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Econometrics: Econometric Model Construction, Estimation & Selection eJournal
197,483 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 1,747
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Incl. Electronic Paper Sharp Convergence Rates for Forward Regression in High-Dimensional Sparse Linear Models
University of Zurich, Department of Economics, Working Paper No. 253
Damian Kozbur
ETH Zurich - Department of Humanities, Social and Political Sciences
Date Posted: May 25, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Pricing Catastrophe Bonds Based on a Left-Truncated Loss Index
Mario Giuricich and Krzysztof Burnecki
University of Cape Town - Faculty of Commerce and Hugo Steinhaus Center
Date Posted: May 25, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper A Reliability-Based Capability Approach
Risk Analysis, DOI: 10.1111/risa.12843
Armin Tabandeh, Paolo Gardoni and Colleen Murphy
University of Illinois at Urbana-Champaign, Texas A&M University - Zachry Department of Civil Engineering and University of Illinois at Urbana-Champaign
Date Posted: May 25, 2017
Last Revised: May 26, 2017
Accepted Paper Series
5 downloads

Incl. Electronic Paper CDS Rate Construction Methods by Machine Learning Techniques (Presentation Slides)
Zhongmin Luo and Raymond Brummelhuis
Standard Chartered Bank, London and University of Reims Champagne-Ardenne
Date Posted: May 24, 2017
Working Paper Series
48 downloads

Incl. Electronic Paper A Highly Efficient Regression Estimator for Skewed And/Or Heavy-Tailed Distributed Errors
European Stability Mechanism Working Paper No. 19
Lorenzo Ricci, Vincenzo Verardi and Catherine Vermandele
Université Libre de Bruxelles (ULB), FUNDP - University of Namur. CRED and Université Libre de Bruxelles (ULB)
Date Posted: May 24, 2017
Working Paper Series
8 downloads

On the Use of Intercepts as Performance Measures
Jim Musumeci
Bentley University - Department of Finance
Date Posted: May 24, 2017
Working Paper Series

Incl. Electronic Paper El Modelo Lineal Clásico: Propiedades y Pruebas (The Classical Lineal Model: Properties and Test)
Documento de Trabajo Omega Beta Gamma No. 05-2016
Alfonso Ayala
Universidad Nacional Mayor de San Marcos
Date Posted: May 18, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Supplementary Appendix to: A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables
Kris Boudt, Dries Cornilly and Tim Verdonck
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Date Posted: May 18, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Specification and Estimation of Network Formation and Network Interaction Models with the Exponential Probability Distribution
Chih-Sheng Hsieh and Lung-Fei Lee
The Chinese University of Hong Kong (CUHK) and Ohio State University (OSU) - Economics
Date Posted: May 15, 2017
Working Paper Series
3 downloads

Maximum Likelihood Estimation and Likelihood Ratio Test Revisited
Vinaitheerthan Renganathan
Skyline University College
Date Posted: May 15, 2017
Working Paper Series

Incl. Fee Electronic Paper Steady State Properties of Multi‐State Economic Models
Canadian Journal of Economics/Revue canadienne d'économique, Vol. 50, Issue 2, pp. 506-521, 2017,
Yacov Tsur and Amos Zemel
Hebrew University of Jerusalem - Department of Agricultural Economics and Management and Ben Gurion University of the Negev
Date Posted: May 12, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper LSM Reloaded - Differentiate xVA on your iPad Mini
Brian Norsk Huge and Antoine Savine
Danske Bank and Danske Bank
Date Posted: May 10, 2017
Last Revised: May 25, 2017
Working Paper Series
95 downloads

Incl. Electronic Paper Corrected Goodness-of-Fit Test in Covariance Structure Analysis
Kazuhiko Hayakawa
Hiroshima University
Date Posted: May 10, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper GMM and ML Estimation of Dynamic Panel Data Models with Heterogeneous Time Trends
Kazuhiko Hayakawa and Bei Ge
Hiroshima University and Hiroshima University
Date Posted: May 10, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Estimation of Time-Varying Coefficient Dynamic Panel Data Models
Kazuhiko Hayakawa and Jie Hou
Hiroshima University and Hiroshima University
Date Posted: May 10, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper The Weak Instruments Problem in Factor Models
Kazuhiko Hayakawa
Hiroshima University
Date Posted: May 10, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Double Filter Instrumental Variable Estimation of Panel Data Models with Weakly Exogenous Variables
Kazuhiko Hayakawa, Meng Qi and Jörg Breitung
Hiroshima University, Hiroshima University and University of Cologne
Date Posted: May 10, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Modeling the Dependence of Conditional Correlations on Market Volatility
Journal of Business and Economic Statistics, 34/2, 254-268, 2016
Luc Bauwens and Edoardo Otranto
Université catholique de Louvain and University of Messina
Date Posted: May 09, 2017
Accepted Paper Series
16 downloads

Incl. Electronic Paper Focused Shrinkage Estimators for the Global Minimum Variance Portfolio
Filip Klimenka
University of Oxford
Date Posted: May 09, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper GDP Trend-Cycle Decompositions Using State-Level Data
FEDS Working Paper No. 2017-051
Manuel Gonzalez-Astudillo
Board of Governors of the Federal Reserve System
Date Posted: May 08, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Estimation in Semiparametric Quantile Factor Models
Shujie Ma, Oliver B. Linton and Jiti Gao
University of California, Riverside (UCR), University of Cambridge and Monash University - Department of Econometrics & Business Statistics
Date Posted: May 06, 2017
Working Paper Series
24 downloads

Incl. Fee Electronic Paper Local Content Requirements versus Tariff Equivalents: How We Measure Matters
The World Economy, Vol. 40, Issue 5, pp. 931-948, 2017
Dorothee Flaig and Susan Stone
Organization for Economic Co-Operation and Development (OECD) and Organization for Economic Co-Operation and Development (OECD)
Date Posted: May 05, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Macro-Financial Effects of Portfolio Flows: Malaysia's Experience
CAMA Working Paper No. 35/2017
Tng Boon Hwa, Mala Raghavan and Teh Tian Huey
Bank Negara Malaysia, University of Tasmania and Bank Negara Malaysia
Date Posted: May 04, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Predicting Currency Crises: How Do Indicators Differ According to Crisis Definition?
Çankırı Karatekin University Journal of The Faculty of Economics and Administrative Sciences Y. 2016, Volume 6, Issue 2, pp. 85-102 ,
Dogus Emin and Ayşegül Aytaç
Social Sciences University of Ankara and Economic Policy Research Foundation of Turkey (TEPAV)
Date Posted: May 03, 2017
Last Revised: May 09, 2017
Accepted Paper Series
26 downloads

Incl. Electronic Paper Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence
BAFFI CAREFIN Centre Research Paper No. 2017-54
Francesco Chincoli and Massimo Guidolin
Independent and Bocconi University - Department of Finance
Date Posted: May 03, 2017
Working Paper Series
102 downloads

Incl. Electronic Paper On the Empirical Content of the Beckerian Marriage Model
Jianfei Cao, Xiaoxia Shi and Matthew Shum
University of Chicago - Booth School of Business, University of Wisconsin - Madison and California Institute of Technology
Date Posted: May 01, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Attrition in Randomized Control Trials: Using Tracking Information to Correct Bias
IZA Discussion Paper No. 10711
Teresa Molina Millán and Karen Macours
New University of Lisbon - Nova School of Business and Economics and Paris School of Economics (PSE)
Date Posted: May 01, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Mind the Gap: Accounting for Measurement Error and Misclassification in Variables Generated via Data Mining
Information Systems Research, Forthcoming
Mochen Yang, Gediminas Adomavicius, Gordon Burtch and Yuqing Ching Ren
University of Minnesota - Twin Cities, Carlson School of Management, Students, University of Minnesota - Twin Cities - Carlson School of Management, University of Minnesota - Twin Cities - Carlson School of Management and Carlson School of Management
Date Posted: April 28, 2017
Last Revised: May 01, 2017
Accepted Paper Series
64 downloads

Incl. Fee Electronic Paper Differences in Positions Along a Hierarchy: Counterfactuals Based on an Assignment Model
CEPR Discussion Paper No. DP11982
Laurent Gobillon, Dominique Meurs and Sébastien Roux
Paris School of Economics (PSE), Université Paris X Nanterre and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Date Posted: April 25, 2017
Working Paper Series

Economic Uncertainty, Monetary Uncertainty, and the Demand for Broad Money in Egypt
The IUP Journal of Applied Economics, Vol. XV, No. 3, July 2016, pp. 7-30
George B. Tawadros
Independent
Date Posted: April 24, 2017
Accepted Paper Series

Incl. Electronic Paper Error Costs, Legal Standards of Proof and Statistical Significance
George Mason Law & Economics Research Paper No. 17-21, U of Penn, Inst for Law & Econ Research Paper No. 17-22
Michelle Burtis, Jonah B. Gelbach and Bruce H. Kobayashi
Charles River Associates (CRA) International, University of Pennsylvania Law School and George Mason University - School of Law
Date Posted: April 21, 2017
Last Revised: May 24, 2017
Working Paper Series
69 downloads

Predictive Power of Brazilian Equity Fund Performance Using R2 as a Measure of Selectivity
Accounting & Finance Review, Vol. 28, No. 74, p. 282–296, 2017,
Marcelo S Guzella and Carlos Heitor Campani
University of Sao Paulo (USP) and The COPPEAD Graduate School of Business - Federal University of Rio de Janeiro (UFRJ)
Date Posted: April 20, 2017
Accepted Paper Series

Gains and Payments of Mergers and Acquisitions: Further Evidence from the UK
Mo Sherif
Heriot-Watt University - Department of Accountancy and Finance
Date Posted: April 20, 2017
Working Paper Series

Incl. Electronic Paper Nonlinear Fokker-Planck Equation Approach for the Leaky Competing Accumulator Model
Chi-Fai Lo
The Chinese University of Hong Kong
Date Posted: April 19, 2017
Last Revised: May 08, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events
Steve Y. Yang, Anqi Liu, Jing Chen and Alan G Hawkes
Stevens Institute of Technology, Stevens Institute of Technology, Cardiff University - School of Mathematics and Swansea University - School of Management
Date Posted: April 19, 2017
Working Paper Series
51 downloads

Incl. Electronic Paper Regulation, Institutions, and Productivity: New Macroeconomic Evidence from OECD Countries
CESifo Working Paper Series No. 6407
Balazs Egert
Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute)
Date Posted: April 18, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper An Alternative Approach to Statistical Inference
Daniel Altman
New York University (NYU) - Leonard N. Stern School of Business
Date Posted: April 18, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Methodology of Examination the Effect of Health on Economic Growth
kazNu Bulletin. Economics series. №6 (100). 2013 ,
Lazat Spankulova and A.B. Abylay
Narxoz University and affiliation not provided to SSRN
Date Posted: April 14, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Optimal Model Averaging Estimation for Partially Linear Models
Xinyu Zhang and Wendun Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Erasmus University Rotterdam (EUR) - Department of Econometrics
Date Posted: April 08, 2017
Working Paper Series
10 downloads

The Water Vulnerability of Metro and Megacities: An Investigation of Structural Determinants
Natural Resources Forum 39(2): 123-133
Thomas Bolognesi
University of Geneva
Date Posted: April 08, 2017
Accepted Paper Series

Incl. Electronic Paper Centers of Probability Measures Without the Mean
Giovanni Puccetti, Pietro Rigo, Bin Wang and Ruodu Wang
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Pavia, Beijing University of Technology and University of Waterloo - Department of Statistics and Actuarial Science
Date Posted: April 07, 2017
Working Paper Series
14 downloads

Incl. Fee Electronic Paper Determinants of Sovereign Bonds Ratings: A Robustness Analysis
Bulletin of Economic Research, Vol. 69, Issue 2, pp. 164-177, 2017
Dimitrios Soudis
University of Groningen
Date Posted: April 07, 2017
Accepted Paper Series
1 downloads

Purchasing Power Parity in OECD Countries: Evidence from Panel Unit Root
Economic Modelling, Vol. 25, No. 3, 2008
Huseyin Kalyoncu and Kahraman Kalyoncu
Meliksah University and Aksaray University
Date Posted: April 06, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Oracle M‐Estimation for Time Series Models
Journal of Time Series Analysis, Vol. 38, Issue 3, pp. 479-504, 2017
Mihai C. Giurcanu
University of Florida
Date Posted: April 05, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Time‐Varying Transition Probabilities for Markov Regime Switching Models
Journal of Time Series Analysis, Vol. 38, Issue 3, pp. 458-478, 2017
Marco Bazzi, Francisco Blasques, Siem Jan Koopman and Andre Lucas
University of Padua, VU University Amsterdam, VU University Amsterdam and VU University Amsterdam - Faculty of Economics and Business
Date Posted: April 05, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Conditional Returns to Shareholders of Bidding Firms: An Australian Study
Accounting & Finance, Vol. 57, pp. 3-43, 2017
Farida Akhtar
Curtin University
Date Posted: April 05, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Poorly Measured Confounders are More Useful on the Left than on the Right
IZA Discussion Paper No. 10647
Zhuan Pei, Jörn-Steffen Pischke and Hannes Schwandt
W.E. Upjohn Institute for Employment Research, London School of Economics and Princeton University - Center for Health and Wellbeing
Date Posted: April 03, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Eigenvalue Ratio Test for the Number of Factors
Econometrica, Vol. 81, No. 3
Seung C. Ahn and Alex R. Horenstein
Arizona State University (ASU) - Economics Department and University of Miami - School of Business Administration - Department of Economics
Date Posted: March 29, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Is the Discretionary Income Effect of Oil Price Shocks a Hoax?
CESifo Working Paper Series No. 6369
Christiane Baumeister, Lutz Kilian and Xiaoqing Zhou
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Date Posted: March 27, 2017
Working Paper Series
25 downloads

Incl. Fee Electronic Paper Model‐Selection Tests for Conditional Moment Restriction Models
The Econometrics Journal, Vol. 20, Issue 1, pp. 52-85, 2017
Yu-Chin Hsu and Xiaoxia Shi
Academia Sinica, Institute of Economics and University of Wisconsin - Madison
Date Posted: March 22, 2017
Accepted Paper Series
1 downloads


 

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