Search Results
CEIS: Econometrics & Empirical Economics (Topic)

13,611 Total downloads

Viewing: 1 - 50 of 75 papers

1.

On Cointegration for Processes Integrated at Different Frequencies

CEIS Working Paper No. 502
Number of pages: 36 Posted: 14 Sep 2020
Working Paper Series
affiliation not provided to SSRN, University of Rome Tor Vergata - Department of Economics and Finance and University of Manchester - School of Social Sciences
Downloads 18
2.

A Test of Sufficient Condition for Infinite-Step Granger Noncausality in Infinite Order Vector Autoregressive Process

CEIS Working Paper No. 496
Number of pages: 16 Posted: 25 Jun 2020
Working Paper Series
University of L'Aquila - Department of Information Engineering, Computer Science and Mathematics, BETA-CNRS, Université de Lorraine and University of Rome Tor Vergata
Downloads 15
3.

Peaks, Gaps, and Time Reversibility of Economic Time Series

CEIS Working Paper No. 492
Number of pages: 28 Posted: 22 Jun 2020
Working Paper Series
University of Rome II - Department of Economics and Finance
Downloads 29
4.

Nowcasting GDP and its Components in a Data-Rich Environment: The Merits of the Indirect Approach

CEIS Working Paper No. 489
Number of pages: 116 Posted: 04 Jun 2020 Last Revised: 07 Aug 2020
Working Paper Series
University of Rome Tor Vergata, University of Rome II - Department of Economics and Finance, Ministry of Economy and Finance, Italy, Government of the Italian Republic (Italy) - Ministry of Economy and Finance - RGS, Sogei S.p.A. and Ministry of Economy and Finance, Italy
Downloads 63
5.

Nowcasting Monthly GDP with Big Data: A Model Averaging Approach

CEIS Working Paper No. 482
Number of pages: 43 Posted: 15 May 2020
Working Paper Series
University of Rome II - Department of Economics and Finance and University of Rome Tor Vergata
Downloads 117
6.

On the Effects of Taxation on Growth: An Empirical Assessment

CEIS Working Paper No. 480
Number of pages: 32 Posted: 11 May 2020
Working Paper Series
Università degli Studi La Sapienza, Università di Roma "Tor Vergata" and University of Rome Tor Vergata - Faculty of Economics
Downloads 88
7.

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 27
8.

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

Multiple version iconThere are 2 versions of this paper

Downloads 22
9.

Efficient Particle MCMC with GMM Likelihood Representation

CEIS Working Paper No. 473
Number of pages: 35 Posted: 20 Nov 2019
Working Paper Series
Independent

Multiple version iconThere are 2 versions of this paper

Downloads 18
10.

Imposing monotonicity on stochastic production frontiers: an iterative nonlinear least squares procedure

CEIS Working Paper No. 462
Number of pages: 21 Posted: 03 Jul 2019 Last Revised: 18 Dec 2020
Working Paper Series
University of Rome Tor Vergata - Department of Economics and Finance and SOSE - Soluzioni per il Sistema Economico SpA
Downloads 23
11.

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 61
12.

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 25
13.

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 48
14.

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 31
15.

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 65
16.

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 56
17.

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 43
18.

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 103
19.

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 49
20.

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 41
21.

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 23
22.

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 and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 304
23.

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 45
24.

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 164
25.

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 2,503
26.

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 35
27.

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 202
28.

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 141
29.

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 University of Padua
Downloads 64
30.

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 57
31.

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 1,501
32.

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 186
33.

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 69
34.

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 185
35.

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 154
36.

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 114
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
Downloads 52
38.

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 42
39.

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 27
40.

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
41.

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 39
42.

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 97
43.

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 111
44.

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 158
45.

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 65
46.

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 384
47.

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 44
48.

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 41
49.

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
50.

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, Bocconi University - Department of Economics, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 55