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CEIS: Econometrics & Empirical Economics (Topic)

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Viewing: 1 - 50 of 55 papers

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
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 2,275
2.

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
University of Rome, Tor Vergata and University of Chicago Booth School of Business
Downloads 758
3.

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
University of Rome, Tor Vergata - Department of Economics and Finance, University of Edinburgh and CEIS Tor Vergata
Downloads 694
4.

Estimation of Ordered Response Models with Sample Selection

CEIS Working Paper No. 168
Number of pages: 28 Posted: 04 Jun 2010
Working Paper Series
University of Palermo and affiliation not provided to SSRN
Downloads 273
5.

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
University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS) and University of Rome, Tor Vergata
Downloads 269
6.

Distributional vs. Quantile Regression

CEIS Working Paper No. 300
Number of pages: 45 Posted: 17 Dec 2013
Working Paper Series
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 261
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
University of Rome II - Department of Economics and Finance
Downloads 197
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
University of Rome, Tor Vergata - Department of Economics and Finance and Bank of Italy
Downloads 169
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
International Labour Organization (ILO)
Downloads 138
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
University Lumsa and University of Rome II - Department of Economics and Finance
Downloads 135
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
University of Rome Tor Vergata Department of Economics and Finance and University of Cambridge - Department of Land Economy
Downloads 131
12.

Modelling Crypto-Currencies Financial Time-Series

CEIS Working Paper No. 417
Number of pages: 39 Posted: 11 Dec 2017 Last Revised: 17 Dec 2017
Working Paper Series
University of Aarhus - School of Business and Social Sciences and University of Rome, Tor Vergata, Faculty of Economics, Department of Economics, Law and Institutions

Multiple version iconThere are 2 versions of this paper

Downloads 124
13.

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
Organization for Economic Co-Operation and Development (OECD)
Downloads 119
14.

Exponential Smoothing, Long Memory and Volatility Prediction

CEIS Working Paper No. 319
Number of pages: 31 Posted: 05 Aug 2014
Working Paper Series
University of Rome II - Department of Economics and Finance
Downloads 118
15.

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
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 113
16.

The Effect of Discretion on Procurement Performance

CEIS Working Paper No. 361
Number of pages: 85 Posted: 17 Nov 2015
Working Paper Series
Stockholm School of Economics (SITE), HEC Montreal and University of Wisconsin - Madison

Multiple version iconThere are 2 versions of this paper

Downloads 104
17.

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
University of Rome, Tor Vergata - Faculty of Economics and University of Groningen - Faculty of Economics and Business
Downloads 103
18.

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
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 101
19.

Testing for Cointegration in High-Dimensional Systems

CEIS Working Paper No. 148
Number of pages: 27 Posted: 15 Sep 2009
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Bonn
Downloads 94
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
University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS), University of Lausanne and Bank of Italy
Downloads 90
21.

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
University Lumsa and University of Rome II - Department of Economics and Finance
Downloads 87
22.

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
University of Rome, Tor Vergata
Downloads 84
23.

The Model Confidence Set Package for R

CEIS Working Paper No. 362
Number of pages: 23 Posted: 20 Nov 2015
Working Paper Series
University of Padova and University of Aarhus - School of Business and Social Sciences
Downloads 84
24.

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
University of Hohenheim and University of Rome II - Department of Economics and Finance
Downloads 80
25.

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
University of Rome, Tor Vergata and University of Rome II - Department of Economics and Finance
Downloads 79
26.

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
University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
Downloads 76
27.

Clustering Macroeconomic Variables

CEIS Working Paper No. 283
Number of pages: 27 Posted: 11 Jun 2013
Working Paper Series
LUISS Guido Carli University - Facoltà di Economia
Downloads 74
28.

A Medium-N Approach to Macroeconomic Forecasting

CEIS Working Paper No. 176
Number of pages: 20 Posted: 10 Dec 2010
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Rome, Tor Vergata
Downloads 67
29.

Predicting the Signs of Forecast Errors

CEIS Working Paper No. 135
Number of pages: 14 Posted: 24 Nov 2008
Working Paper Series
University of Rome, Tor Vergata - Faculty of Economics and Universita di Roma Tor Vergata
Downloads 61
30.

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
University of Rome II - Department of Economics and Finance, Maastricht University - Department of Economics and University of Maastricht - Department of Economics
Downloads 56
31.

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
University of Rome Tor Vergata Department of Economics and Finance and University of Rome, Tor Vergata
Downloads 55
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
University of Rome, Tor Vergata
Downloads 53
33.

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
University of Rome II - Department of Economics and Finance and affiliation not provided to SSRN
Downloads 52
34.

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
University of Aarhus - School of Business and Social Sciences and University of Rome, Tor Vergata - Department of Economics and Finance
Downloads 52
35.

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
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 50
36.

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
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 46
37.

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

Multiple version iconThere are 2 versions of this paper

Downloads 46
38.

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
University of Rome II - Department of Economics and Finance, University of Rome, Tor Vergata and Maastricht University - Department of Economics
Downloads 44
39.

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
University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS), University of Palermo and Universita di Palermo
Downloads 43
40.

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
University of Hohenheim, University of Rome II - Department of Economics and Finance and University of Kent, Canterbury
Downloads 39
41.

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
Bank of Italy and University of Rome II - Department of Economics and Finance
Downloads 39
42.

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
University of Rome II - Department in Economics, Law and Institutions
Downloads 37
43.

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
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

Multiple version iconThere are 2 versions of this paper

Downloads 36
44.

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
University of Rome - Tor Vergata
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
University of Rome, Tor Vergata - Faculty of Economics and University of Southern Denmark - Department of Business and Economics
Downloads 30
46.

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
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
47.

Generalised Linear Spectral Models

CEIS Working Paper No. 290
Number of pages: 27 Posted: 07 Oct 2013
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 28
48.

The Generalised Autocovariance Function

CEIS Working Paper No. 276
Number of pages: 33 Posted: 07 May 2013
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 28
49.

Testing for Common Autocorrelation in Data Rich Environments

CEIS Working Paper No. 153
Number of pages: 11 Posted: 07 Dec 2009
Working Paper Series
University of Rome II - Department of Economics and Finance and Maastricht University - Department of Economics
Downloads 25
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
University of Rome II - Department of Economics and Finance, University of Hohenheim and Eurostat
Downloads 22