ICEEE-7TH: SEVENTH ITALIAN CONGRESS OF ECONOMETRICS AND EMPIRICAL ECONOMICS

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

1
1. Bank Performance	Bank performance and financial stability. How does the manager handle risk-taking in different market structures?
2
2. Financial Sector Stability	Bank performance and financial stability. How does the manager handle risk-taking in different market structures?
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3. Market Structures	Bank performance and financial stability. How does the manager handle risk-taking in different market structures?
A
Absenteeism	WHO SHOULD MONITOR JOB SICK LEAVE?
Access to Credit	An Assessment of the Access to Credit – Welfare Nexus: Evidence from Mauritania
Accountability	The Political Cost of Being Soft on Crime: Evidence from a Natural Experiment
adaptive models	Dynamic Adaptive Mixture Models
adverse selection	Nonparametric Estimation for Regulation Models
advertising
age-at-arrival
Ambiguity	Uncertain Identification Understanding the Sources of Macroeconomic Uncertainty
Anderson-Darling
Applied IO	Hospital Choice in the NHS
approximate factor model	A diagnostic criterion for approximate factor structure
ARIMA model	The Italian GDP at t+30 days: model estimation, real time analysis and performance evaluation
Asset Prices	The response of asset prices to monetary policy shocks: stronger than thought
asset pricing	Conditional alphas and realized betas A diagnostic criterion for approximate factor structure
asset-pricing model	Jump risk and pricing implications
attendance	Swine Flu, Class Attendance, and Exam Performance: Should we force students to go to class?
Attitudes Towards the State	The Legacy of Political History 1000-1800 for Attitudes Towards the State: Disaggregated Analysis for Italy
attrition	Weighted-average least squares estimation of generalized linear models
Audit	The Effect of Audits on Tax Compliance: Evidence from Italy
Audit publicity	Audit publicity and tax compliance: a quasi-natural experiment
Autoregressive representation	General representation theorems for cointegration
B
Backtesting
Bail in	Bail-in or Bail-out? The Atlante example from a systemic risk perspective
Bail out	Bail-in or Bail-out? The Atlante example from a systemic risk perspective
Bandwidth	An Integrated Modified OLS RESET Test for Cointegrating Regressions
Bank balance sheet characteristics	Mending the broken link: heterogeneous bank lending and monetary policy pass-through
Bank lending channel	Banks, firms and jobs
Bank of International Settlements data	Measuring contagion risk in international banking flows
Bank Recovery and Resolution Directive	End of the Sovereign-Bank Doom Loop in the European Union? The Bank Recovery and Resolution Directive
Banks	Bail-in or Bail-out? The Atlante example from a systemic risk perspective
Basel II	Specialisation in mortgage risk under Basel II
Bayesian estimation	An inflation-predicting measure of the output gap in the euro area
Bayesian inference	Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
Bayesian methods
Bayesian nonparametrics	Bayesian nonparametric sparse seemingly unrelated regression models (SUR)
Bayesian Robustness	Uncertain Identification
Beta-pricing models	Estimating Risk Premia Using Large Cross-Sections
bias correction	Estimation of Nonlinear Panel Models with Multiple Unobserved Effects
bid-ask spread	The seasonal heterogeneous INGARCH model
big data	News Measures for Volatility Modelling and Forecasting
Binary Classification	Tree based methods for classifying risky financial institutions
Bloomberg forecasters
Bond markets
Bond Risk Premia	Unstable Diffusion Indexes: With an Application to Bond Risk Premia
bootstrap	Bootstrapping DSGE models Bootstrap inference under random distributional limits Improved Tests for Robust Forecast Comparison Bootstrapping non-causal autoregressions: with an application to tests for bubbles Evaluating Restricted Common Factor models for non-stationary data
bounded rationality	Inferring Cognitive Heterogeneity from Aggregate Choices
bounds	Wald tests when restrictions are locally singular
bridge-model	The Italian GDP at t+30 days: model estimation, real time analysis and performance evaluation
Buffer stock	The Effect of Unexpected Inheritances on Wealth Accumulation: Precautionary Savings or Liquidity Constraints?
business cycle	Adaptive state space models with applications to the business cycle and financial stress
C
Capital flows
capital requirements	Specialisation in mortgage risk under Basel II
car manufacturers
carnivals	Economic effects of Venice Carnivals: An ex-post econometric verification approach
Causal effect	The Effect of Unexpected Inheritances on Wealth Accumulation: Precautionary Savings or Liquidity Constraints?
causality
cautiously optimistic asset allocation	Asset Allocation Strategies Based on Penalized Quantile Regression
CDS	Market credit risk in Europe
CDS spreads	Bail-in or Bail-out? The Atlante example from a systemic risk perspective
Child development	Early Childcare and Child Non Cognitive Outcomes
Childcare	Early Childcare and Child Non Cognitive Outcomes
civil war	Freedom, Diversity, and the Taste for Revolt
Co-integration	Co-integration rank determination in partial systems using information criteria
cognitive skills
Cointegration	An Integrated Modified OLS RESET Test for Cointegrating Regressions General representation theorems for cointegration Fully Modified OLS Estimation of Spatially Correlated Cointegrated Relationships The Linear Systems Approach to Linear Rational Expectations Models FORMULA I(1): Circuits for Likelihood Maximization Algorithms in I(1) and I(2) VAR models
college enrollment	Social Interactions Through Space and Time: Evidence from college enrollment and academic mobility
Common Trends	General representation theorems for cointegration
comparison across indicators
competition	Specialisation in mortgage risk under Basel II
conditional CAPM	Conditional alphas and realized betas
Conditional inference	Bootstrap inference under random distributional limits
Conditional model	Co-integration rank determination in partial systems using information criteria
Conditional Moment Restrictions
Conditional variance	The predictive density of a GARCH process
Consistency	Consistent non-Gaussian pseudo maximum likelihood estimators
contagion	On the Identification of Interdependence and Contagion of Financial Crises
Contagion Risk	Bail-in or Bail-out? The Atlante example from a systemic risk perspective
Contributing firms	Political Contributions and Public Procurement: Evidence from Lithuania
control function
Conventional and Unconventional Monetary Policy	Mending the broken link: heterogeneous bank lending and monetary policy pass-through
Copula	Copula-Based Random Effects Models for Clustered Data
corporate finance	Dynamic quantile regression models and capital structure: heterogeneous reaction to tax incentives and profitability
corruption perceptionsù	Persuadable perceptions: The effect of exposure to media on corruption measures
Covariance matrix	Is a matrix exponential specification suitable for the modeling of spatial correlation structures?
Cramer-von Mises
credit shocks	Credit demand and supply shocks in Italy
Crime	The effect of police on crime: Evidence from the 2014 World Cup in São Paulo The Political Cost of Being Soft on Crime: Evidence from a Natural Experiment
Cross-equation restrictions	Bootstrapping DSGE models
cubature Kalman filter
D
Decomposition	The Convergence of the Gender Pay Gap. An Alternative Estimation Approach
Deep Learning	Bank distress in news and numerical financial data
Default Probabilities	Bail-in or Bail-out? The Atlante example from a systemic risk perspective
Degree of fi nancing constraints	A test for monotonicity of the investment-cash flow sensitivity
Density forecasts
density prediction	Dynamic Adaptive Mixture Models
Difference-in-difference	Firm Dynamics and Employment Protection: Evidence from Sectoral Data
Differences in Differences	Changing Monetary Regime: Does It Improve Macroeconomic Performance?
Differential Condition	Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions
Dirichlet Process	Bayesian nonparametric sparse seemingly unrelated regression models (SUR)
disability	Quality Time with Parents: Reconsidering Equality Concerns among Families with an Ill Child
Disaggregate Data	The Legacy of Political History 1000-1800 for Attitudes Towards the State: Disaggregated Analysis for Italy
Disaggregation
Disclosure Policy	Full Disclosure and Financial Stability: How Does the Market Digest the Transparency Shock?
Discrete Choice Experiment	Incorporating Preference axioms in Discrete Choice Experiment design
Discrete Spectral Measures	Estimating Stable Latent Factor Models by Indirect Inference
diversity	Freedom, Diversity, and the Taste for Revolt
Doom Loop	End of the Sovereign-Bank Doom Loop in the European Union? The Bank Recovery and Resolution Directive
Double hurdle	State dependence and unobserved heterogeneity in a double hurdle model for remittances: evidence from immigrants to Germany
DSGE	Bootstrapping DSGE models Forecast uncertainty in the neighborhood of the effective lower bound: How much asymmetry should we expect?
duration models
dynamic component models
Dynamic Conditional Correlation	Semiparametric Estimation of Multivariate GARCH Models
Dynamic mixture models	Dynamic Adaptive Mixture Models
dynamic panel model	Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
E
Econometrics
economic and policy uncertainty	Monetary policy, uncertainty and gross capital flows: A mixed frequency approach
economic performance	Economic effects of Venice Carnivals: An ex-post econometric verification approach
Education	Transgenerational effects of war: Evidence from WWII in Europe
Effective Lower Bound	Forecast uncertainty in the neighborhood of the effective lower bound: How much asymmetry should we expect?
Efficiency	Consistent non-Gaussian pseudo maximum likelihood estimators
EM algorithm	Estimation of Nonlinear Panel Models with Multiple Unobserved Effects
Emergence and Persistence of Cultural Attitudes	The Legacy of Political History 1000-1800 for Attitudes Towards the State: Disaggregated Analysis for Italy
Emerging Markets
Empirical Likelihood
employment	Banks, firms and jobs Economic effects of Venice Carnivals: An ex-post econometric verification approach
Employment Protection	Firm Dynamics and Employment Protection: Evidence from Sectoral Data
Endogenous Network Formationm	Parametric and Semiparametric IV Estimation of Network Models with Selectivity
england
entry	A deeper analysis on pharmaceutical submarket Concentration: the US market in 1987-1998
Entry and Exit
Environmental Factors	Cross-Section Dependence and Latent Heterogeneity to Evaluate the Impact of Human Capital on Country Performance: a Robust Nonparametric Frontier Model
Error Correction	General representation theorems for cointegration
estimation
euro area
Europe	Transgenerational effects of war: Evidence from WWII in Europe
European Banking Union	End of the Sovereign-Bank Doom Loop in the European Union? The Bank Recovery and Resolution Directive
European economy
European Monetary Union	Asymmetric Macroeconomic Volatility in European Regions
ex-post econometric verification	Economic effects of Venice Carnivals: An ex-post econometric verification approach
Ex-post risk premia	Estimating Risk Premia Using Large Cross-Sections
exogeneity	The Linear Systems Approach to Linear Rational Expectations Models
Expected Utility Function	Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions
F
Factor Analysis	Tree based methods for classifying risky financial institutions
Factor Augmented Regression	Unstable Diffusion Indexes: With an Application to Bond Risk Premia
factor error structure	Estimation of Nonlinear Panel Models with Multiple Unobserved Effects
factor model	An inflation-predicting measure of the output gap in the euro area
Factor models	Interpreting latent dynamic factors by threshold FAVAR model
Fairness	Do free choice and control affect individual preferences for redistribution? Evidence from a sample of 74 countries
family	Quality Time with Parents: Reconsidering Equality Concerns among Families with an Ill Child
Fan Charts	Forecast uncertainty in the neighborhood of the effective lower bound: How much asymmetry should we expect?
FAVAR	Interpreting latent dynamic factors by threshold FAVAR model
Feedback	Market credit risk in Europe
Female labour	Natives and Migrants in Home Production: The Case of Germany
fertility	Natives and Migrants in Home Production: The Case of Germany
Finance
finance-based
financial crisis	On the Identification of Interdependence and Contagion of Financial Crises
financial deepening	Asymmetric Macroeconomic Volatility in European Regions
Financial Econometrics	Adding overnight to the Daily Covariance
Financial Forecasting and Simulations	Adding overnight to the Daily Covariance
financial indicator	Adaptive state space models with applications to the business cycle and financial stress
financial markets efficiency	New Insights into Financial Markets Efficiency: A Present Value Approach
Financial regulation
Financial Risk and Risk Management	Adding overnight to the Daily Covariance
financial stability	End of the Sovereign-Bank Doom Loop in the European Union? The Bank Recovery and Resolution Directive The Financial Stability Dark Side of Monetary Policy
Financial stress	Tree based methods for classifying risky financial institutions
Financing constraints	Banks, firms and jobs
Firm Dynamics	Firm Dynamics and Employment Protection: Evidence from Sectoral Data
firm performance
Fitness for work	WHO SHOULD MONITOR JOB SICK LEAVE?
Fixed effects	Testing for Serial Correlation in Spatial Panels
fixed-b asymptotics	An Integrated Modified OLS RESET Test for Cointegrating Regressions
forecast	The seasonal heterogeneous INGARCH model
forecast combination	The Italian GDP at t+30 days: model estimation, real time analysis and performance evaluation
Forecast combinations
Forecast Uncertainty	Forecast uncertainty in the neighborhood of the effective lower bound: How much asymmetry should we expect?
Forecasting	Comparing multivariate volatility forecasts by direct and indirect approaches
Forward guidance
fractionalization	Freedom, Diversity, and the Taste for Revolt
Free choice and control	Do free choice and control affect individual preferences for redistribution? Evidence from a sample of 74 countries
Fully Modified Least Squares	Fully Modified OLS Estimation of Spatially Correlated Cointegrated Relationships
G
GARCH Models	Estimating Stable Latent Factor Models by Indirect Inference
GARCH processes	The predictive density of a GARCH process
gender dierences
Gender quota
generalized linear models	Weighted-average least squares estimation of generalized linear models
Generalized Method of Moments
geography	Social Interactions Through Space and Time: Evidence from college enrollment and academic mobility
Google
government expenditure	Asymmetric Macroeconomic Volatility in European Regions
Granger causality	Does threshold cointegration matter for short-term interactions between US commodity prices and inflation? A historical perspective Estimation and model-based combination of causality networks Granger causality between vectors of time series: A Puzzling Property
Graphical Representation	Bayesian nonparametric sparse seemingly unrelated regression models (SUR)
Gravity Equation	On the Estimation of Structural Gravity Models
Gross capital inflows	Monetary policy, uncertainty and gross capital flows: A mixed frequency approach
GVAR
H
Hawkes processes	Market credit risk in Europe
Health Economics	Hospital Choice in the NHS
heterogeneity
Heterogeneous firms	Offshoring and firm overlap
Heterogeneous Panels	Cross-Section Dependence and Latent Heterogeneity to Evaluate the Impact of Human Capital on Country Performance: a Robust Nonparametric Frontier Model
Heteroskedasticity	On the Identification of Interdependence and Contagion of Financial Crises
Hierarchical Bayes	Bayesian Tensor Regression
high frequency	The seasonal heterogeneous INGARCH model
High Frequency data
High frequency identification	Proxy-SVAR as a Bridge between Mixed Frequencies
High-dimensional integration	Copula-Based Random Effects Models for Clustered Data
highly indebted EU countries	On the Identification of Interdependence and Contagion of Financial Crises
Hilbert spaces	Granger causality between vectors of time series: A Puzzling Property
History of Political Sovereign Entities	The Legacy of Political History 1000-1800 for Attitudes Towards the State: Disaggregated Analysis for Italy
Hospital choice	Hospital Choice in the NHS
household consumption	Wealth Effects and the Consumption of Italian Households in the Great Recession
Household Isolation level	An Assessment of the Access to Credit – Welfare Nexus: Evidence from Mauritania
Housing	The Effect of Unexpected Inheritances on Wealth Accumulation: Precautionary Savings or Liquidity Constraints?
human capital	Swine Flu, Class Attendance, and Exam Performance: Should we force students to go to class? Cross-Section Dependence and Latent Heterogeneity to Evaluate the Impact of Human Capital on Country Performance: a Robust Nonparametric Frontier Model
I
I(1)	FORMULA I(1): Circuits for Likelihood Maximization Algorithms in I(1) and I(2) VAR models
I(2)	FORMULA I(1): Circuits for Likelihood Maximization Algorithms in I(1) and I(2) VAR models
Identification	Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure On the Identification of Interdependence and Contagion of Financial Crises
identification through heteroscedasticity	Credit demand and supply shocks in Italy
IM-OLS	An Integrated Modified OLS RESET Test for Cointegrating Regressions
immigrants
incidental parameters	Estimation of Nonlinear Panel Models with Multiple Unobserved Effects
Inconsistency	Balanced variable addition in linear models, with an application to the long-term health effects of childhood circumstances
Independent Component Analysis	Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure
Indirect inference	Indirect inference estimation of nonlinear dynamic panel data models Estimating Stable Latent Factor Models by Indirect Inference
inflation	Does threshold cointegration matter for short-term interactions between US commodity prices and inflation? A historical perspective Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
Inflation Expectations
Information criteria	Co-integration rank determination in partial systems using information criteria
Inheritance	The Effect of Unexpected Inheritances on Wealth Accumulation: Precautionary Savings or Liquidity Constraints?
Instrumental Variable	An Assessment of the Access to Credit – Welfare Nexus: Evidence from Mauritania
instrumental variables	Swine Flu, Class Attendance, and Exam Performance: Should we force students to go to class?
integer valued process	The seasonal heterogeneous INGARCH model
interactive effects	Estimation of Nonlinear Panel Models with Multiple Unobserved Effects
interactive fixed effects	A diagnostic criterion for approximate factor structure
interdependence	On the Identification of Interdependence and Contagion of Financial Crises
Intergenerational transmission	Transgenerational effects of war: Evidence from WWII in Europe
internal models	Specialisation in mortgage risk under Basel II
international migration	Natives and Migrants in Home Production: The Case of Germany
International Trade	On the Estimation of Structural Gravity Models
Internet searches
interpretation of latent factors	Interpreting latent dynamic factors by threshold FAVAR model
Intertemporal choice	Intertemporal discrete choice
Intertemporal choices	State dependence and unobserved heterogeneity in a double hurdle model for remittances: evidence from immigrants to Germany
Investment cash ‡flow sensitivity	A test for monotonicity of the investment-cash flow sensitivity
Investment Expectations
IRB	Specialisation in mortgage risk under Basel II
iterative algorithm
J
Jacobian	Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions
Job contracts	Banks, firms and jobs
jumps	Jump risk and pricing implications
K
kernel	An Integrated Modified OLS RESET Test for Cointegrating Regressions
Knightian Uncertainty	Understanding the Sources of Macroeconomic Uncertainty
Kolmogorov-Smirnov
Kuhn-Tucker test	Normality tests for latent variables
Kullback-Leibler Information Criterion
Kurtosis	Normality tests for latent variables
L
L-functionals	Nonparametric Estimation for Regulation Models
l1-norm penalty	Asset Allocation Strategies Based on Penalized Quantile Regression
language
Large Factor Model	Unstable Diffusion Indexes: With an Application to Bond Risk Premia
Large N asymptotics	Estimating Risk Premia Using Large Cross-Sections
large panel	A diagnostic criterion for approximate factor structure
Large VAR	Bayesian nonparametric sparse seemingly unrelated regression models (SUR)
Latent Heterogeneity and Endogeneity	Cross-Section Dependence and Latent Heterogeneity to Evaluate the Impact of Human Capital on Country Performance: a Robust Nonparametric Frontier Model
latent threshold	Interpreting latent dynamic factors by threshold FAVAR model
latent variables	Estimation of Nonlinear Panel Models with Multiple Unobserved Effects
Least-squares estimators	Balanced variable addition in linear models, with an application to the long-term health effects of childhood circumstances
Limited Depdendent Variables	Incorporating Preference axioms in Discrete Choice Experiment design
linear systems	The Linear Systems Approach to Linear Rational Expectations Models
linguistic distance
Liquidity constraints	The Effect of Unexpected Inheritances on Wealth Accumulation: Precautionary Savings or Liquidity Constraints?
LM tests	Normality tests for latent variables
local projections	The Financial Stability Dark Side of Monetary Policy
Local-to-unity asymptotics
Local-to-zero variance
logit model	A deeper analysis on pharmaceutical submarket Concentration: the US market in 1987-1998
long memory	The seasonal heterogeneous INGARCH model
M
machine learning
Mackey-Glass test	Does threshold cointegration matter for short-term interactions between US commodity prices and inflation? A historical perspective
Macro-financial linkages	Proxy-SVAR as a Bridge between Mixed Frequencies
macroeconomic effects of uncertainty
Many moment inequalities	Improved Tests for Robust Forecast Comparison
Market Reaction	Full Disclosure and Financial Stability: How Does the Market Digest the Transparency Shock?
Markov Switching	Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM
Markov-switching regimes
matching	Quality Time with Parents: Reconsidering Equality Concerns among Families with an Ill Child
Matrix exponential	Is a matrix exponential specification suitable for the modeling of spatial correlation structures?
Matrix Geometric Mean	Adding overnight to the Daily Covariance
Maximum Likelihood	FORMULA I(1): Circuits for Likelihood Maximization Algorithms in I(1) and I(2) VAR models
MCMC	Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model Interpreting latent dynamic factors by threshold FAVAR model Bayesian nonparametric sparse seemingly unrelated regression models (SUR)
media	War of the Waves: Radio Propaganda, Violence and Political Polarization Persuadable perceptions: The effect of exposure to media on corruption measures
media bias
Micro BLP model	Hospital Choice in the NHS
Migration	State dependence and unobserved heterogeneity in a double hurdle model for remittances: evidence from immigrants to Germany
MIME	Does threshold cointegration matter for short-term interactions between US commodity prices and inflation? A historical perspective
Misspecification	Consistent non-Gaussian pseudo maximum likelihood estimators
mixed causal-noncausal models	Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
Mixed frequency data	Proxy-SVAR as a Bridge between Mixed Frequencies
mixed frequency variables	Monetary policy, uncertainty and gross capital flows: A mixed frequency approach
mixed-frequency	Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
Mixture models	Bayesian nonparametric sparse seemingly unrelated regression models (SUR)
mobility	Social Interactions Through Space and Time: Evidence from college enrollment and academic mobility
Model Averaging	Uncertain Identification Weighted-average least squares estimation of generalized linear models
model selection	A diagnostic criterion for approximate factor structure
monetary policy	Monetary policy, uncertainty and gross capital flows: A mixed frequency approach Proxy-SVAR as a Bridge between Mixed Frequencies Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure The Financial Stability Dark Side of Monetary Policy The response of asset prices to monetary policy shocks: stronger than thought
Monetary Policy Efficency	Changing Monetary Regime: Does It Improve Macroeconomic Performance?
Monetary policy pass-through	Mending the broken link: heterogeneous bank lending and monetary policy pass-through
Monetary policy shocks	Sign restricted Smooth Transition VAR models
Monte Carlo	Balanced variable addition in linear models, with an application to the long-term health effects of childhood circumstances Weighted-average least squares estimation of generalized linear models
Moral hazard	WHO SHOULD MONITOR JOB SICK LEAVE?
mortgages	Specialisation in mortgage risk under Basel II
Moving Average representation	General representation theorems for cointegration
multi-layer network	Estimation and model-based combination of causality networks
multi-step forecasting
Multilayer networks	Measuring contagion risk in international banking flows
Multinomial logit	Intertemporal discrete choice
Multiplicative Error Model	Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM
Multivariate conditional mode	Dynamic vector mode regression
Multivariate density estimation	Dynamic vector mode regression
Multivariate GARCH	Comparing multivariate volatility forecasts by direct and indirect approaches
Multivariate GARCH model	Semiparametric Estimation of Multivariate GARCH Models
Multivariate Student t Distribution	Estimating Stable Latent Factor Models by Indirect Inference
Mutually exciting processes	Market credit risk in Europe
N
Natural experiment	The effect of police on crime: Evidence from the 2014 World Cup in São Paulo Swine Flu, Class Attendance, and Exam Performance: Should we force students to go to class? The Political Cost of Being Soft on Crime: Evidence from a Natural Experiment
network combination	Estimation and model-based combination of causality networks
New Keynesian Phillips Curve
news	News Measures for Volatility Modelling and Forecasting
news-based
news-media	Measuring economic uncertainty using news-media textual data
newspapers	Persuadable perceptions: The effect of exposure to media on corruption measures
Non cognitive skills	Early Childcare and Child Non Cognitive Outcomes
non-causal autoregressions	Bootstrapping non-causal autoregressions: with an application to tests for bubbles
non-cognitive skills
non-stationary factor models	Evaluating Restricted Common Factor models for non-stationary data
noncausality	Pseudo-Conditional inference in binary short panels with predetermined covariates
Nonfundamentalness	The response of asset prices to monetary policy shocks: stronger than thought
Nonlinear models	Sign restricted Smooth Transition VAR models Indirect inference estimation of nonlinear dynamic panel data models
Nonlinear panel	Estimation of Nonlinear Panel Models with Multiple Unobserved Effects
Nonlinear panel data	Copula-Based Random Effects Models for Clustered Data
nonlinear restrictions	Wald tests when restrictions are locally singular
Nonlinearities
nonlinearity	An Integrated Modified OLS RESET Test for Cointegrating Regressions
Nonparametric Location-Scale	Cross-Section Dependence and Latent Heterogeneity to Evaluate the Impact of Human Capital on Country Performance: a Robust Nonparametric Frontier Model
nonparametric statistics	Nonparametric Estimation for Regulation Models
Nonprofit sector
nonstandard asymptotic theory	Wald tests when restrictions are locally singular
Nowcast ADL model	The Italian GDP at t+30 days: model estimation, real time analysis and performance evaluation
O
obesity
occasionally binding constraints
Offshoring	Offshoring and firm overlap
oil supply
Omitted variablesMis	Balanced variable addition in linear models, with an application to the long-term health effects of childhood circumstances
Ordered Probit
organized crime
output composition	Asymmetric Macroeconomic Volatility in European Regions
output concentration	Asymmetric Macroeconomic Volatility in European Regions
Overnight Realized Covariance	Adding overnight to the Daily Covariance
overweight
P
Panel data	Politics and Budget of the Regional Government State dependence and unobserved heterogeneity in a double hurdle model for remittances: evidence from immigrants to Germany Indirect inference estimation of nonlinear dynamic panel data models Dynamic quantile regression models and capital structure: heterogeneous reaction to tax incentives and profitability
Parametric Functions	Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions
Partial Identification	Uncertain Identification
Partial system	Co-integration rank determination in partial systems using information criteria
Pay Differential	The Convergence of the Gender Pay Gap. An Alternative Estimation Approach
pharmaceutical submarkets	A deeper analysis on pharmaceutical submarket Concentration: the US market in 1987-1998
Phillips curve	An inflation-predicting measure of the output gap in the euro area
Police	The effect of police on crime: Evidence from the 2014 World Cup in São Paulo
policy evaluation
political budget cycle	Politics and Budget of the Regional Government
Political contributions	Political Contributions and Public Procurement: Evidence from Lithuania
Political Economics	War of the Waves: Radio Propaganda, Violence and Political Polarization
Politico-Economic Equilibria	The Legacy of Political History 1000-1800 for Attitudes Towards the State: Disaggregated Analysis for Italy
Pre-Industrial Economic Development	The Legacy of Political History 1000-1800 for Attitudes Towards the State: Disaggregated Analysis for Italy
Precautionary savings	The Effect of Unexpected Inheritances on Wealth Accumulation: Precautionary Savings or Liquidity Constraints?
predetermined covariates	Pseudo-Conditional inference in binary short panels with predetermined covariates
Prediction	The predictive density of a GARCH process
Predictive accuracy	Bank distress in news and numerical financial data
Predictive Densities	Understanding the Sources of Macroeconomic Uncertainty
Preference Elicitation	Incorporating Preference axioms in Discrete Choice Experiment design
Preferences for redistribution	Do free choice and control affect individual preferences for redistribution? Evidence from a sample of 74 countries
present-value model	New Insights into Financial Markets Efficiency: A Present Value Approach
Presenteeism	WHO SHOULD MONITOR JOB SICK LEAVE?
pricing errors	Conditional alphas and realized betas
primary deficit	Politics and Budget of the Regional Government
principal-agent model	Nonparametric Estimation for Regulation Models
Probability Integral Transform
productivity
products launch	A deeper analysis on pharmaceutical submarket Concentration: the US market in 1987-1998
Propaganda	War of the Waves: Radio Propaganda, Violence and Political Polarization
Proxy-SVAR	Proxy-SVAR as a Bridge between Mixed Frequencies
pseudo-conditional inference	Pseudo-Conditional inference in binary short panels with predetermined covariates
Public procurement	Political Contributions and Public Procurement: Evidence from Lithuania
Q
QLR test	Bootstrapping DSGE models
quality time	Quality Time with Parents: Reconsidering Equality Concerns among Families with an Ill Child
quantile causality	Estimation and model-based combination of causality networks
quantile regression	Dynamic quantile regression models and capital structure: heterogeneous reaction to tax incentives and profitability Asset Allocation Strategies Based on Penalized Quantile Regression
Quantitative Trade models	Offshoring and firm overlap
Quasi-natural experiment	Audit publicity and tax compliance: a quasi-natural experiment
R
R squared decomposition	New Insights into Financial Markets Efficiency: A Present Value Approach
Random Probability Measures	Bootstrap inference under random distributional limits
Rational expectations	The Linear Systems Approach to Linear Rational Expectations Models
Rationality	Incorporating Preference axioms in Discrete Choice Experiment design
realized beta	Conditional alphas and realized betas
Realized covariance	Comparing multivariate volatility forecasts by direct and indirect approaches
realized volatility	News Measures for Volatility Modelling and Forecasting
recursive decomposition
Recursive Estimation Error	Improved Tests for Robust Forecast Comparison
Reduced Form Credit Risk Model	Market credit risk in Europe
reflection problem	Social Interactions Through Space and Time: Evidence from college enrollment and academic mobility
Regime-Switching	Forecast uncertainty in the neighborhood of the effective lower bound: How much asymmetry should we expect?
regional economic activity	Credit demand and supply shocks in Italy
regional government	Politics and Budget of the Regional Government
regulation models	Nonparametric Estimation for Regulation Models
Remittances	State dependence and unobserved heterogeneity in a double hurdle model for remittances: evidence from immigrants to Germany
Rent-seeking	Political Contributions and Public Procurement: Evidence from Lithuania
Residuals	An Assessment of the Access to Credit – Welfare Nexus: Evidence from Mauritania
restrictions on the loadings	Evaluating Restricted Common Factor models for non-stationary data
returns to education	Swine Flu, Class Attendance, and Exam Performance: Should we force students to go to class?
revealed preference	Inferring Cognitive Heterogeneity from Aggregate Choices
revision errors	The Italian GDP at t+30 days: model estimation, real time analysis and performance evaluation
revolution	Freedom, Diversity, and the Taste for Revolt
Risk	Understanding the Sources of Macroeconomic Uncertainty
Risk Assessment	Full Disclosure and Financial Stability: How Does the Market Digest the Transparency Shock?
Risk Aversion	Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions
risk concentration	Specialisation in mortgage risk under Basel II
risk factor	Jump risk and pricing implications
risk premia	The Financial Stability Dark Side of Monetary Policy
risk-adjusted performance	Conditional alphas and realized betas
risk-weights	Specialisation in mortgage risk under Basel II
Robust forecast evaluation	Improved Tests for Robust Forecast Comparison
Robust Frontier	Cross-Section Dependence and Latent Heterogeneity to Evaluate the Impact of Human Capital on Country Performance: a Robust Nonparametric Frontier Model
Robust regression	Dynamic vector mode regression New Insights into Financial Markets Efficiency: A Present Value Approach
S
Sample selection models	Parametric and Semiparametric IV Estimation of Network Models with Selectivity
Sample separation	A test for monotonicity of the investment-cash flow sensitivity
Score Driven models	Adaptive state space models with applications to the business cycle and financial stress Dynamic Adaptive Mixture Models
seasonal adjustment filters	Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
seasonality	The seasonal heterogeneous INGARCH model Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?
Sectors	Firm Dynamics and Employment Protection: Evidence from Sectoral Data
Semiparametric estimation	Semiparametric Estimation of Multivariate GARCH Models Parametric and Semiparametric IV Estimation of Network Models with Selectivity
semiparametric regression
semivolatility	Asymmetric semi-volatility spillover effects in the EMU stock markets
sentiment analysis	News Measures for Volatility Modelling and Forecasting
Serial correlation	Testing for Serial Correlation in Spatial Panels
series estimation	Parametric and Semiparametric IV Estimation of Network Models with Selectivity
Set identification	Sign restricted Smooth Transition VAR models
SHARE	Transgenerational effects of war: Evidence from WWII in Europe
shrinkage estimation	Interpreting latent dynamic factors by threshold FAVAR model
Sick leave insurance	WHO SHOULD MONITOR JOB SICK LEAVE?
Simultaneous equations	Dynamic vector mode regression
Skewness	Normality tests for latent variables
Skill upgrade	Banks, firms and jobs
Smooth Transition	Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM
Smooth Transition VAR
social interactions	Social Interactions Through Space and Time: Evidence from college enrollment and academic mobility
Sovereign Bailout	End of the Sovereign-Bank Doom Loop in the European Union? The Bank Recovery and Resolution Directive
Sovereign risk	Market credit risk in Europe
Sparsity	Bayesian Tensor Regression
Spatial Autoregressive Model	Parametric and Semiparametric IV Estimation of Network Models with Selectivity
Spatial correlation	Is a matrix exponential specification suitable for the modeling of spatial correlation structures? Fully Modified OLS Estimation of Spatially Correlated Cointegrated Relationships
Spatial panel	Testing for Serial Correlation in Spatial Panels
Spatial panel model	Asymmetric Macroeconomic Volatility in European Regions
specialisation	Specialisation in mortgage risk under Basel II
Specication test	Estimating Risk Premia Using Large Cross-Sections
specification	Balanced variable addition in linear models, with an application to the long-term health effects of childhood circumstances
specification test	An Integrated Modified OLS RESET Test for Cointegrating Regressions
spillovers
standardised approach	Specialisation in mortgage risk under Basel II
State dependence	State dependence and unobserved heterogeneity in a double hurdle model for remittances: evidence from immigrants to Germany
State Space
State space model	Bootstrapping DSGE models
state space models	Adaptive state space models with applications to the business cycle and financial stress
State-Space Model	Full Disclosure and Financial Stability: How Does the Market Digest the Transparency Shock?
stationarity	The Linear Systems Approach to Linear Rational Expectations Models
Statistical inference
Statistical Significance	The Convergence of the Gender Pay Gap. An Alternative Estimation Approach
stochastic choice	Inferring Cognitive Heterogeneity from Aggregate Choices Intertemporal discrete choice
Stress Test	Full Disclosure and Financial Stability: How Does the Market Digest the Transparency Shock?
strict exogeneity	Pseudo-Conditional inference in binary short panels with predetermined covariates
Structural Break	Unstable Diffusion Indexes: With an Application to Bond Risk Premia
Structural Change Tests	Bootstrap inference under random distributional limits
structural econometrics	Nonparametric Estimation for Regulation Models
Structural Estimation	On the Estimation of Structural Gravity Models
Structural Factor Models	The response of asset prices to monetary policy shocks: stronger than thought
structural model
Structural Models	Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure
structural VAR	Credit demand and supply shocks in Italy
subjective freedom	Freedom, Diversity, and the Taste for Revolt
Supremum test	Normality tests for latent variables
Survey Data
Survey of Professional Forecasters	Understanding the Sources of Macroeconomic Uncertainty
survey-based
SVAR
Symmetric Multivariate alpha-stable Distribution Latent Factor Models	Estimating Stable Latent Factor Models by Indirect Inference
Systemic risk	Tree based methods for classifying risky financial institutions Market credit risk in Europe
Systemic risk measure
T
targeting
Tax compliance	The Effect of Audits on Tax Compliance: Evidence from Italy
Tax elasticity
Tax enforcement	The Effect of Audits on Tax Compliance: Evidence from Italy
Tax evasion	Audit publicity and tax compliance: a quasi-natural experiment
Tax policy change
Taylor Curve	Changing Monetary Regime: Does It Improve Macroeconomic Performance?
Tensor decompositions	Measuring contagion risk in international banking flows
Tensor Regression	Bayesian Tensor Regression
Test	Testing for Serial Correlation in Spatial Panels
tests for bubbles	Bootstrapping non-causal autoregressions: with an application to tests for bubbles
text mining	Measuring economic uncertainty using news-media textual data
Textual news	Bank distress in news and numerical financial data
the Great Recession	Wealth Effects and the Consumption of Italian Households in the Great Recession
Threshold cointegration	Does threshold cointegration matter for short-term interactions between US commodity prices and inflation? A historical perspective
threshold regression
Threshold VECM	Does threshold cointegration matter for short-term interactions between US commodity prices and inflation? A historical perspective
Time aggregation	Proxy-SVAR as a Bridge between Mixed Frequencies
time allocation	Natives and Migrants in Home Production: The Case of Germany
Time series	Bayesian Tensor Regression Granger causality between vectors of time series: A Puzzling Property
time use	Quality Time with Parents: Reconsidering Equality Concerns among Families with an Ill Child
time varying parameters	Adaptive state space models with applications to the business cycle and financial stress
Time-Varying Efficiency Measures	Cross-Section Dependence and Latent Heterogeneity to Evaluate the Impact of Human Capital on Country Performance: a Robust Nonparametric Frontier Model
total and directional connectdness	Asymmetric semi-volatility spillover effects in the EMU stock markets
tourism	Economic effects of Venice Carnivals: An ex-post econometric verification approach
Transfer entropy	Does threshold cointegration matter for short-term interactions between US commodity prices and inflation? A historical perspective
Transformation	Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions
Truncated Normal Distribution	Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions
Turnover	Firm Dynamics and Employment Protection: Evidence from Sectoral Data
Two-pass cross-sectional regression	Estimating Risk Premia Using Large Cross-Sections
Two-step estimation	Parametric and Semiparametric IV Estimation of Network Models with Selectivity
U
U.S. equity data	New Insights into Financial Markets Efficiency: A Present Value Approach
Unbalanced panel	Estimating Risk Premia Using Large Cross-Sections
Uncertainty	Measuring economic uncertainty using news-media textual data Understanding the Sources of Macroeconomic Uncertainty
Uncertainty measures
Unconventional monetary policy
Underidentified parameters	Normality tests for latent variables
unobserved components	An inflation-predicting measure of the output gap in the euro area
US commodity prices	Does threshold cointegration matter for short-term interactions between US commodity prices and inflation? A historical perspective
Utility Function	Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions
V
Value-at-Risk	Comparing multivariate volatility forecasts by direct and indirect approaches
VAR	Co-integration rank determination in partial systems using information criteria
VAR models
VAR with instrumented proxy
VARS	Mending the broken link: heterogeneous bank lending and monetary policy pass-through
VECM	FORMULA I(1): Circuits for Likelihood Maximization Algorithms in I(1) and I(2) VAR models
Vector autoregression	Dynamic vector mode regression
Vector Autoregressions	Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure
vector autoregressive processes	The Linear Systems Approach to Linear Rational Expectations Models
Vector error correction models
Vector Heterogeneous Autoregressive Model	Asymmetric semi-volatility spillover effects in the EMU stock markets
Venice	Economic effects of Venice Carnivals: An ex-post econometric verification approach
volatility	Measuring economic uncertainty using news-media textual data
Volatility evaluation	Comparing multivariate volatility forecasts by direct and indirect approaches
Voting	The Political Cost of Being Soft on Crime: Evidence from a Natural Experiment
W
Wald test	Wald tests when restrictions are locally singular
WALS	Weighted-average least squares estimation of generalized linear models
Weak identi fication	Bootstrapping DSGE models
Wealth accumulation dynamics	The Effect of Unexpected Inheritances on Wealth Accumulation: Precautionary Savings or Liquidity Constraints?
Wealth effects	Wealth Effects and the Consumption of Italian Households in the Great Recession
Wiener Kolmogorov Kalman smoother	Normality tests for latent variables
Wiener-Hopf factorization	The Linear Systems Approach to Linear Rational Expectations Models
World Cup	The effect of police on crime: Evidence from the 2014 World Cup in São Paulo
World War II	Transgenerational effects of war: Evidence from WWII in Europe
Z
zero lower bound

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