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CEIS: Econometrics & Empirical Economics (Topic)

10,780 Total downloads

Viewing: 1 - 50 of 66 papers

1.

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 University of Palermo - Department of Economics
Downloads 5
2.

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 13
3.

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 14
4.

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 20
5.

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 22
6.

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

Multiple version iconThere are 2 versions of this paper

Downloads 53
7.

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 34
8.

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 27
9.

About Local Projection Impulse Response Function Reliability

CEIS Working Paper No. 440
Number of pages: 38 Posted: 27 Aug 2018
Working Paper Series
Rokos Capital Management
Downloads 20
10.

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 28
11.

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 31
12.

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 16
13.

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

Multiple version iconThere are 2 versions of this paper

Downloads 279
14.

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 25
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 146
16.

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 1,760
17.

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 32
18.

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 124
19.

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 127
20.

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 60
21.

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 47
22.

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 1,162
23.

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 161
24.

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 60
25.

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 128
26.

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 138
27.

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 99
28.

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 49
29.

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 27
30.

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 20
31.

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 28
32.

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
33.

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 92
34.

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 94
35.

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 139
36.

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 58
37.

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 - Centre for International Studies on Economic Growth (CEIS)
Downloads 319
38.

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
39.

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 35
40.

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 43
41.

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 50
42.

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 81
43.

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 34
44.

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 57
45.

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 96
46.

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 2,714
47.

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 198
48.

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 Tor Vergata - Department of Economics and Finance, University of Rome Tor Vergata and Maastricht University - Department of Economics
Downloads 45
49.

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 Tor Vergata - Department of Economics and Finance
Downloads 140
50.

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 34