SSRN CEIS: Econometrics & Empirical Economics (Topic)

1.

Stochastic Frontier Analysis Using Stata

CEIS Working Paper No. 251

Number of pages: 48 Posted: 13 Sep 2012 Last Revised: 03 Mar 2014

Working Paper Series

Federico Belotti, Silvio Daidone, Giuseppe Ilardi and Vincenzo Atella

University of Rome, Tor Vergata - Department of Economics and Finance, Food and Agriculture Organization of the United Nations, Bank of Italy and University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)

Downloads 2,119

2.

Spatial Panel Data Models Using Stata

CEIS Working Paper No. 373

Number of pages: 41 Posted: 29 Mar 2016 Last Revised: 28 Jul 2016

Working Paper Series

Federico Belotti, Gordon Hughes and Andrea Piano Mortari

University of Rome, Tor Vergata - Department of Economics and Finance, University of Edinburgh and CEIS Tor Vergata

Downloads 582

3.

Theory and Practice of TFP Estimation: The Control Function Approach Using Stata

CEIS Working Paper No. 399

Number of pages: 50 Posted: 15 Feb 2017

Working Paper Series

Vincenzo Mollisi and Gabriele Rovigatti

University of Rome, Tor Vergata and University of Chicago Booth School of Business

Downloads 459

4.

On Estimating the Conditional Expected Shortfall

CEIS Working Paper No. 122

Number of pages: 29 Posted: 14 Apr 2008 Last Revised: 25 Feb 2014

Working Paper Series

Franco Peracchi and Andrei Valentin Tanase

University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS) and University of Rome, Tor Vergata

Downloads 269

5.

Estimation of Ordered Response Models with Sample Selection

CEIS Working Paper No. 168

Number of pages: 28 Posted: 04 Jun 2010

Working Paper Series

Giuseppe De Luca and Valeria Perotti

University of Palermo and affiliation not provided to SSRN

Downloads 265

6.

Distributional vs. Quantile Regression

CEIS Working Paper No. 300

Number of pages: 45 Posted: 17 Dec 2013

Working Paper Series

Roger Koenker, Samantha Leorato and Franco Peracchi

University of Illinois at Urbana-Champaign - Department of Economics, University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS) and University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)

Downloads 247

7.

Structural Time Series Models for Business Cycle Analysis

CEIS Research Paper No. 109

Number of pages: 45 Posted: 01 Apr 2008 Last Revised: 24 Feb 2014

Working Paper Series

Tommaso Proietti

University of Rome II - Department of Economics and Finance

Downloads 193

8.

Consistent Estimation of the 'True' Fixed-Effects Stochastic Frontier Model

CEIS Working Paper No. 231

Number of pages: 29 Posted: 25 Apr 2012

Working Paper Series

Federico Belotti and Giuseppe Ilardi

University of Rome, Tor Vergata - Department of Economics and Finance and Bank of Italy

Downloads 145

9.

A Bayesian Estimation of a DSGE Model with Financial Frictions

CEIS Working Paper No. 149

Number of pages: 55 Posted: 05 Oct 2009 Last Revised: 25 Feb 2014

Working Paper Series

Rossana Merola

International Labour Organization (ILO)

Downloads 135

10.

Modelling Comovements of Economic Time Series: A Selective Survey

CEIS Working Paper No. 215

Number of pages: 33 Posted: 26 Oct 2011

Working Paper Series

Marco Centoni and Gianluca Cubadda

University Lumsa and University of Rome II - Department of Economics and Finance

Downloads 134

11.

The W Matrix in Network and Spatial Econometrics: Issues Relating to Specification and Estimation

CEIS Working Paper No. 369

Number of pages: 27 Posted: 18 Feb 2016

Working Paper Series

Luisa Corrado and Bernard Fingleton

University of Rome, Tor Vergata - Faculty of Economics and University of Cambridge - Department of Land Economy

Downloads 115

12.

Accounting for Unobserved Country Heterogeneity in Happiness Research: Country Fixed Effects Versus Region Fixed Effects

CEIS Working Paper No. 164

Number of pages: 31 Posted: 01 Jun 2010

Working Paper Series

Justina A. V. Fischer

Organization for Economic Co-Operation and Development (OECD)

Downloads 114

13.

Exponential Smoothing, Long Memory and Volatility Prediction

CEIS Working Paper No. 319

Number of pages: 31 Posted: 05 Aug 2014

Working Paper Series

Tommaso Proietti

University of Rome II - Department of Economics and Finance

Downloads 112

14.

Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis

CEIS Working Paper No. 112

Number of pages: 26 Posted: 03 Apr 2008

Working Paper Series

Tommaso Proietti and Alessandra Luati

University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics

Downloads 101

15.

A Spatial Diffusion Model with Common Factors and an Application to Cigarette Consumption

CEIS Working Paper No. 381

Number of pages: 29 Posted: 31 May 2016

Working Paper Series

Carlo Ciccarelli and J. Paul Elhorst

University of Rome, Tor Vergata - Faculty of Economics and University of Groningen - Faculty of Economics and Business

Downloads 95

16.

The Effect of Discretion on Procurement Performance

CEIS Working Paper No. 361

Number of pages: 85 Posted: 17 Nov 2015

Working Paper Series

Giancarlo Spagnolo, Decio Coviello and Andrea Guglielmo

Stockholm School of Economics (SITE), HEC Montreal and University of Wisconsin - Madison

There are 2 versions of this paper

Downloads 95

17.

Testing for Cointegration in High-Dimensional Systems

CEIS Working Paper No. 148

Number of pages: 27 Posted: 15 Sep 2009

Working Paper Series

Gianluca Cubadda and Jörg Breitung

University of Rome II - Department of Economics and Finance and University of Bonn

Downloads 91

18.

Financial Literacy and Bank Runs: An Experimental Analysis

CEIS Working Paper No. 402

Number of pages: 36 Posted: 20 Apr 2017 Last Revised: 08 Jul 2017

Working Paper Series

Eloisa Campioni, Vittorio Larocca, Loredana Mirra and Luca Panaccione

University of Rome Tor Vergata - Dept. of Economics and Finance, Università LUISS Guido Carli, University of Rome, Tor Vergata and University of Rome, Tor Vergata

Downloads 89

19.

Common Feature Analysis of Economic Time Series: An Overview and Recent Developments

CEIS Working Paper No. 355

Number of pages: 29 Posted: 07 Oct 2015 Last Revised: 23 Oct 2015

Working Paper Series

Marco Centoni and Gianluca Cubadda

University Lumsa and University of Rome II - Department of Economics and Finance

Downloads 86

20.

Disentangling Adverse Selection, Moral Hazard and Supply Induced Demand: An Empirical Analysis of the Demand for Healthcare Services

CEIS Working Paper No. 389

Number of pages: 60 Posted: 29 Jun 2016

Working Paper Series

Vincenzo Atella, Alberto Holly V and Alessandro Mistretta

University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS), University of Lausanne and Bank of Italy

Downloads 80

21.

Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies

CEIS Working Paper No. 255

Number of pages: 30 Posted: 07 Nov 2012

Working Paper Series

Alessandro Giovannelli

University of Rome, Tor Vergata

Downloads 78

22.

Outlier Detection in Structural Time Series Models: The Indicator Saturation Approach

CEIS Working Paper No. 325

Number of pages: 46 Posted: 24 Aug 2014

Working Paper Series

Martyna Marczak and Tommaso Proietti

University of Hohenheim and University of Rome II - Department of Economics and Finance

Downloads 77

23.

A Refined Jensen's Inequality in Hilbert Spaces and Empirical Approximations

CEIS Working Paper No. 134

Number of pages: 57 Posted: 24 Nov 2008

Working Paper Series

Samantha Leorato

University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)

Downloads 75

24.

On the Selection of Common Factors for Macroeconomic Forecasting

CEIS Working Paper No. 332

Number of pages: 33 Posted: 14 Mar 2015

Working Paper Series

Alessandro Giovannelli and Tommaso Proietti

University of Rome, Tor Vergata and University of Rome II - Department of Economics and Finance

Downloads 74

25.

Clustering Macroeconomic Variables

CEIS Working Paper No. 283

Number of pages: 27 Posted: 11 Jun 2013

Working Paper Series

Chiara Perricone

LUISS Guido Carli University - Facoltà di Economia

Downloads 72

26.

The Model Confidence Set Package for R

CEIS Working Paper No. 362

Number of pages: 23 Posted: 20 Nov 2015

Working Paper Series

Mauro Bernardi and Leopoldo Catania

University of Padova and University of Aarhus - School of Business and Social Sciences

Downloads 72

27.

A Medium-N Approach to Macroeconomic Forecasting

CEIS Working Paper No. 176

Number of pages: 20 Posted: 10 Dec 2010

Working Paper Series

Gianluca Cubadda and Barbara Guardabascio

University of Rome II - Department of Economics and Finance and University of Rome, Tor Vergata

Downloads 67

28.

Predicting the Signs of Forecast Errors

CEIS Working Paper No. 135

Number of pages: 14 Posted: 24 Nov 2008

Working Paper Series

Nazaria Solferino and Robert Waldmann

University of Rome, Tor Vergata - Faculty of Economics and Universita di Roma Tor Vergata

Downloads 61

29.

Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling

CEIS Working Paper No. 125

Number of pages: 26 Posted: 26 May 2008 Last Revised: 25 Feb 2014

Working Paper Series

Gianluca Cubadda, Alain Hecq and Franz C. Palm

University of Rome II - Department of Economics and Finance, Maastricht University - Department of Economics and University of Maastricht - Department of Economics

Downloads 56

30.

The Effect of Survey Design on Extreme Response Style: Rating Job Satisfaction

CEIS Working Paper No. 365

Number of pages: 28 Posted: 10 Feb 2016

Working Paper Series

Luisa Corrado and Majlinda Joxhe

University of Rome, Tor Vergata - Faculty of Economics and University of Rome, Tor Vergata

Downloads 54

31.

An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis

CEIS Working Paper No. 184

Number of pages: 9 Posted: 31 Jan 2011

Working Paper Series

Gianluca Cubadda and Umberto Triacca

University of Rome II - Department of Economics and Finance and affiliation not provided to SSRN

Downloads 51

32.

Growth Forecast Errors and Government Investment and Consumption Multipliers

CEIS Working Paper No. 301

Number of pages: 24 Posted: 19 Dec 2013 Last Revised: 17 Feb 2015

Working Paper Series

Branimir Jovanovic

University of Rome, Tor Vergata

Downloads 51

33.

Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances

CEIS Working Paper No. 375

Number of pages: 36 Posted: 05 Apr 2016

Working Paper Series

Leopoldo Catania and Anna Gloria Billé

University of Aarhus - School of Business and Social Sciences and University of Rome, Tor Vergata - Department of Economics and Finance

Downloads 47

34.

The Exponential Model for the Spectrum of a Time Series: Extensions and Applications

CEIS Working Paper No. 272

Number of pages: 39 Posted: 21 Apr 2013

Working Paper Series

Tommaso Proietti and Alessandra Luati

University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics

Downloads 47

35.

Large Scale Covariance Estimates for Portfolio Selection

CEIS Working Paper No. 353

Number of pages: 43 Posted: 09 Aug 2015 Last Revised: 04 Sep 2015

Working Paper Series

Francesco Lautizi

University of Rome, Tor Vergata - Department of Economics and Finance

There are 2 versions of this paper

Downloads 45

36.

A General to Specific Approach for Constructing Composite Business Cycle Indicators

CEIS Working Paper No. 224

Number of pages: 19 Posted: 27 Feb 2012

Working Paper Series

Gianluca Cubadda, Barbara Guardabascio and Alain Hecq

University of Rome II - Department of Economics and Finance, University of Rome, Tor Vergata and Maastricht University - Department of Economics

Downloads 44

37.

EuroMInd-C: A Disaggregate Monthly Indicator of Economic Activity for the Euro Area and Member Countries

CEIS Working Paper No. 287

Number of pages: 40 Posted: 03 Oct 2013

Working Paper Series

Cecilia Frale, Stefano Grassi, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi Sr. and Tommaso Proietti

Government of the Italian Republic (Italy) - Department of the Treasury, University of Aarhus - CREATES, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance

Downloads 44

38.

Regression with Imputed Covariates: A Generalized Missing Indicator Approach

CEIS Working Paper No. 150

Number of pages: 14 Posted: 08 Oct 2009

Working Paper Series

Franco Peracchi, Valentino Dardanoni and Salvatore Modica

University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS), University of Palermo and Universita di Palermo

Downloads 43

39.

Macroeconomic Forecasting and Structural Analysis Through Regularized Reduced-Rank Regression

CEIS Working Paper No. 289

Number of pages: 25 Posted: 05 Oct 2013

Working Paper Series

Emmanuela Bernardini and Gianluca Cubadda

Bank of Italy and University of Rome II - Department of Economics and Finance

Downloads 39

40.

Generalizing Smooth Transition Autoregressions

CEIS Working Paper No. 294

Number of pages: 56 Posted: 16 Oct 2013 Last Revised: 27 Sep 2014

Working Paper Series

Emilio Zanetti Chini

University of Rome II - Department in Economics, Law and Institutions

Downloads 37

41.

A Data-Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models

CEIS Working Paper No. 374

Number of pages: 30 Posted: 31 Mar 2016

Working Paper Series

Martyna Marczak, Tommaso Proietti and Stefano Grassi

University of Hohenheim, University of Rome II - Department of Economics and Finance and University of Kent, Canterbury

Downloads 36

42.

Estimating Income Poverty in the Presence of Missing Data and Measurement Error

CEIS Working Paper No. 145

Number of pages: 32 Posted: 15 Jul 2009

Working Paper Series

Cheti Nicoletti, Franco Peracchi and Francesca Foliano

University of York - Department of Economics and Related Studies, University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS) and affiliation not provided to SSRN

There are 2 versions of this paper

Downloads 35

43.

How Variable is Labor Input in the Italian Manufacturing: The Case of the Pharmaceutical Industry

CEIS Working Paper No. 140

Number of pages: 22 Posted: 01 Jul 2009

Working Paper Series

Lorenzo Carbonari

University of Rome - Tor Vergata

Downloads 30

44.

Spatial Panel Data Model with Error Dependence: A Bayesian Separable Covariance Approach

CEIS Working Paper No. 338

Number of pages: 34 Posted: 11 Apr 2015

Working Paper Series

Samantha Leorato and Maura Mezzetti

University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS) and University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)

Downloads 30

45.

Principal Stratification in Sample Selection Problems with Non Normal Error Terms

CEIS Tor Vergata Research Paper No. 194

Number of pages: 31 Posted: 13 May 2011

Working Paper Series

Roberto Rocci and Giovanni Mellace

University of Rome, Tor Vergata - Faculty of Economics and University of Southern Denmark - Department of Business and Economics

Downloads 29

46.

Generalised Linear Spectral Models

CEIS Working Paper No. 290

Number of pages: 27 Posted: 07 Oct 2013

Working Paper Series

Tommaso Proietti and Alessandra Luati

University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics

Downloads 28

47.

The Generalised Autocovariance Function

CEIS Working Paper No. 276

Number of pages: 33 Posted: 07 May 2013

Working Paper Series

Tommaso Proietti and Alessandra Luati

University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics

Downloads 26

48.

Testing for Common Autocorrelation in Data Rich Environments

CEIS Working Paper No. 153

Number of pages: 11 Posted: 07 Dec 2009

Working Paper Series

Gianluca Cubadda and Alain Hecq

University of Rome II - Department of Economics and Finance and Maastricht University - Department of Economics

Downloads 25

49.

Seasonal Changes in Central England Temperatures

CEIS Working Paper No. 347

Number of pages: 29 Posted: 17 Jun 2015

Working Paper Series

Tommaso Proietti and Eric T. Hillebrand

University of Rome II - Department of Economics and Finance and University of Aarhus - CREATES

Downloads 21

50.

EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area

CEIS Working Paper No. 340

Number of pages: 45 Posted: 14 Apr 2015

Working Paper Series

Tommaso Proietti, Martyna Marczak and Gian Luigi Mazzi Sr.

University of Rome II - Department of Economics and Finance, University of Hohenheim and Eurostat

Downloads 20

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