Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion,
Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian and Sebastien McMahon,
from Bank of Canada
(2006)
Keywords: Econometric and statistical methods
Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors,
François-Éric Racicot, Raymond Théoret and Alain Coen,
from Département des sciences administratives, UQO
(2006)
Keywords: Asset pricing, portfolio selection, errors in variables, measurement errors, higher moments, instrumental variables, Specification test, corporate governance, protection of investors.
A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited,
Alain Coen and François-Éric Racicot,
from Département des sciences administratives, UQO
(2006)
Keywords: Errors in the variables, cumulants, higher moments, instrumental variables, cost of equity, Jensen alpha.
Forecasting Canadian Time Series with the New Keynesian Model,
Ali Dib, Mohamed Gammoudi and Kevin Moran,
from Bank of Canada
(2006)
Keywords: Business fluctuations and cycles; Economic models; Econometric and statistical methods
Survival on the Titantic: Illustrating Wald and LM Tests for Proportions and Logits,
Robert Dixon and William Griffiths,
from The University of Melbourne
(2006)
Keywords: Contingency table, Difference in proportions, Logit model, Statistical tests
Measurement of Business Cycles,
Don Harding and Adrian Pagan,
from The University of Melbourne
(2006)
Estimating the finite population total under frame imperfections and nonresponse,
Marianne Ängsved,
from Örebro University, School of Business
(2006)
Keywords: Finite population sampling; target population; samplingframe; overcoverage; undercoverage; nonresponse; GREG estimator; calibration
Parametric Binary Choice Models,
Michael Lechner, Stefan Lollivier and Thierry Magnac,
from Institut d'Économie Industrielle (IDEI), Toulouse
(2005)
Reexamining the linkages between inflation and output growth: A bivariate ARFIMA-FIGARCH approach,
Mustafa Caglayan and Feng Jiang,
from Business School - Economics, University of Glasgow
(2006)
On Selection of Components for a Diffusion Index Model: It's not the Size, It's How You Use It,
Boriss Siliverstovs and Konstantin Kholodilin,
from DIW Berlin, German Institute for Economic Research
(2006)
Keywords: Diffusion index, forecasting, optimal subset of data
Time Series Analysis,
Francis Diebold, Lutz Kilian and Marc Nerlove,
from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
(2006)
Keywords: time series analysis, time domain, frequency domain
Asymptotic Properties for a Class of Partially Identified Models,
Arie Beresteanu and Francesca Molinari,
from Duke University, Department of Economics
(2006)
Keywords: Partial Identification, Confidence Collections, Set-Valued Random Variables
Robust Multidimensional Poverty Comparisons with Discrete Indicators of Well-being,
Jean-Yves Duclos, David Sahn and Stephen Younger,
from CIRPEE
(2006)
Keywords: Multidimensional Poverty, Stochastic Dominance