Interdependence in worker productivity

A Practical Log-Linear Aggregation Method with Examples: Heterogeneous Income Growth in the U.S.

Poverty in America 1970-1990: Who Did Gain Ground? An Application of Stochastic Dominance Criteria

Structural Estimates of the Intergenerational Education Correlation

Bayesian Inference for the Mover Stayer Model in Continuous Time with an Application to Labour Marke

Value-at-Risk for Long and Short Trading Positions

Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports

Mixed Signals Among Tests For Cointegration

The Stochastic Implications of Rent Maximization: An Application to Stumpage Rates for Timber in Bri

Estimating the Economic Return to Educational Levels Using Data on Twins

Temporary Layoffs and Split Population Models

Can inflation data improve the real-time reliability of output gap estimates?