ICEEE-6TH: SIXTH ITALIAN CONGRESS OF ECONOMETRICS AND EMPIRICAL ECONOMICS (ICEEE)

This page contains an index consisting of author-provided keywords.

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(Multi-)Cointegration	IDENTIFICATION CONDITIONS IN SIMULTANEOUS SYSTEMS OF COINTEGRATING EQUATIONS OF HIGHER ORDER
1
19th century economic history	Industrial growth and spatial spillovers in 19th century Italy
A
Academic job market	Publish or Perish? Incentives and Careers in Italian Academia
Adaptive algorithms	Adaptive Models and Heavy Tails
age at immigration	Length of stay in the host country and educational achievement of immigrant students: the Italian case
agglomeration economy	A spatial econometric model for productivity and innovation in the manufacturing industry: the role played by geographical and sectorial distances between firms
aggregate agent	Index Stock Return Market Expectations Implied from Options
Aggregate Productivity	Barriers to College Investment and Aggregate Productivity
Alternative fuel vehicle	Green Cars Adoption and the Geography of Supply of Alternative Fuels
alternative investment	Tailing Tail Risk in the Hedge Fund Industry
Applied auction theory	Publish or Perish? Incentives and Careers in Italian Academia
Asset Allocation	Multi-jumps
Asymmetries	Herd Behavior in Global Stock Markets During the Recent Crises: Are There More Asymmetries?
asymptotic normality	Least squares estimation for GARCH (1,1) model with heavy tailed errors
asymptotic relative efficiency	Distributional vs. quantile regression
Asymptotic theory	Modeling and Forecasting Corporate Default Counts with Poisson Intensity AR-X (PARX) Models
B
Bank Lending Channel	Does credit crunch investment down? New evidence on the real effects of the bank-lending channel.
Bank of England fan charts	Quantile aggregation of density forecasts
bayesian econometrics	A Dynamic Test of Conditional Factor Models Optimal Portfolio Choice under Decision-Based Model Combinations Higher order beliefs and the dynamics of exchange rates
Bayesian Graphical Models	Bayesian Graphical Models for Structural Vector Autoregressive Processes
Bayesian Inference	Dynamic Model Averaging for Quantile Regression
Bayesian Model Averaging	An Estimate of the Degree of Interconnectedness between European Regions: A Bayesian Model Averaging Approach
Bayesian model choice	Granger-Causal Priority and Choice of Variables in Vector Autoregressions
beauty contest	Higher order beliefs and the dynamics of exchange rates
BEKK	Dynamic Principal Components: a New Class of Multivariate GARCH Models
bias	Adjusted MLE for the Spatial Autoregressive Parameter Indirect Inference in Spatial Autoregression
Big data	How to measure the quality of financial tweets
Binding function	Indirect Inference in Spatial Autoregression
bipower variation	A Vector Heterogeneous Autoregressive Index Model for Realized Volatilities
body mass index	War and Obesity: The Role of Eating Habits
Bond Yield Spread	A Time-varying Mixture Memory Multiplicative Error Model
Bubbles	Forecasting crude oil volatility by GARCH-MIDAS model
Business Cycle	Testing and Selecting Local Proper Scoring Rules Financial Risk Taste, Business Cycles and Perceived Risk Exposure
business cycles	Labor supply factors and economic fluctuations
C
CAPM	Network Connectivity and Systematic Risk
Career concerns	Publish or Perish? Incentives and Careers in Italian Academia
Childcare	Female employment and pre-kindergarten: on the unintended effects of an Italian reform
choice	The Effects of Hospital Competition and Patient Choice on Mortality for AMI, Hip Fracture and Stroke Patients
Chover-type Law of the Iterated Logarithm	Testing for (in)finite moments
Civil War	The relationship between panel and synthetic control estimators of the effect of civil war.
classification	Clustering complex time series databases by using periodical components
Co-integration rank	Determining the Co-integration Rank in Heteroskedastic VAR Models of Unknown Order
cognitive skills	Childhood Skills, Signals and Dynamic Contagion in Socioeconomic Adulthood Outcomes for Disadvantaged Youth
Cointegration	Optimal hedging with the cointegrated vector autoregressive model Can you do the wrong thing and still be right? Hypothesis Testing in I(2) and near-I(2) cointegrated VARs Monitoring Stationarity and Cointegration A General Theory of Rank Testing
cointegration rank	A small simulation study on the robustness of cointegration methods against local to unity alternatives
common factors	PANICCA – PANIC on cross-section averages
Common Pool	The ban of Batasuna: effects on Local Government Spending
Common trends	Inversion of analytic matrix functions by local rank factorization
Common volatility	A Vector Heterogeneous Autoregressive Index Model for Realized Volatilities
Compensating variation	Nonparametric Welfare Analysis for Discrete Choice
competition	The Effects of Hospital Competition and Patient Choice on Mortality for AMI, Hip Fracture and Stroke Patients
Conditional cash transfer	Should I Stay or Should I go? Sibling spillover effects in household formation
Conditional Factor Models	A Dynamic Test of Conditional Factor Models
Conditional inference	Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model
Connectedness	Islands as 'Bad Geography' - Insularity, Connectedness, Trade Costs and Trade Tail Risk and the Macroeconomy
consistency	Least squares estimation for GARCH (1,1) model with heavy tailed errors
Constant Conditional Correlation models	Whittle estimation of multivariate exponential volatility models
consumer’s information	When the baby cries at night. Inelastic buyers in non-competitive markets
Consumption	The Consumption and Wealth Effects of an Unanticipated Change in Lifetime Resources
Contract incompleteness	Judiciary efficiency and trade in tasks
Control function	Local government cooperation at work: A control function approach
convergence	Inequality Accounting for a Large Cross-Section of Countries Industrial growth and spatial spillovers in 19th century Italy
Cooperative banks	Regulation and the Crisis: Assessing Bank Efficiency through a Difference-in-Difference Approach
Copula	Tailing Tail Risk in the Hedge Fund Industry Copula–based Specification of Vector MEMs
Corporate finance	The empirical assessment of debt ratio dynamics in the light of heterogeneity and non stationarity
Corporate investment	Does credit crunch investment down? New evidence on the real effects of the bank-lending channel.
Corporate liquidity	Does credit crunch investment down? New evidence on the real effects of the bank-lending channel.
Correlated Shocks	Disentangling Spillovers from Correlated Confounders using GMM
Covariates	Modeling and Forecasting Corporate Default Counts with Poisson Intensity AR-X (PARX) Models
Credit shocks	Spillover effects of credit demand and supply shocks in the EU countries: Evidence from a structural GVAR
Cross Section Dependence	Multilateral Resistance and the Euro Effects on Trade Flows
cross-section average augmentation	PANICCA – PANIC on cross-section averages
cross-section dependence	PANICCA – PANIC on cross-section averages
Cross-Section of Expected Returns	The Impact of Uncertainty in the Oil and Gold Market on the Cross-Section of Stock Returns
Crude Oil	Forecasting crude oil volatility by GARCH-MIDAS model
cycles	Clustering complex time series databases by using periodical components
D
Data Revisions	Identifying Noise Shocks: a VAR with Data Revisions
DCC	Dynamic Principal Components: a New Class of Multivariate GARCH Models
decentralised health systems	Free patient mobility is not a free lunch. Lessons from a decentralised NHS.
Default modeling	Modeling and Forecasting Corporate Default Counts with Poisson Intensity AR-X (PARX) Models
demand elasticity	When the baby cries at night. Inelastic buyers in non-competitive markets
Density Forecasts	Density forecasts with MIDAS models Alternative Tests for Correct Specification of Conditional Predictive Densities
derived demand	Trade Liberalization and Domestic Suppliers: Evidence from Chile
Difference-in-difference	Regulation and the Crisis: Assessing Bank Efficiency through a Difference-in-Difference Approach
Difference-In-Differences	An evaluation of the policies on repayment of Government's trade debt in Italy
Discouraged borrowers	State dependence in access to credit
Discrete choice	Nonparametric Welfare Analysis for Discrete Choice
Discrete Time Duration Model	Modelling Heaped Duration: An Application to Neonatal Mortality
distance to the frontier	Innovative capacity and export performance: Exploring heterogeneity along the export intensity distribution
distribution dynamics	Inequality Accounting for a Large Cross-Section of Countries
distributional regression	Distributional vs. quantile regression
Diversification	Risk Diversification, Financial Integration and Foreign Investors' Profile
Drug consumption	A dynamic factor model of health and medical treatment
DSGE models	Misspecification and Quasi-Rational Expectations in DSGE models
Dynamic logit model	Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model
dynamic model	Improving GMM efficiency in dynamic models for panel data with mean stationarity
Dynamic Model Averaging	Dynamic Model Averaging for Quantile Regression
Dynamic panel data models	A dynamic factor model of health and medical treatment
Dynamic principal components	EIGENVALUE RATIO ESTIMATORS FOR THE NUMBER OF DYNAMIC FACTORS
dynamic risk exposure	Tailing Tail Risk in the Hedge Fund Industry
E
early childhood conditions	War and Obesity: The Role of Eating Habits
Econometric forecasting	Quantile aggregation of density forecasts
Economic development	The relationship between panel and synthetic control estimators of the effect of civil war.
Economic Fluctuations	Expectation-Driven Cycles: Time-varying Effects
economic fundamentals	Higher order beliefs and the dynamics of exchange rates
Education	Beyond the Average: Peer Heterogeneity and Intergenerational Transmission of Education Barriers to College Investment and Aggregate Productivity
educational attainments	Length of stay in the host country and educational achievement of immigrant students: the Italian case
Efficiency	Identication and Estimation of Outcome Response with Heterogeneous Treatment Externalities
empirical pricing kernel	Index Stock Return Market Expectations Implied from Options
endogeneity	Innovative capacity and export performance: Exploring heterogeneity along the export intensity distribution
endogenous stratification	Who should be Treated? Empirical Welfare Maximization Methods for Treatment Choice
Entry	Green Cars Adoption and the Geography of Supply of Alternative Fuels
Environmental Factors	Global Dependence and Productivity Catching-up: A Conditional Nonparametric World Frontier Analysis
EPK puzzle	Index Stock Return Market Expectations Implied from Options
Equity Market	The Impact of Uncertainty in the Oil and Gold Market on the Cross-Section of Stock Returns
Equity Return Dispersion	Herd Behavior in Global Stock Markets During the Recent Crises: Are There More Asymmetries?
Equivalent variation	Nonparametric Welfare Analysis for Discrete Choice
Ethnic Capital	Beyond the Average: Peer Heterogeneity and Intergenerational Transmission of Education
Europe	Risk Diversification, Financial Integration and Foreign Investors' Profile The wage premiumto supervision: evidence from an international comparison
event study	The financial and macroeconomic effects of the OMT announcements
exchange rates	Higher order beliefs and the dynamics of exchange rates
Expectation Hypothesis	The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Evidence from a New Testing Approach
Export	Family Firms, Corporate Governance, and Export
Exports	Innovative capacity and export performance: Exploring heterogeneity along the export intensity distribution
Extremum tests	Neglected serial correlation tests in UCARIMA models
F
Factor models	A dynamic factor model of health and medical treatment
Family Firms	Family Firms, Corporate Governance, and Export
Female Labour Supply	Female employment and pre-kindergarten: on the unintended effects of an Italian reform
financial connectedness	Volatility risk premia and financial connectedness
financial crisis	Does credit crunch investment down? New evidence on the real effects of the bank-lending channel. Financial Risk Taste, Business Cycles and Perceived Risk Exposure
Financial globalisation	Trilemma, not Dilemma: Financial Globalisation and Monetary Policy Effectiveness
Financial markets	Financial regimes and uncertainty shocks
Financial tweets	How to measure the quality of financial tweets
Financing constraints	State dependence in access to credit
finite mixture	Finite mixture modeling of unemployment duration
finite moments	Testing for (in)finite moments
finite sample	Reconciling ML and TSLS Estimators in Spatial Models
First-order Markov model	State dependence in access to credit
Fiscal multipliers	Shake me the money!
FIVAR	Volatility risk premia and financial connectedness
Flexible Nonparametric Location-Scale Frontier in Heterogeneous Panels	Global Dependence and Productivity Catching-up: A Conditional Nonparametric World Frontier Analysis
Forecast combination	Quantile aggregation of density forecasts
Forecast Evaluation	Testing and Selecting Local Proper Scoring Rules
Forecasting	Forecast robustness in macroeconometric models Short-term forecasting with mixed-frequency data: A MIDASSO approach Alternative Tests for Correct Specification of Conditional Predictive Densities How to measure the quality of financial tweets
forecasting performance	Index Stock Return Market Expectations Implied from Options
foreign currency exposure	Trilemma, not Dilemma: Financial Globalisation and Monetary Policy Effectiveness
Foreign Investments	Risk Diversification, Financial Integration and Foreign Investors' Profile
Frequency Domain Methods	Generalised Linear Cepstral Models for the Spectrum of a Time Series
Frequentist estimation	Misspecification and Quasi-Rational Expectations in DSGE models
functional Delta-method	Distributional vs. quantile regression
Futures	Forecasting crude oil volatility by GARCH-MIDAS model
G
GARCH	Copula–based Specification of Vector MEMs Least squares estimation for GARCH (1,1) model with heavy tailed errors
GARCH-MIDAS	Forecasting crude oil volatility by GARCH-MIDAS model
Gaussian processes	Gaussian processes and Bayesian moment estimation
General Variance Decomposition	An Estimate of the Degree of Interconnectedness between European Regions: A Bayesian Model Averaging Approach
Generalised linear models	Generalised Linear Cepstral Models for the Spectrum of a Time Series
Generalized dynamic factor model	EIGENVALUE RATIO ESTIMATORS FOR THE NUMBER OF DYNAMIC FACTORS
Generalized impulse responses	Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory
Geography	Islands as 'Bad Geography' - Insularity, Connectedness, Trade Costs and Trade
Germany	Beyond the Average: Peer Heterogeneity and Intergenerational Transmission of Education
Global Financial Crisis	Sentiments in the Times of Crisis
Global value chains	Judiciary efficiency and trade in tasks
global VAR	Trilemma, not Dilemma: Financial Globalisation and Monetary Policy Effectiveness
GMM	Disentangling Spillovers from Correlated Confounders using GMM
GMM estimation	Improving GMM efficiency in dynamic models for panel data with mean stationarity
Gold Market	The Impact of Uncertainty in the Oil and Gold Market on the Cross-Section of Stock Returns
Governance	Family Firms, Corporate Governance, and Export
Governmental policy	Green Cars Adoption and the Geography of Supply of Alternative Fuels
Granger Causality	Bayesian Graphical Models for Structural Vector Autoregressive Processes
Granger-causal priority	Granger-Causal Priority and Choice of Variables in Vector Autoregressions
Granger-noncausality	Granger-Causal Priority and Choice of Variables in Vector Autoregressions
Gravity	Islands as 'Bad Geography' - Insularity, Connectedness, Trade Costs and Trade
gravity model	Free patient mobility is not a free lunch. Lessons from a decentralised NHS.
Gravity Models	Multilateral Resistance and the Euro Effects on Trade Flows
group interaction	Adjusted MLE for the Spatial Autoregressive Parameter
GVAR	Spillover effects of credit demand and supply shocks in the EU countries: Evidence from a structural GVAR
H
Heaping	Modelling Heaped Duration: An Application to Neonatal Mortality
Heavy tails	Adaptive Models and Heavy Tails
hedging	Optimal hedging with the cointegrated vector autoregressive model
Herding	Herd Behavior in Global Stock Markets During the Recent Crises: Are There More Asymmetries?
Heterogeneity	The Adverse Incentive Effects of Heterogeneity in Tournaments-Empirical Evidence from The German Bundesliga
Heterogeneity of agents	The empirical assessment of debt ratio dynamics in the light of heterogeneity and non stationarity
Heterogeneous Peer Effects	Identication and Estimation of Outcome Response with Heterogeneous Treatment Externalities
Heteroskedasticity	Identification in Structural Vector Autoregressive models with structural changes, with an application to U.S. monetary policy Determining the Co-integration Rank in Heteroskedastic VAR Models of Unknown Order The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Evidence from a New Testing Approach
High Frequency Data	Multivariate Volatility Estimation by Markov Chain Methods
high risk offenders	Childhood Skills, Signals and Dynamic Contagion in Socioeconomic Adulthood Outcomes for Disadvantaged Youth
High-dimensional Models	Bayesian Sparse Graphical Multivariate Autoregressions
higher order beliefs	Higher order beliefs and the dynamics of exchange rates
Higher-order moments	Marginal distribution and higher-order moments in Markov-switching VAR models
Home invitation	Does the letter matter (and for everyone)? Quasi-experimental evidence on the effects of home invitation on mammography uptake
homeownership	Does housing tenure affect the response of claimants to stricter job search requirements? Evidence from the UK Jobseeker's Allowance
hospital	The Effects of Hospital Competition and Patient Choice on Mortality for AMI, Hip Fracture and Stroke Patients
hospital admissions	Free patient mobility is not a free lunch. Lessons from a decentralised NHS.
household finance	Financial Risk Taste, Business Cycles and Perceived Risk Exposure
housing tenure	Does housing tenure affect the response of claimants to stricter job search requirements? Evidence from the UK Jobseeker's Allowance
Human Capital	Barriers to College Investment and Aggregate Productivity
hyperbolically decaying coefficients	Whittle estimation of multivariate exponential volatility models
Hypothesis Testing	Testing and Selecting Local Proper Scoring Rules Can you do the wrong thing and still be right? Hypothesis Testing in I(2) and near-I(2) cointegrated VARs
I
I(2)	Can you do the wrong thing and still be right? Hypothesis Testing in I(2) and near-I(2) cointegrated VARs
I(d)	IDENTIFICATION CONDITIONS IN SIMULTANEOUS SYSTEMS OF COINTEGRATING EQUATIONS OF HIGHER ORDER Inversion of analytic matrix functions by local rank factorization
ICT	ICT and Non-ICT investments: short and long run macro dynamics Is it What You Know or What you Do?The effect of teachers’ digital skills and practices on student achievement.
Identification	Structure-based SVAR identification Identification in Structural Vector Autoregressive models with structural changes, with an application to U.S. monetary policy IDENTIFICATION CONDITIONS IN SIMULTANEOUS SYSTEMS OF COINTEGRATING EQUATIONS OF HIGHER ORDER
Immigrant	Beyond the Average: Peer Heterogeneity and Intergenerational Transmission of Education
Immigrant students	Length of stay in the host country and educational achievement of immigrant students: the Italian case
immigration	Mr. Rossi, Mr. Hu and Politics: The Role of Immigration in Shaping Natives’ Political Preferences
Impulse-Response Functions	Identifying Noise Shocks: a VAR with Data Revisions
Incentive Provision	The Adverse Incentive Effects of Heterogeneity in Tournaments-Empirical Evidence from The German Bundesliga
Income inequality	Lifetime Income Inequality: quantile treatment effect of retirement on the distribution of lifetime income.
Inconsistency	Indirect Inference in Spatial Autoregression
Index models	A Vector Heterogeneous Autoregressive Index Model for Realized Volatilities
Indirect inference	Indirect Inference in Spatial Autoregression A spectral EM algorithm for dynamic factor models
Indirect Treatment Effect	Identication and Estimation of Outcome Response with Heterogeneous Treatment Externalities
inequality	Inequality Accounting for a Large Cross-Section of Countries
Infinite variance	Sieve-Based Inference for Infinite-Variance Stationary Linear Processes
Inflation	Adaptive Models and Heavy Tails
Inflation Expectations	Inflation Expectations and the Two Forms of Inattentiveness
Information criteria	Determining the Co-integration Rank in Heteroskedastic VAR Models of Unknown Order
Information Rigidity	Inflation Expectations and the Two Forms of Inattentiveness
Innovation	Disentangling Spillovers from Correlated Confounders using GMM
input output linkages	Trade Liberalization and Domestic Suppliers: Evidence from Chile
Instrumental variable	The effect of local taxes on firm performance: evidence from geo referenced data Reconciling ML and TSLS Estimators in Spatial Models
instrumental variables	Voluntary work and wages The ban of Batasuna: effects on Local Government Spending
Integer Autoregression	Modeling and Forecasting Corporate Default Counts with Poisson Intensity AR-X (PARX) Models
Integrated Variance	Multivariate Volatility Estimation by Markov Chain Methods
Inter-municipal cooperation	Local government cooperation at work: A control function approach
Interacted-VAR	Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory
Interconnections	Network Connectivity and Systematic Risk
Internal Migration	“Who Migrates and Why? Evidence from Italian Administrative Data.”
International capital markets	Herd Behavior in Global Stock Markets During the Recent Crises: Are There More Asymmetries?
Inventory models	IDENTIFICATION CONDITIONS IN SIMULTANEOUS SYSTEMS OF COINTEGRATING EQUATIONS OF HIGHER ORDER
Investment determinants	ICT and Non-ICT investments: short and long run macro dynamics
Islands	Islands as 'Bad Geography' - Insularity, Connectedness, Trade Costs and Trade
Italy	Industrial growth and spatial spillovers in 19th century Italy
Iteratively reweighted least squares	Generalised Linear Cepstral Models for the Spectrum of a Time Series
J
job mobility	Voluntary work and wages
job search	Does housing tenure affect the response of claimants to stricter job search requirements? Evidence from the UK Jobseeker's Allowance
Jobseeker's Allowance	Does housing tenure affect the response of claimants to stricter job search requirements? Evidence from the UK Jobseeker's Allowance
Jumps	Multi-jumps
K
Kalman filter	Neglected serial correlation tests in UCARIMA models A spectral EM algorithm for dynamic factor models
L
labor force participation	Labor supply factors and economic fluctuations
labor supply shocks	Labor supply factors and economic fluctuations
Lag length	Determining the Co-integration Rank in Heteroskedastic VAR Models of Unknown Order
large-m and fixed-m asymptotic theory	Autocorrelation robust inference using the Daniell kernel with fixed bandwidth
LASSO	Short-term forecasting with mixed-frequency data: A MIDASSO approach Bayesian Sparse Graphical Multivariate Autoregressions
latent heterogeneity	Average partial effects in multivariate probit models with an application to immigrants' ethnic identity and economic performance
Latent variable models	A dynamic factor model of health and medical treatment
Laurent series expansion	Inversion of analytic matrix functions by local rank factorization
least squares estimation	Least squares estimation for GARCH (1,1) model with heavy tailed errors
leverage effect	Whittle estimation of multivariate exponential volatility models
liberalization	The Impact of Markup Regulation on Prices
Lifetime income	Lifetime Income Inequality: quantile treatment effect of retirement on the distribution of lifetime income.
likelihood function	Index Stock Return Market Expectations Implied from Options
likelihood inference	A small simulation study on the robustness of cointegration methods against local to unity alternatives
linear location model	Distributional vs. quantile regression
linear process	Sieve-Based Inference for Infinite-Variance Stationary Linear Processes
Liquidity constraints	ICT and Non-ICT investments: short and long run macro dynamics
Living arrangements	Should I Stay or Should I go? Sibling spillover effects in household formation
LM tests	Neglected serial correlation tests in UCARIMA models
Local Government Spending	The ban of Batasuna: effects on Local Government Spending
Local judiciary efficiency	Judiciary efficiency and trade in tasks
Local Scoring Rules	Testing and Selecting Local Proper Scoring Rules
Local taxation	The effect of local taxes on firm performance: evidence from geo referenced data
location-scale models	Distributional vs. quantile regression
long memory	Volatility risk premia and financial connectedness Autocorrelation robust inference using the Daniell kernel with fixed bandwidth
long run variance estimation	Autocorrelation robust inference using the Daniell kernel with fixed bandwidth
Long-run inference	A small simulation study on the robustness of cointegration methods against local to unity alternatives
M
Macro-econometric models Uncertainty	ICT and Non-ICT investments: short and long run macro dynamics
macroeconometrics	Forecast robustness in macroeconometric models
Macroeconomic Fundamentals	Tail Risk and the Macroeconomy
market structure	The Effects of Hospital Competition and Patient Choice on Mortality for AMI, Hip Fracture and Stroke Patients
market uncertainty	Tailing Tail Risk in the Hedge Fund Industry
Markov chain	Multivariate Volatility Estimation by Markov Chain Methods
Markov Chain Monte Carlo	Bayesian Graphical Models for Structural Vector Autoregressive Processes
Markov-Regime-Switching models	Herd Behavior in Global Stock Markets During the Recent Crises: Are There More Asymmetries?
Markov-switching	Marginal distribution and higher-order moments in Markov-switching VAR models
markup	The Impact of Markup Regulation on Prices
Matrix inversion	Inversion of analytic matrix functions by local rank factorization
Matrix valued functions	Inversion of analytic matrix functions by local rank factorization
maximum likelihood estimation	Adjusted MLE for the Spatial Autoregressive Parameter
mean stationarity	Improving GMM efficiency in dynamic models for panel data with mean stationarity
Measurement Error	Modelling Heaped Duration: An Application to Neonatal Mortality
meat consumption	War and Obesity: The Role of Eating Habits
Medical treatment	A dynamic factor model of health and medical treatment
MEM	Copula–based Specification of Vector MEMs
Mercalli scale	Shake me the money!
MIDAS	Short-term forecasting with mixed-frequency data: A MIDASSO approach
Migrants Selection	“Who Migrates and Why? Evidence from Italian Administrative Data.”
Mincer equation	Voluntary work and wages
Minimum distance method	A dynamic factor model of health and medical treatment
minimum variance portfolio	Optimal hedging with the cointegrated vector autoregressive model
Mixed Data Sampling	Density forecasts with MIDAS models
Mixture Distributions	A Time-varying Mixture Memory Multiplicative Error Model
Mixtures of normals	Marginal distribution and higher-order moments in Markov-switching VAR models
Model combinations	Optimal Portfolio Choice under Decision-Based Model Combinations
Moment conditions	Gaussian processes and Bayesian moment estimation
Monetary policy	Identification in Structural Vector Autoregressive models with structural changes, with an application to U.S. monetary policy
monetary policy effectiveness	Trilemma, not Dilemma: Financial Globalisation and Monetary Policy Effectiveness
Monetary policy shocks	Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory
Monitoring	Monitoring Stationarity and Cointegration
Morningstar rating	Fund Ratings: The method reconsidered
multi-country vector autoregressive model	The financial and macroeconomic effects of the OMT announcements
Multi-Jumps	Multi-jumps
Multilateral Resistance	Multilateral Resistance and the Euro Effects on Trade Flows
Multinational Companies	Risk Diversification, Financial Integration and Foreign Investors' Profile
multinomial choice	Nonparametric Welfare Analysis for Discrete Choice
multinomial probit	Average partial effects in multivariate probit models with an application to immigrants' ethnic identity and economic performance
Multiple hypothesis testing	The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Evidence from a New Testing Approach
multiple testing	Clustering complex time series databases by using periodical components
multiple time series	Structure-based SVAR identification
Multiplicative Error Models	A Time-varying Mixture Memory Multiplicative Error Model
Multivariate Autoregression	Bayesian Sparse Graphical Multivariate Autoregressions
Multivariate GARCH	Dynamic Principal Components: a New Class of Multivariate GARCH Models
multivariate probit	Average partial effects in multivariate probit models with an application to immigrants' ethnic identity and economic performance
multivariate random volatility	Whittle estimation of multivariate exponential volatility models
N
Natural disasters	Shake me the money!
near unit roots	A small simulation study on the robustness of cointegration methods against local to unity alternatives
near-I(2)	Can you do the wrong thing and still be right? Hypothesis Testing in I(2) and near-I(2) cointegrated VARs
negative binomial regression	Free patient mobility is not a free lunch. Lessons from a decentralised NHS.
Neonatal Mortality	Modelling Heaped Duration: An Application to Neonatal Mortality
Nepotism	Publish or Perish? Incentives and Careers in Italian Academia
Nested Models	Bayesian Sparse Graphical Multivariate Autoregressions
Network	Network Connectivity and Systematic Risk
networks	Adjusted MLE for the Spatial Autoregressive Parameter Identication and Estimation of Outcome Response with Heterogeneous Treatment Externalities
news	The financial and macroeconomic effects of the OMT announcements
Noise Shocks	Identifying Noise Shocks: a VAR with Data Revisions
Non Parametric Distribution of wages	The wage premiumto supervision: evidence from an international comparison
non-cognitive skills	Childhood Skills, Signals and Dynamic Contagion in Socioeconomic Adulthood Outcomes for Disadvantaged Youth
non-linear Structural VAR	Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory
Nonlinear Models	Testing and Selecting Local Proper Scoring Rules
nonlinear panel data methods	Free patient mobility is not a free lunch. Lessons from a decentralised NHS.
nonparametric identification	Nonparametric Welfare Analysis for Discrete Choice
nonparametric methods	Inequality Accounting for a Large Cross-Section of Countries
Nonstationary volatility	Adaptive testing for a unit root with nonstationary volatility
Nowcasting	Density forecasts with MIDAS models How to measure the quality of financial tweets
Number of factors	EIGENVALUE RATIO ESTIMATORS FOR THE NUMBER OF DYNAMIC FACTORS
O
Oil Market	The Impact of Uncertainty in the Oil and Gold Market on the Cross-Section of Stock Returns
option prices	Index Stock Return Market Expectations Implied from Options
Options	The Impact of Uncertainty in the Oil and Gold Market on the Cross-Section of Stock Returns
ordered choice	Nonparametric Welfare Analysis for Discrete Choice
Orthogonal GARCH	Dynamic Principal Components: a New Class of Multivariate GARCH Models
Outright Monetary Transactions	The financial and macroeconomic effects of the OMT announcements
overidentification	Gaussian processes and Bayesian moment estimation
P
Pane data	Multilateral Resistance and the Euro Effects on Trade Flows
panel data	Local government cooperation at work: A control function approach The effect of local taxes on firm performance: evidence from geo referenced data A spatial econometric model for productivity and innovation in the manufacturing industry: the role played by geographical and sectorial distances between firms Childhood Skills, Signals and Dynamic Contagion in Socioeconomic Adulthood Outcomes for Disadvantaged Youth Improving GMM efficiency in dynamic models for panel data with mean stationarity The relationship between panel and synthetic control estimators of the effect of civil war.
panel probit	Average partial effects in multivariate probit models with an application to immigrants' ethnic identity and economic performance
PANIC	PANICCA – PANIC on cross-section averages
Parameters on the Boundary	Modelling Heaped Duration: An Application to Neonatal Mortality
patent	A spatial econometric model for productivity and innovation in the manufacturing industry: the role played by geographical and sectorial distances between firms
Peer effects	Should I Stay or Should I go? Sibling spillover effects in household formation Beyond the Average: Peer Heterogeneity and Intergenerational Transmission of Education
Pension Funds	Fund Ratings: The method reconsidered
permutation bootstrap	Sieve-Based Inference for Infinite-Variance Stationary Linear Processes
pharmacies	When the baby cries at night. Inelastic buyers in non-competitive markets
PMI	Short-term forecasting with mixed-frequency data: A MIDASSO approach
Poisson models	Modeling and Forecasting Corporate Default Counts with Poisson Intensity AR-X (PARX) Models
polarization	Inequality Accounting for a Large Cross-Section of Countries
policy evaluation	Identication and Estimation of Outcome Response with Heterogeneous Treatment Externalities The Impact of Markup Regulation on Prices Who should be Treated? Empirical Welfare Maximization Methods for Treatment Choice An evaluation of the policies on repayment of Government's trade debt in Italy
Policy Experiment	Beyond the Average: Peer Heterogeneity and Intergenerational Transmission of Education
political economy	Mr. Rossi, Mr. Hu and Politics: The Role of Immigration in Shaping Natives’ Political Preferences The ban of Batasuna: effects on Local Government Spending
Portfolio choice	Optimal Portfolio Choice under Decision-Based Model Combinations
posterior consistency	Gaussian processes and Bayesian moment estimation
Premium for supervisory position	The wage premiumto supervision: evidence from an international comparison
Preventive health care	Does the letter matter (and for everyone)? Quasi-experimental evidence on the effects of home invitation on mammography uptake
price competition	When the baby cries at night. Inelastic buyers in non-competitive markets
Pricing Anomalies	A Dynamic Test of Conditional Factor Models
pricing kernel	Index Stock Return Market Expectations Implied from Options
Principal Component Analysis	Dynamic Principal Components: a New Class of Multivariate GARCH Models
productivity	Trade Liberalization and Domestic Suppliers: Evidence from Chile
Publications	Publish or Perish? Incentives and Careers in Italian Academia
Q
Quadratic exponential model	Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model
Quadratic Utility Function	Fund Ratings: The method reconsidered
Quadratic Variation	Multivariate Volatility Estimation by Markov Chain Methods
quality	The Effects of Hospital Competition and Patient Choice on Mortality for AMI, Hip Fracture and Stroke Patients
Quantile regression	Distributional vs. quantile regression Innovative capacity and export performance: Exploring heterogeneity along the export intensity distribution Dynamic Model Averaging for Quantile Regression
Quantile Treatment Effects	Lifetime Income Inequality: quantile treatment effect of retirement on the distribution of lifetime income.
Quasi-experiment	Does the letter matter (and for everyone)? Quasi-experimental evidence on the effects of home invitation on mammography uptake
Quasi-Rational Expectations	Misspecification and Quasi-Rational Expectations in DSGE models
R
R&D	Innovative capacity and export performance: Exploring heterogeneity along the export intensity distribution
R&D Investment	Disentangling Spillovers from Correlated Confounders using GMM
randomised tests	Testing for (in)finite moments
randomized controlled trials	Who should be Treated? Empirical Welfare Maximization Methods for Treatment Choice
Rank testing	A General Theory of Rank Testing
Rational Expectations	Misspecification and Quasi-Rational Expectations in DSGE models
Real-time data	Short-term forecasting with mixed-frequency data: A MIDASSO approach
Realized Variance	Multivariate Volatility Estimation by Markov Chain Methods
Realized Volatility	A Time-varying Mixture Memory Multiplicative Error Model
regression discontinuity	When the baby cries at night. Inelastic buyers in non-competitive markets Female employment and pre-kindergarten: on the unintended effects of an Italian reform
regulation	The Impact of Markup Regulation on Prices
Repo	The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Evidence from a New Testing Approach
Return and Risk Measurement	Fund Ratings: The method reconsidered
Risk	Risk Diversification, Financial Integration and Foreign Investors' Profile
risk exposure	Financial Risk Taste, Business Cycles and Perceived Risk Exposure
risk taste	Financial Risk Taste, Business Cycles and Perceived Risk Exposure
S
Scalar	Dynamic Principal Components: a New Class of Multivariate GARCH Models
Score driven models	Adaptive Models and Heavy Tails
Sectoral employment	A spectral EM algorithm for dynamic factor models
selection bias	Voluntary work and wages
sentiment shocks	Sentiments in the Times of Crisis
Sequential MCMC	Dynamic Model Averaging for Quantile Regression
Severance Pay	The Consumption and Wealth Effects of an Unanticipated Change in Lifetime Resources
SHARE	Lifetime Income Inequality: quantile treatment effect of retirement on the distribution of lifetime income.
sieve estimator	Sieve-Based Inference for Infinite-Variance Stationary Linear Processes
signals	Childhood Skills, Signals and Dynamic Contagion in Socioeconomic Adulthood Outcomes for Disadvantaged Youth
Singular information matrix	Neglected serial correlation tests in UCARIMA models
Sistemi Locali del Lavoro	Regulation and the Crisis: Assessing Bank Efficiency through a Difference-in-Difference Approach
skewed individual effects	Improving GMM efficiency in dynamic models for panel data with mean stationarity
Soccer	The Adverse Incentive Effects of Heterogeneity in Tournaments-Empirical Evidence from The German Bundesliga
Social Security Systems	Lifetime Income Inequality: quantile treatment effect of retirement on the distribution of lifetime income.
Sparse Graphical Models	Bayesian Sparse Graphical Multivariate Autoregressions
spatial autoregression	Adjusted MLE for the Spatial Autoregressive Parameter Indirect Inference in Spatial Autoregression
Spatial Autoregressive Model	Identication and Estimation of Outcome Response with Heterogeneous Treatment Externalities
spatial dependence	Free patient mobility is not a free lunch. Lessons from a decentralised NHS.
Spatial differencing	The effect of local taxes on firm performance: evidence from geo referenced data
Spatial Matrix	An Estimate of the Degree of Interconnectedness between European Regions: A Bayesian Model Averaging Approach
spatial models	A spatial econometric model for productivity and innovation in the manufacturing industry: the role played by geographical and sectorial distances between firms Reconciling ML and TSLS Estimators in Spatial Models
spatial spillovers	Industrial growth and spatial spillovers in 19th century Italy
Spectral Decomposition	Dynamic Principal Components: a New Class of Multivariate GARCH Models
Spectral maximum likelihood	Neglected serial correlation tests in UCARIMA models A spectral EM algorithm for dynamic factor models
spillover	A spatial econometric model for productivity and innovation in the manufacturing industry: the role played by geographical and sectorial distances between firms
Spillovers	Spillover effects of credit demand and supply shocks in the EU countries: Evidence from a structural GVAR Disentangling Spillovers from Correlated Confounders using GMM
State dependence	State dependence in access to credit
state dependent utilities	Index Stock Return Market Expectations Implied from Options
state space models	Marginal distribution and higher-order moments in Markov-switching VAR models Higher order beliefs and the dynamics of exchange rates
State-Space model	Misspecification and Quasi-Rational Expectations in DSGE models
Static factor model	EIGENVALUE RATIO ESTIMATORS FOR THE NUMBER OF DYNAMIC FACTORS
Stationarity	Monitoring Stationarity and Cointegration
Statistical Decision Theory	Testing and Selecting Local Proper Scoring Rules
Stochastic Betas	A Dynamic Test of Conditional Factor Models
Stochastic volatility	Financial regimes and uncertainty shocks
Stochastic Volatility models	Whittle estimation of multivariate exponential volatility models
stock prices	Sentiments in the Times of Crisis
Stocks and flows	IDENTIFICATION CONDITIONS IN SIMULTANEOUS SYSTEMS OF COINTEGRATING EQUATIONS OF HIGHER ORDER
Strong Law of Large Numbers	Testing for (in)finite moments
structural breaks	Forecast robustness in macroeconometric models
Structural Change	Monitoring Stationarity and Cointegration
Structural VAR	Bayesian Graphical Models for Structural Vector Autoregressive Processes Identification in Structural Vector Autoregressive models with structural changes, with an application to U.S. monetary policy
Structural VARs	Structure-based SVAR identification
structural vector autoregression	Granger-Causal Priority and Choice of Variables in Vector Autoregressions
student performance	Is it What You Know or What you Do?The effect of teachers’ digital skills and practices on student achievement.
Subspace estimation	A General Theory of Rank Testing
survey data	Higher order beliefs and the dynamics of exchange rates
Survey Expectations	Expectation-Driven Cycles: Time-varying Effects
Survey Forecasts	Inflation Expectations and the Two Forms of Inattentiveness
Surveys	Alternative Tests for Correct Specification of Conditional Predictive Densities
survival analysis	Finite mixture modeling of unemployment duration
Switzerland	Short-term forecasting with mixed-frequency data: A MIDASSO approach
Synthetic control method	The relationship between panel and synthetic control estimators of the effect of civil war.
Systematic risk	Network Connectivity and Systematic Risk
Systemic risk	Network Connectivity and Systematic Risk
T
t-test	Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model
tail dependence	Tailing Tail Risk in the Hedge Fund Industry
Tail Risk	Tail Risk and the Macroeconomy
teacher quality	Is it What You Know or What you Do?The effect of teachers’ digital skills and practices on student achievement.
teaching practices	Is it What You Know or What you Do?The effect of teachers’ digital skills and practices on student achievement.
Technical efficiency	Regulation and the Crisis: Assessing Bank Efficiency through a Difference-in-Difference Approach
Territorial diversification	Regulation and the Crisis: Assessing Bank Efficiency through a Difference-in-Difference Approach
Threshold VAR	Financial regimes and uncertainty shocks
time series	Forecast robustness in macroeconometric models
Time Series Analysis	Modeling and Forecasting Corporate Default Counts with Poisson Intensity AR-X (PARX) Models
time series clustering	Clustering complex time series databases by using periodical components
Time varying parameters	Adaptive Models and Heavy Tails
time varying VAR	Sentiments in the Times of Crisis
Time Varying Vector Autoregression	Expectation-Driven Cycles: Time-varying Effects
Time-Varying Conditional Efficiency Measures	Global Dependence and Productivity Catching-up: A Conditional Nonparametric World Frontier Analysis
Time-varying parameters	Optimal Portfolio Choice under Decision-Based Model Combinations
Time-Varying Risk	Tail Risk and the Macroeconomy
total factor productivity	A spatial econometric model for productivity and innovation in the manufacturing industry: the role played by geographical and sectorial distances between firms
Tournaments	The Adverse Incentive Effects of Heterogeneity in Tournaments-Empirical Evidence from The German Bundesliga
Trace statistic	Determining the Co-integration Rank in Heteroskedastic VAR Models of Unknown Order
Trade	Islands as 'Bad Geography' - Insularity, Connectedness, Trade Costs and Trade
Trade debt	An evaluation of the policies on repayment of Government's trade debt in Italy
Trade in tasks	Judiciary efficiency and trade in tasks
trade liberalization	Trade Liberalization and Domestic Suppliers: Evidence from Chile
Trading Activity	Copula–based Specification of Vector MEMs
Trading Volume	Copula–based Specification of Vector MEMs
treatment effects	Who should be Treated? Empirical Welfare Maximization Methods for Treatment Choice
Treatment Response	Identication and Estimation of Outcome Response with Heterogeneous Treatment Externalities
Two-Stage Least Squares	Identication and Estimation of Outcome Response with Heterogeneous Treatment Externalities
Two-step Estimation	Dynamic Principal Components: a New Class of Multivariate GARCH Models
U
Uncertainty	Financial regimes and uncertainty shocks Tail Risk and the Macroeconomy The Impact of Uncertainty in the Oil and Gold Market on the Cross-Section of Stock Returns
Uncertainty shocks	Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory
unemployment benefit	Does housing tenure affect the response of claimants to stricter job search requirements? Evidence from the UK Jobseeker's Allowance
unemployment duration	Finite mixture modeling of unemployment duration
unemployment insurance	Finite mixture modeling of unemployment duration
unit root test	PANICCA – PANIC on cross-section averages
Unit roots	Monitoring Stationarity and Cointegration Adaptive testing for a unit root with nonstationary volatility The empirical assessment of debt ratio dynamics in the light of heterogeneity and non stationarity
Unobserved heterogeneity	“Who Migrates and Why? Evidence from Italian Administrative Data.” Nonparametric Welfare Analysis for Discrete Choice
V
VAR	Identifying Noise Shocks: a VAR with Data Revisions Misspecification and Quasi-Rational Expectations in DSGE models
VAR models	Marginal distribution and higher-order moments in Markov-switching VAR models
VAR Testing	The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Evidence from a New Testing Approach
Variance Risk Premium	Multi-jumps
Vector Autoregression	Bayesian Graphical Models for Structural Vector Autoregressive Processes Granger-Causal Priority and Choice of Variables in Vector Autoregressions
Vector Autoregressions	Inversion of analytic matrix functions by local rank factorization
vector autoregressive model	A small simulation study on the robustness of cointegration methods against local to unity alternatives
Volatility	Risk Diversification, Financial Integration and Foreign Investors' Profile Network Connectivity and Systematic Risk Copula–based Specification of Vector MEMs Forecasting crude oil volatility by GARCH-MIDAS model
Volatility Risk Premium	Volatility risk premia and financial connectedness The Impact of Uncertainty in the Oil and Gold Market on the Cross-Section of Stock Returns
voluntary work	Voluntary work and wages
voting	Mr. Rossi, Mr. Hu and Politics: The Role of Immigration in Shaping Natives’ Political Preferences
W
wage mark-up shocks	Labor supply factors and economic fluctuations
wages	Voluntary work and wages
Wealth Accumulation	The Consumption and Wealth Effects of an Unanticipated Change in Lifetime Resources
Whittle estimation	Whittle estimation of multivariate exponential volatility models
Wiener-Kolmogorov filter	Neglected serial correlation tests in UCARIMA models A spectral EM algorithm for dynamic factor models
Wild bootstrap	Determining the Co-integration Rank in Heteroskedastic VAR Models of Unknown Order Sieve-Based Inference for Infinite-Variance Stationary Linear Processes Adaptive testing for a unit root with nonstationary volatility
World War II	War and Obesity: The Role of Eating Habits
Y
Youth emancipation	Should I Stay or Should I go? Sibling spillover effects in household formation
Z
Zero Lower Bound	Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory

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