1.
Likelihood Induced by Moment Functions using Particle Filter: A Comparison of Particle GMM and Standard MCMC Methods
CEIS Working Paper No. 477
Number of pages: 25
Posted: 05 Dec 2019
Working Paper Series
Independent
Downloads
10
2.
Identify More, Observe Less: Mediation Analysis Synthetic Control
CEIS Working Paper No. 474
Number of pages: 53
Posted: 21 Nov 2019
Working Paper Series
University of Southern Denmark - Department of Business and Economics and CEIS, University of Rome Tor Vergata
There are 2 versions of this paper
Identify More, Observe Less: Mediation Analysis Synthetic Control
CEIS Working Paper No. 474
Number of pages: 53
Posted: 21 Nov 2019
Downloads
10
Identify More, Observe Less: Mediation Analysis Synthetic Control
Discussion Papers on Business and Economics, University of Southern Denmark, 12/2019
Number of pages: 51
Posted: 31 Oct 2019
Downloads
6
Downloads
10
3.
Efficient Particle MCMC with GMM Likelihood Representation
CEIS Working Paper No. 473
Number of pages: 35
Posted: 20 Nov 2019
Working Paper Series
Independent
There are 2 versions of this paper
Efficient Particle MCMC with GMM Likelihood Representation
CEIS Working Paper No. 473
Number of pages: 35
Posted: 20 Nov 2019
Downloads
12
Efficient Particle MCMC with GMM Likelihood Representation
Number of pages: 32
Posted: 15 Oct 2019
Downloads
10
Downloads
12
4.
Flexible Estimation of Heteroskedastic Stochastic Frontier Models via Two-step Iterative Nonlinear Least Squares
CEIS Working Paper No. 462
Number of pages: 31
Posted: 03 Jul 2019
Working Paper Series
University of Rome Tor Vergata - Department of Economics and Finance and SOSE - Soluzioni per il Sistema Economico SpA
Downloads
16
5.
Estimation of Stochastic Frontier Panel Data Models with Spatial Inefficiency
CEIS Working Paper No. 459
Number of pages: 32
Posted: 31 May 2019
Working Paper Series
University of Rome Tor Vergata - Department of Economics and Finance, Bank of Italy and CEIS Tor Vergata
Downloads
27
6.
Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models
CEIS Working Paper No. 455
Number of pages: 25
Posted: 22 Mar 2019
Working Paper Series
University of Rome II - Department of Economics and Finance
Downloads
21
7.
A Horse Race in High Dimensional Space
CEIS Working Paper No. 452
Number of pages: 31
Posted: 15 Feb 2019
Working Paper Series
University of Rome Tor Vergata and University of Rome Tor Vergata
Downloads
33
8.
Robust Tests for Convergence Clubs
CEIS Working Paper No. 451
Number of pages: 44
Posted: 14 Feb 2019
Working Paper Series
University of Rome Tor Vergata Department of Economics and Finance, University of Guelph - Department of Economics, University of Cambridge - Faculty of Economics and Politics and Istanbul Bilgi University
Downloads
28
9.
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
CEIS Working Paper No. 450
Number of pages: 29
Posted: 07 Feb 2019
Working Paper Series
Aarhus University - School of Business and Social Sciences and University of Rome II - Department of Economics and Finance
There are 2 versions of this paper
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
Number of pages: 26
Posted: 19 Dec 2018
Downloads
92
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
CEIS Working Paper No. 450
Number of pages: 29
Posted: 07 Feb 2019
Downloads
55
Downloads
55
10.
Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of the US Banking Sector
CEIS Working Paper No. 445
Number of pages: 27
Posted: 06 Nov 2018
Working Paper Series
University of Rome Tor Vergata - Department of Economics and Finance, Maastricht University - Department of Quantitative Economics and ICE Data Services Italy
Downloads
45
11.
Wavelet Analysis for Temporal Disaggregation
CEIS Working Paper No. 444
Number of pages: 31
Posted: 29 Oct 2018
Working Paper Series
University of Rome Tor Vergata
Downloads
35
12.
About Local Projection Impulse Response Function Reliability
CEIS Working Paper No. 440
Number of pages: 38
Posted: 27 Aug 2018
Working Paper Series
affiliation not provided to SSRN
Downloads
39
13.
Estimating Models with Dynamic Network Interactions and Unobserved Heterogeneity
CEIS Working Paper No. 439
Number of pages: 50
Posted: 27 Aug 2018
Last Revised: 07 Nov 2018
Working Paper Series
University of Rome Tor Vergata Department of Economics and Finance and University of Rome Tor Vergata - Department of Economics and Finance
Downloads
35
14.
Detecting Co-Movements in Noncausal Time Series
CEIS Working Paper No. 430
Number of pages: 37
Posted: 03 May 2018
Working Paper Series
University of Rome Tor Vergata - Department of Economics and Finance, Maastricht University - Department of Quantitative Economics and Maastricht University - Department of Quantitative Economics
Downloads
36
15.
Spikes and Memory in (Nord Pool) Electricity Price Spot Prices
CEIS Working Paper No. 422
Number of pages: 18
Posted: 18 Dec 2017
Working Paper Series
University of Rome II - Department of Economics and Finance, Aarhus University, School of Economics and Management and University of Aarhus
Downloads
19
16.
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
Aarhus University - School of Business and Social Sciences and University of Rome, Tor Vergata, Faculty of Economics, Department of Economics, Law and Institutions
There are 2 versions of this paper
Modelling Crypto-Currencies Financial Time-Series
Number of pages: 40
Posted: 01 Sep 2017
Last Revised: 28 Oct 2019
Downloads
974
Modelling Crypto-Currencies Financial Time-Series
CEIS Working Paper No. 417
Number of pages: 39
Posted: 11 Dec 2017
Last Revised: 17 Dec 2017
Downloads
291
Downloads
291
17.
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices
CEIS Working Paper No. 410
Number of pages: 26
Posted: 19 Jul 2017
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Rome Tor Vergata
Downloads
31
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
University of Rome Tor Vergata - Dept. of Economics and Finance, Luiss Guido Carli University, University of Rome, Tor Vergata and University of Rome Tor Vergata
Downloads
158
19.
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 Bank of Italy
Downloads
2,019
20.
Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model
CEIS Working Paper No. 397
Number of pages: 26
Posted: 07 Feb 2017
Last Revised: 23 Jul 2018
Working Paper Series
University of Rome Tor Vergata - Department of Economics and Finance and University of Rome Tor Vergata
Downloads
34
21.
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: 66
Posted: 29 Jun 2016
Last Revised: 31 Oct 2018
Working Paper Series
University of Rome Tor Vergata - Centre for International Studies on Economic Growth (CEIS), University of Lausanne and Bank of Italy
Downloads
145
22.
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
135
23.
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
Aarhus University - School of Business and Social Sciences and Free University of Bolzano-Bozen
Downloads
61
24.
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 Campus
Downloads
51
25.
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
1,306
26.
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
174
27.
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
64
28.
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 Aarhus University - School of Business and Social Sciences
Downloads
153
29.
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
There are 2 versions of this paper
The Effect of Discretion on Procurement Performance
CEIS Working Paper No. 361
Number of pages: 85
Posted: 17 Nov 2015
Downloads
143
The Effect of Discretion on Procurement Performance
CEPR Discussion Paper No. DP11286
Number of pages: 87
Posted: 24 May 2016
Downloads
143
30.
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 Tor Vergata - Department of Economics and Finance
Downloads
104
31.
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
Downloads
50
32.
Seasonal Changes in Central England Temperatures
CEIS Working Paper No. 347
Number of pages: 29
Posted: 17 Jun 2015
Working Paper Series
University of Rome II - Department of Economics and Finance and Aarhus University - CREATES
Downloads
30
33.
Generalised Partial Autocorrelations and the Mutual Information between Past and Future
CEIS Working Paper No. 344
Number of pages: 17
Posted: 06 Jun 2015
Working Paper Series
University of Bologna - Department of Statistics and University of Rome II - Department of Economics and Finance
Downloads
22
34.
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
30
35.
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
Dep. Economics Management and Quantitative Methods and University of Rome Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
Downloads
37
36.
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
96
37.
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
101
38.
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
145
39.
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
59
40.
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, Dep. Economics Management and Quantitative Methods and University of Rome Tor Vergata - Department of Economics and Finance
Downloads
343
41.
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
41
42.
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
36
43.
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 Tor Vergata - Department of Economics and Finance
Downloads
44
44.
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, Aarhus University - CREATES, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance
Downloads
53
45.
Clustering Macroeconomic Variables
CEIS Working Paper No. 283
Number of pages: 27
Posted: 11 Jun 2013
Working Paper Series
University of Rome Tor Vergata
Downloads
84
46.
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
39
47.
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
60
48.
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
99
49.
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
2,825
50.
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
211
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