ICEEE 2025 PALERMO: ELEVENTH ITALIAN CONGRESS OF ECONOMETRICS AND EMPIRICAL ECONOMICS

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

A
Adaptive MCMC	A Multiple Random Scan Strategy for Efficient Approximate Inference of Bayesian Latent Space Models
Additive effects	Specification testing with grouped fixed effects
Aerospace	Aerospace Growth Spillovers: a Macroeconomic Perspective
Aggregate Shock	Measuring the Effects of Aggregate Shocks on Unit-Level Outcomes and Their Distribution
AID:A panel survey	Estimating the Effect of Working From Home on Parent’s Division of Childcare and Housework: A New Panel IV Approach
Akaike information criterion	AIC for many-regressor heteroskedastic regressions
Amihud ratio	Systematic Illiquidity
Anti-immigration parties	Settlers and Seekers: Immigrant Proximity and Voter Polarisation
Approximate Factor Model	A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM)
Asset price bubbles	Testing for Explosiveness in Financial Asset Prices using High-Frequency Volatility: with Application to Cryptocurrency Data
asset pricing	Sieve Managed Portfolios Asset pricing models with downside risk Rethinking Sparsity: Parametric Portfolios and Firm Characteristics Sector Structure in Digital Asset Returns
Asylum Seekers	Settlers and Seekers: Immigrant Proximity and Voter Polarisation
Asymmetric least squares	Estimation risk in conditional expectiles
asymmetries	Risky Oil: It’s All in the Tails
Asymmetry	Kendall and Spearman Rank Correlations for Skew-Elliptical Copulas
Asymptotic bias	Improved Inference for Nonparametric Regression and Regression-Discontinuity Designs
Asymptotic Theory	A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM)
Autoregressive Duration Models	On Autoregressive Conditional Duration Models
Average causal response	Identifying Causal Effects of Discrete, Ordered and Continuous Treatments using Multiple Instrumental Variables
B
Bayesian	Online Monitoring of Policy Optimality Non-Gaussian Business Cycles Anatomy Sparse Dynamic Bayesian Graphical Models
Bayesian additive regression trees	Nowcasting with Mixed Frequency Data Using Gaussian Processes
Bayesian analysis	Sequential Monte Carlo for Noncausal Processes
bayesian estimation	An Economic Evaluation of Exchange Rates Higher Order Moments Timing
Bayesian inference	A Multiple Random Scan Strategy for Efficient Approximate Inference of Bayesian Latent Space Models First-order integer-valued autoregressive processes with Generalized Katz innovations Integration of energy electricity markets in a reverse mixed-frequency panel Rethinking Sparsity: Parametric Portfolios and Firm Characteristics Forecasting the Real Price of Carbon: the Role of Macroeconomic Factors
Bayesian VAR	A new model to forecast energy inflation in the euro area
between the regressors and	esting the Adequacy of the Fixed Effects Estimator in Panel Data Models with Interactive Effects in a Multidimensional Framework
Bias	The judgmental strategy of professional forecasters
bias correction	Autoregressive Difference-in-Differences
Big data	Online Monitoring of Policy Optimality
Block cross-fitting	Double Machine Learning for Static Panel Data with Instrumental Variables: New Method and Applications
Bootstrap	A Test for Bayesian-Nash Behavior in Binary Games with Incomplete Information and Correlated Types Quantile Granger Causality in the Presence of Instability Specification testing with grouped fixed effects Improved Inference for Nonparametric Regression and Regression-Discontinuity Designs
bootstrap prediction intervals	Estimation risk in conditional expectiles
Bootstrap testing	Bootstrap Diagnostic tests
Bracketing	The Coherence Side of Rationality: Theory and evidence from firm plans
Breakpoint Estimation	Inference on breaks in weak location time series models with quasi-Fisher scores
Business Cycle	Two Main Business Cycle Shocks are Better than One Climate and Macroeconomic Variability It is All About Demand and Supply: a Dualistic View of the Euro Area Business Cycle
Business Cycle Dynamics	Inflation expectations and wage bargaining: Do women ask differently?
C
C32	Delayed Overshooting Puzzle: Does Systematic Monetary Policy Matter?
canonical correlation analysis	Canonical correlation analysis of stochastic trends via functional approximation Inference on the cointegration and the attractor spaces via functional approximation
Carbon prices	Forecasting the Real Price of Carbon: the Role of Macroeconomic Factors
Carry Trade Strategy	The Impact of Currency Carry Trade Activity on the Transmission of Monetary Policy
Causal effects	Identification and Estimation of Causal Effects in High-Frequency Event Studies
Causal inference	A Local Differencing Test for the Credibility of Selection-on-Observables Counterfactual and Synthetic Control Method: Causal Inference with Instrumented Principal Component Analysis
Causal machine learning	Identifying Causal Effects of Discrete, Ordered and Continuous Treatments using Multiple Instrumental Variables
CAViaR	Dynamic tail risk forecasting: what do realized skewness and kurtosis add?
CCE estimation	Semiparametric Estimation in Panel Data Models with Nonlinear Factor Structure.
CDS spread	Look up and ahead: how climate scenarios affect European sovereign risk
characteristic function	Local Edgeworth expansions
childcare	Estimating the Effect of Working From Home on Parent’s Division of Childcare and Housework: A New Panel IV Approach
Climate	Lessons from the Past: How Experience Reduces the Impact of Weather Shocks on Ugandan Smallholders
climate change	Macroeconomic Spillovers of Weather Shocks across U.S. States
Climate change concern	Flood risk and credit market conditions for Italian SMEs
Climate Changes	Forecasting the Real Price of Carbon: the Role of Macroeconomic Factors
Climate economics	Errors in Temperature Forecasts and Energy Prices
Climate Risk	First-order integer-valued autoregressive processes with Generalized Katz innovations Spectral climate risk
Climate sovereign risk	Look up and ahead: how climate scenarios affect European sovereign risk
Climate-driven disasters	A Tale of Commodities and Climate-driven Disasters
Climate-relate Facebook data	A Multiple Random Scan Strategy for Efficient Approximate Inference of Bayesian Latent Space Models
coefficient bounds	The Effect of Temporary Employment on Labour Market Outcomes
Coherence	Rational Expectations Nonparametric Empirical Bayes The Coherence Side of Rationality: Theory and evidence from firm plans
Cohesion policies	Regional resilience in Italy: an analysis in the time-frequency domain
cointegration	A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters Canonical correlation analysis of stochastic trends via functional approximation Inference on the cointegration and the attractor spaces via functional approximation Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions Idiosyncratic and Systematic Volatility Spillovers through the Renewable Energy Financial Markets The Welfare Costs of Inflation Reconsidered
Commodities	A Tale of Commodities and Climate-driven Disasters
Commodity markets	Forecasting Natural Gas Prices in Real Time
commodity prices	Cast out the pure? Inflation and relative prices on both sides of the Atlantic
Common support	A Local Differencing Test for the Credibility of Selection-on-Observables
compound Poisson jump	Local Edgeworth expansions
conditional factor model	Asset pricing models with downside risk
conditional heteroskedasticity	A Matrix-valued model with Time-varying Volatility AIC for many-regressor heteroskedastic regressions
Conditional independence	esting the Adequacy of the Fixed Effects Estimator in Panel Data Models with Interactive Effects in a Multidimensional Framework
Conditional Moment Restrictions	Sieve Managed Portfolios
Conditional quantile	Tests of No Cross-Sectional Error Dependence in Panel Quantile Regressions
Congressional Record	"One Person, One Vote": the Effect of Direct Elections on Political DIscourse
consistency	Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application
Contact hypothesis	Settlers and Seekers: Immigrant Proximity and Voter Polarisation
Continuous Wavelet Transform	Regional resilience in Italy: an analysis in the time-frequency domain
Convenience Yield	The Impact of Currency Carry Trade Activity on the Transmission of Monetary Policy
Copula	Distributional Difference-in-Differences with Multiple Time Periods
Corporate Capital Structure	Heterogeneity of covenants and corporate financial behaviour
Counts time series	First-order integer-valued autoregressive processes with Generalized Katz innovations
Covenants	Heterogeneity of covenants and corporate financial behaviour
COVID-19	Estimating the Effect of Working From Home on Parent’s Division of Childcare and Housework: A New Panel IV Approach
Credit supply	Flood risk and credit market conditions for Italian SMEs
critical minerals	Ensuring the Security of the Clean Energy Transition: Examining the Impact of Geopolitical Risk on the Price of Critical Minerals
Cross-correlation	Causality versus Serial Correlation: an Asymmetric Portmanteau Test
Cross-sectional ordering	Cross-Sectional Exchangeability and Rate-Weak Factors
Cross-unit correlation	Tests of No Cross-Sectional Error Dependence in Panel Quantile Regressions
Crowdfunding	Crowdfunding Success: Human Insights vs Algorithmic Textual Extraction
Cryptocurrency	Testing for Explosiveness in Financial Asset Prices using High-Frequency Volatility: with Application to Cryptocurrency Data
Cuba	Long-term health and human capital effects of massive investments in public health and education: Evidence from Cuba
cumulants	Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition
Currency markets	The Impact of Currency Carry Trade Activity on the Transmission of Monetary Policy
CUSUM statistics	Inference on breaks in weak location time series models with quasi-Fisher scores
cycle	Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application
D
Debt-GDP ratio	The Dismal Cross: Public Debt and Productivity in Italy during the Great Recession
demand COVID-19	Work-from-Home Job Creation as a Health-Risk Mitigation Strategy: Firm-Level Evidence from the COVID-19 Pandemic
Difference in Differences	Distributional Difference-in-Differences with Multiple Time Periods
Difference-in-differences	Autoregressive Difference-in-Differences The Local Job Multipliers of Green Re-industrialization
Diffusive processes	Intraday Stochastic Drift
digital assets	Sector Structure in Digital Asset Returns
directional change prediction	Sign-Oriented Nowcasting of GDP (SONG): a new hybrid approach
distribution timing	An Economic Evaluation of Exchange Rates Higher Order Moments Timing
Distribution-free tests	Testing Conditional Moment Restrictions: A Partitioning Approach
Double-bounded time series	Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models
downside risk	Asset pricing models with downside risk
dowries	Prenatal Sex Detection Technology and Mothers’ Labour Supply in India
DSGE	Aerospace Growth Spillovers: a Macroeconomic Perspective
DSGE Models	Dealing with the Statistical Representation of DSGE Models
DSGEs with policy interactions	Fiscal Shocks and the Surge of Inflation
Dynamic Factor	Emissions intensity dynamics: the role of macro and industry-specific shocks
Dynamic Factor Model	A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters
dynamic factor models	VAR models with an index structure: A survey with new results Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model
Dynamic models	A new way to specify dynamic models
Dynamic Panel Data Models	Heterogeneity of covenants and corporate financial behaviour
Dynamic panel model	Integration of energy electricity markets in a reverse mixed-frequency panel
Dynamic Portfolio Strategies	Sieve Managed Portfolios
dynamic tail risk	Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter
dynamic treatment effects	Autoregressive Difference-in-Differences
DYNARE	Scholars And The Machine: On Automation And Academic Performance
E
E44	Delayed Overshooting Puzzle: Does Systematic Monetary Policy Matter?
E52	Delayed Overshooting Puzzle: Does Systematic Monetary Policy Matter?
Earnings Distribution	Measuring the Effects of Aggregate Shocks on Unit-Level Outcomes and Their Distribution
Econometric Theory	Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models
Economic sentiment	A Survey-Based Measure of Asymmetric Macroeconomic Risk in the Euro Area
Edgeworth expansion	Local Edgeworth expansions
Electricity demand	Forecasting high-dimensional time series with multiple seasonalities: An application to electricty demand
Electricity Prices	Integration of energy electricity markets in a reverse mixed-frequency panel
Empirical Bayes	Rational Expectations Nonparametric Empirical Bayes
Empirical Risk	Model Selection in Multivariate Nonlinear Regression using the Jackknife Von Neumann Estimator
Endogenous Variables	Endogeneity in conditional production frontier
Energy market	Errors in Temperature Forecasts and Energy Prices
Energy markets	Compounding Political and Energy Risks: A clustered stochastic COVOL model
Energy prices	A new model to forecast energy inflation in the euro area
energy security	Ensuring the Security of the Clean Energy Transition: Examining the Impact of Geopolitical Risk on the Price of Critical Minerals
environmental and carbon reduction policy	Convergence through sustainable development: can EU developing regions make it happen? Firm-level counterfactual evidence via Machine Learning.
Environmental Factors	Endogeneity in conditional production frontier
ESG market sentiment	Idiosyncratic and Systematic Volatility Spillovers through the Renewable Energy Financial Markets
Estimating Function Estimator	Inference on breaks in weak location time series models with quasi-Fisher scores
EU cohesion policy	Convergence through sustainable development: can EU developing regions make it happen? Firm-level counterfactual evidence via Machine Learning.
EU ETS	Forecasting the Real Price of Carbon: the Role of Macroeconomic Factors
Euro Area	Errors in Temperature Forecasts and Energy Prices
Euro Area Economy	It is All About Demand and Supply: a Dualistic View of the Euro Area Business Cycle
Event study	Identification and Estimation of Causal Effects in High-Frequency Event Studies
Exchange rates	An Economic Evaluation of Exchange Rates Higher Order Moments Timing
Exogeneity	A test of exogeneity in Structural Vector Autoregressions with external instruments Tests of No Cross-Sectional Error Dependence in Panel Quantile Regressions
Expectation - maximisation principle	The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities
Expectation Maximization	Estimating Heterogeneous DSGE Models
Expectation-Maximization algorithm	Probabilistic Partial Least Squares
Expectations	The Coherence Side of Rationality: Theory and evidence from firm plans
Expected Shortfall	Dynamic tail risk forecasting: what do realized skewness and kurtosis add? A semi-parametric dynamic conditional correlation framework for risk forecasting
Explosive time series	Disentangling the drivers of exuberant house prices
Explosiveness	Testing for Explosiveness in Financial Asset Prices using High-Frequency Volatility: with Application to Cryptocurrency Data
External instrument	A test of exogeneity in Structural Vector Autoregressions with external instruments
external instruments	Invalid Proxies and Volatility Changes Inference with Local Projections
extreme value	Fixed Effects in the Tails
extreme value theory	Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter
F
F31	Delayed Overshooting Puzzle: Does Systematic Monetary Policy Matter?
F41	Delayed Overshooting Puzzle: Does Systematic Monetary Policy Matter?
factor loadings. The LM test	esting the Adequacy of the Fixed Effects Estimator in Panel Data Models with Interactive Effects in a Multidimensional Framework
factor model	Tests of No Cross-Sectional Error Dependence in Panel Quantile Regressions Sector Structure in Digital Asset Returns
Factor Models	Inference in matrix-valued time series with common stochastic trends and multifactor error structure Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy From rotational to scalar invariance: Enhancing identifiability in score-driven factor models Cross-Sectional Exchangeability and Rate-Weak Factors
Fatal Accidents	SILENT ALARMS: Workplace Injuries Under-reporting in Italy
female labour supply	Prenatal Sex Detection Technology and Mothers’ Labour Supply in India
fertility	Prenatal Sex Detection Technology and Mothers’ Labour Supply in India
Financial Econometrics	Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models International Government Bond Yields and Monetary Policy: A Necessary Decomposition
Finite population	Estimation and inference in the presence of neighborhood unobservables
Firm characteristics	Rethinking Sparsity: Parametric Portfolios and Firm Characteristics
Firms	The Coherence Side of Rationality: Theory and evidence from firm plans
Fiscal multipliers	Invalid Proxies and Volatility Changes
fiscal policy	The Dismal Cross: Public Debt and Productivity in Italy during the Great Recession
fiscal shocks	Fiscal Shocks and the Surge of Inflation
Fixed-b Asymptotics	Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions
Flash crashes	Intraday Stochastic Drift
Flood risk	Flood risk and credit market conditions for Italian SMEs
Forecast combinations	The Hedged Random Forest Adaptive combinations of tail-risk forecasts
Forecast Comparison Test	Sparsity Tests for High-Dimensional Linear Regression Models in Time Series
Forecast Error Variance Decomposition	Daily oil price shocks and their uncertainties
Forecasting	Online Monitoring of Policy Optimality A semi-parametric dynamic conditional correlation framework for risk forecasting A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters From rotational to scalar invariance: Enhancing identifiability in score-driven factor models Forecasting the Real Price of Carbon: the Role of Macroeconomic Factors
Forecasts	The Coherence Side of Rationality: Theory and evidence from firm plans
fossil fuels	Idiosyncratic and Systematic Volatility Spillovers through the Renewable Energy Financial Markets
Frequency Domain	Two Main Business Cycle Shocks are Better than One It is All About Demand and Supply: a Dualistic View of the Euro Area Business Cycle
Functional Model	Measuring the Effects of Aggregate Shocks on Unit-Level Outcomes and Their Distribution
Functional Predictive Regression	Functional Linear Projection and Impulse Response Analysis
Functional Structural Vector Autoregressive Model	Functional Linear Projection and Impulse Response Analysis
G
Games with Incomplete Information	A Test for Bayesian-Nash Behavior in Binary Games with Incomplete Information and Correlated Types
GARCH	Daily oil price shocks and their uncertainties
GARCH model	An Economic Evaluation of Exchange Rates Higher Order Moments Timing
Gas prices	A new model to forecast energy inflation in the euro area
Gaussian graphical model	Sparse Dynamic Bayesian Graphical Models
GDP nowcasting with indicators	Sign-Oriented Nowcasting of GDP (SONG): a new hybrid approach
gender equality	Estimating the Effect of Working From Home on Parent’s Division of Childcare and Housework: A New Panel IV Approach
Gender imbalances	Care Regimes and Time Allocation: an Event Study Analysis of the US Public Expenditure
Gender Wage Gap	Inflation expectations and wage bargaining: Do women ask differently?
Generalised Dynamic Factor Model	A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM)
Generalized sup ADF test	Disentangling the drivers of exuberant house prices
Geopolitical Risk	Geopolitical Risk and Inflation: The Role of Energy Markets Geopolitical risk shocks: When size matters Ensuring the Security of the Clean Energy Transition: Examining the Impact of Geopolitical Risk on the Price of Critical Minerals Compounding Political and Energy Risks: A clustered stochastic COVOL model
Geospatial data	A Tale of Commodities and Climate-driven Disasters
Ghg Emissions	Emissions intensity dynamics: the role of macro and industry-specific shocks
GIaR	Monitoring Joint Tail Risks: An Application to Growth and Inflation
Gibbs sampler	Non-Gaussian Business Cycles Anatomy
Global VAR	Macroeconomic Spillovers of Weather Shocks across U.S. States
Goodness-of-fit tests	Testing Conditional Moment Restrictions: A Partitioning Approach
Government Bond Dynamics	International Government Bond Yields and Monetary Policy: A Necessary Decomposition
Granger causal network	Measuring daily tourism mobility spillover at the intra-metropolis level with mobile positioning data
Granger causality	Quantile Granger Causality in the Presence of Instability
Green industrialisation	The Local Job Multipliers of Green Re-industrialization
Green Minus Brown portfolio	Spectral climate risk
Green production	The Local Job Multipliers of Green Re-industrialization
Group Fixed Effects	Panel VAR Models with Latent Group Structures
Grouped fixed-effects	Specification testing with grouped fixed effects
Growth	Aerospace Growth Spillovers: a Macroeconomic Perspective
Growth-in-Stress	Heterogeneous economic growth vulnerability across Euro Area countries
Guassian Process	Nowcasting with Mixed Frequency Data Using Gaussian Processes
H
HANK Model	Estimating Heterogeneous DSGE Models
Hausman Test	Sparsity Tests for High-Dimensional Linear Regression Models in Time Series Specification testing with grouped fixed effects
Hausman-like test	Estimation and inference in the presence of neighborhood unobservables
Heavy Tails	On Autoregressive Conditional Duration Models
Hessian matrix	The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities
heterogeneous marginal effects	Estimating The Moments and the Distribution of Heterogeneous Marginal Effects Using Panel Data
Heterogeneous regression	Semiparametric Estimation in Panel Data Models with Nonlinear Factor Structure.
Heterogenous Coefficients	Panel VAR Models with Latent Group Structures
Heteroskedasticity	Bayesian Inference for Heteroskedastic Proxy-SVARs
Heuristics	The Coherence Side of Rationality: Theory and evidence from firm plans
Hidden Markov Models	Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models
High Frequency Identification	Geopolitical Risk and Inflation: The Role of Energy Markets
High Frequency Sign Restrictions	Geopolitical Risk and Inflation: The Role of Energy Markets
High-dimensional data	Forecasting high-dimensional time series with multiple seasonalities: An application to electricty demand Probabilistic Partial Least Squares
high-frequency data	Identification and Estimation of Causal Effects in High-Frequency Event Studies Testing the zero-process of intraday financial returns for non-stationary periodicity
High-skilled Workers	Scholars And The Machine: On Automation And Academic Performance
House prices	Disentangling the drivers of exuberant house prices
housework	Estimating the Effect of Working From Home on Parent’s Division of Childcare and Housework: A New Panel IV Approach
Human Evaluation	Crowdfunding Success: Human Insights vs Algorithmic Textual Extraction
Hysteresis	Are Hysteresis Effects Nonlinear?
I
I(1)	Canonical correlation analysis of stochastic trends via functional approximation Inference on the cointegration and the attractor spaces via functional approximation
IAB Data	Measuring the Effects of Aggregate Shocks on Unit-Level Outcomes and Their Distribution
Identification	Non-Gaussian Business Cycles Anatomy Identification and Estimation of Causal Effects in High-Frequency Event Studies Invalid Proxies and Volatility Changes The Identification Problem for Linear Rational Expectations Models From rotational to scalar invariance: Enhancing identifiability in score-driven factor models Common Trends and Long-Run Identification in Nonlinear Structural VARs It is All About Demand and Supply: a Dualistic View of the Euro Area Business Cycle
Ignorability assumption	Double Machine Learning for Static Panel Data with Instrumental Variables: New Method and Applications
IM-OLS	Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions
Immigration	Settlers and Seekers: Immigrant Proximity and Voter Polarisation
Impact multipliers	Identification of one independent shock in structural VARs
Imperfect predictors	Detecting the Predictive Power of Imperfect Predictors with Smoothly Varying Components
Importance Sampling	Estimating Heterogeneous DSGE Models
impulse response	Nonparametric Local Projections
Impulse Response Analysis	Functional Linear Projection and Impulse Response Analysis
Impulse Response Functions	Daily oil price shocks and their uncertainties Generalised External-Instrument SVAR Analysis
Impulse Responses	Online Monitoring of Policy Optimality
income inequality	Beyond borders, within societies: Inequality and the global transmission of US monetary policy
Incomplete data	The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities
independent component analysis	Identification of one independent shock in structural VARs A Unifying Non-Gaussian Approach to Price Discovery
India	Prenatal Sex Detection Technology and Mothers’ Labour Supply in India
industrial policy	Unlocking Greater Resource Recovery and Productivity in the UK Production Network
Industry	Emissions intensity dynamics: the role of macro and industry-specific shocks
Inflation	Cast out the pure? Inflation and relative prices on both sides of the Atlantic Errors in Temperature Forecasts and Energy Prices A new model to forecast energy inflation in the euro area Geopolitical Risk and Inflation: The Role of Energy Markets Geopolitical risk shocks: When size matters The Welfare Costs of Inflation Reconsidered It is All About Demand and Supply: a Dualistic View of the Euro Area Business Cycle
Inflation Expectations	Inflation expectations and wage bargaining: Do women ask differently?
inflation surge	Fiscal Shocks and the Surge of Inflation
information shares	A Unifying Non-Gaussian Approach to Price Discovery
Integer-valued autoregressions	Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models
integrated score-driven models	Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter
Interactive effects models	Semiparametric Estimation in Panel Data Models with Nonlinear Factor Structure.
interactive effects. Multidimensional panels	esting the Adequacy of the Fixed Effects Estimator in Panel Data Models with Interactive Effects in a Multidimensional Framework
Interest rates	Rethinking short-term real interest rates and term spreads using very long-run data
Intergenerational Mobility	Locally Robust Estimation of the Intergenerational Elasticity
Internal plans	The Coherence Side of Rationality: Theory and evidence from firm plans
International Asset Pricing	International Government Bond Yields and Monetary Policy: A Necessary Decomposition
international macroeconomics	Beyond borders, within societies: Inequality and the global transmission of US monetary policy
International Spillovers	Has Globalization Changed the International Transmission of U.S. Monetary Policy?
Intertemporal CAPM	Sieve Managed Portfolios
Intra-metropolis mobility	Measuring daily tourism mobility spillover at the intra-metropolis level with mobile positioning data
intraday financial return	Testing the zero-process of intraday financial returns for non-stationary periodicity
IPCA	Sector Structure in Digital Asset Returns
IRFs	Honey, we shrunk the IRFs! Using 1-norm regularisation to improve inference in structural VAR models
Iso-Curve	Monitoring Joint Tail Risks: An Application to Growth and Inflation
Italy	Work-from-Home Job Creation as a Health-Risk Mitigation Strategy: Firm-Level Evidence from the COVID-19 Pandemic
IVX-based inference	Detecting the Predictive Power of Imperfect Predictors with Smoothly Varying Components
J
Job multipliers	The Local Job Multipliers of Green Re-industrialization
Joint Exceedence	Monitoring Joint Tail Risks: An Application to Growth and Inflation
L
l0-penalization	Change-Point Detection in Time Series Using Mixed Integer Programming
l1-penalization	Change-Point Detection in Time Series Using Mixed Integer Programming
Lagrangian Katz distribution	First-order integer-valued autoregressive processes with Generalized Katz innovations
Language Models	Heterogeneity of covenants and corporate financial behaviour
large dataset	Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy
Large Datasets	Heterogeneous economic growth vulnerability across Euro Area countries
large panels	Canonical correlation analysis of stochastic trends via functional approximation
Large-scale inference	Robust Inference in Large Panels and Markowitz Portfolios
LASSO	Sparsity Tests for High-Dimensional Linear Regression Models in Time Series
Latent Space Models	A Multiple Random Scan Strategy for Efficient Approximate Inference of Bayesian Latent Space Models
Learning	Lessons from the Past: How Experience Reduces the Impact of Weather Shocks on Ugandan Smallholders
Likelihood Principle	The judgmental strategy of professional forecasters
Linear Projection	Functional Linear Projection and Impulse Response Analysis
Linear rational expectations models	The Identification Problem for Linear Rational Expectations Models
Linear regression	AIC for many-regressor heteroskedastic regressions
Linear systems	The Identification Problem for Linear Rational Expectations Models
Liquidity	Illiquidity at Risk
Local Asymptotic Power of Tests	Inference on breaks in weak location time series models with quasi-Fisher scores
Local polynomial estimation	Improved Inference for Nonparametric Regression and Regression-Discontinuity Designs
local projection	Nonparametric Local Projections
Local projections	Flood risk and credit market conditions for Italian SMEs Beyond borders, within societies: Inequality and the global transmission of US monetary policy Inference with Local Projections Are Hysteresis Effects Nonlinear?
Local Robustness	Locally Robust Estimation of the Intergenerational Elasticity
Location-Scale	Monitoring Joint Tail Risks: An Application to Growth and Inflation
Long run	Piecing the puzzle: real exchange rates and long-run fundamentals
long-run restrictions	The Dismal Cross: Public Debt and Productivity in Italy during the Great Recession
LP IV	Inference with Local Projections
M
Machine Learning	Model Selection in Multivariate Nonlinear Regression using the Jackknife Von Neumann Estimator Locally Robust Estimation of the Intergenerational Elasticity Nowcasting with Mixed Frequency Data Using Gaussian Processes The Hedged Random Forest
Machine-Learning	"One Person, One Vote": the Effect of Direct Elections on Political DIscourse
Macro-Finance	International Government Bond Yields and Monetary Policy: A Necessary Decomposition
Macroeconometrics	Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models
Macroeconomic Policy design	Online Monitoring of Policy Optimality
Many regressors	AIC for many-regressor heteroskedastic regressions
market microstructure	A Unifying Non-Gaussian Approach to Price Discovery
Martingale difference hypothesis	Causality versus Serial Correlation: an Asymmetric Portmanteau Test
matrix time series	A Matrix-valued model with Time-varying Volatility
Matrix valued time series	Inference in matrix-valued time series with common stochastic trends and multifactor error structure
MCMC	First-order integer-valued autoregressive processes with Generalized Katz innovations Bayesian Inference for Heteroskedastic Proxy-SVARs
Mean-variance spanning tests	Robust Inference in Large Panels and Markowitz Portfolios
Media Coverage	SILENT ALARMS: Workplace Injuries Under-reporting in Italy
Meta-analysis	Heterogeneity of covenants and corporate financial behaviour
MIDAS	Nowcasting with Mixed Frequency Data Using Gaussian Processes
Minimum Spanning Tree	Model Selection in Multivariate Nonlinear Regression using the Jackknife Von Neumann Estimator
Mis-specification	The judgmental strategy of professional forecasters
Missing data	Probabilistic Partial Least Squares
missing girls	Prenatal Sex Detection Technology and Mothers’ Labour Supply in India
mixed causal non-causal models	Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model
Mixed causal-noncausal autoregressive models	Sequential Monte Carlo for Noncausal Processes
mixed frequency	Online Monitoring of Policy Optimality
Mixed Gaussian	On Autoregressive Conditional Duration Models
mixed integer quadratic programming	Change-Point Detection in Time Series Using Mixed Integer Programming
Mixed-frequency	Integration of energy electricity markets in a reverse mixed-frequency panel
Mixture of Student t	Estimating Heterogeneous DSGE Models
Mobile positioning	Measuring daily tourism mobility spillover at the intra-metropolis level with mobile positioning data
Model	Emissions intensity dynamics: the role of macro and industry-specific shocks
Model Confidence Set	Adaptive combinations of tail-risk forecasts
Model selection	Model Selection in Multivariate Nonlinear Regression using the Jackknife Von Neumann Estimator
moment problem	Estimating The Moments and the Distribution of Heterogeneous Marginal Effects Using Panel Data
Monetary Policy	Online Monitoring of Policy Optimality Cast out the pure? Inflation and relative prices on both sides of the Atlantic The Impact of Currency Carry Trade Activity on the Transmission of Monetary Policy International Government Bond Yields and Monetary Policy: A Necessary Decomposition Has Globalization Changed the International Transmission of U.S. Monetary Policy?
MonteCarlo experiments	Dealing with the Statistical Representation of DSGE Models
Monthly data source	Nowcasting public finance main aggregates using new data sources
Multi-level dynamic factor model	Heterogeneous economic growth vulnerability across Euro Area countries
Multifactor Efficiency	Sieve Managed Portfolios
Multiple instruments	Identifying Causal Effects of Discrete, Ordered and Continuous Treatments using Multiple Instrumental Variables
multiple treatment difference in differences	Convergence through sustainable development: can EU developing regions make it happen? Firm-level counterfactual evidence via Machine Learning.
Multiresolution analysis	Spectral climate risk
multivariate	A semi-parametric dynamic conditional correlation framework for risk forecasting
Multivariate autoregressive index models	VAR models with an index structure: A survey with new results
Multivariate Polynomials	Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions
Multivariate skew-t models	Kendall and Spearman Rank Correlations for Skew-Elliptical Copulas
Multivariate Stochastic Liquidity	Systematic Illiquidity
N
natural disasters	Macroeconomic Spillovers of Weather Shocks across U.S. States
Natural gas	Forecasting Natural Gas Prices in Real Time
Natural Language Processing	Crowdfunding Success: Human Insights vs Algorithmic Textual Extraction
Neighborhood data transformation	Estimation and inference in the presence of neighborhood unobservables
Nelson-Siegel model	A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters
Net Zero	Emissions intensity dynamics: the role of macro and industry-specific shocks
Networks	A Multiple Random Scan Strategy for Efficient Approximate Inference of Bayesian Latent Space Models
Neyman orthogonality	Double Machine Learning for Static Panel Data with Instrumental Variables: New Method and Applications
NGFS climate scenarios	Look up and ahead: how climate scenarios affect European sovereign risk
Non stationarity	Inference in matrix-valued time series with common stochastic trends and multifactor error structure
Non-Gaussian maximum likelihood	Identification of one independent shock in structural VARs
Non-Gaussian SVAR	Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition
Non-Gaussianity	Non-Gaussian Business Cycles Anatomy
Non-linearities	Geopolitical risk shocks: When size matters
non-stationarity	Testing the zero-process of intraday financial returns for non-stationary periodicity
Non-stationary Approximate Dynamic Factor Model	Measuring the Euro Area Output Gap
non-stationary time series	Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application
non-stationary time-series	Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model
Nonfundamentalness	Causality versus Serial Correlation: an Asymmetric Portmanteau Test
Nonlinear cointegration	Common Trends and Long-Run Identification in Nonlinear Structural VARs
Nonlinear shrinkage	The Hedged Random Forest
Nonlinearity	Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions The judgmental strategy of professional forecasters Are Hysteresis Effects Nonlinear?
Nonparametric estimation	Model Selection in Multivariate Nonlinear Regression using the Jackknife Von Neumann Estimator Nonparametric Local Projections
Nonparametric Frontier in Heterogeneous Panels	Endogeneity in conditional production frontier
nonparametric identification	Estimating The Moments and the Distribution of Heterogeneous Marginal Effects Using Panel Data
Nonparametric Inference	Rational Expectations Nonparametric Empirical Bayes
Nonparametric regression	Improved Inference for Nonparametric Regression and Regression-Discontinuity Designs
Normal location-scale mixture	Kendall and Spearman Rank Correlations for Skew-Elliptical Copulas
Nowcast	Online Monitoring of Policy Optimality
Nowcasting	Nowcasting public finance main aggregates using new data sources
O
Observation driven models	A new way to specify dynamic models
observation-driven filter	Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model
Oil price	Daily oil price shocks and their uncertainties
oil price uncertainty	Risky Oil: It’s All in the Tails
Oil prices	A new model to forecast energy inflation in the euro area
Oil shocks	Piecing the puzzle: real exchange rates and long-run fundamentals
Older workers' flexibility preferences	Part-time Work Policies and Older Workers’ Employment: evidence from German Mini-jobs
omitted variable bias	The Effect of Temporary Employment on Labour Market Outcomes
Optimal Policy	Online Monitoring of Policy Optimality
Ordered treatment	Identifying Causal Effects of Discrete, Ordered and Continuous Treatments using Multiple Instrumental Variables
out-of-sample tail forecasts	Risky Oil: It’s All in the Tails
Outer product of the score	The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities
Output gap	Measuring the Euro Area Output Gap
P
pairwise interactions	Partially Identified Rankings from Pairwise Interactions}
panel data	Semiparametric Estimation in Panel Data Models with Nonlinear Factor Structure. Fixed Effects in the Tails Estimating The Moments and the Distribution of Heterogeneous Marginal Effects Using Panel Data
Panel Data Analysis	Measuring the Effects of Aggregate Shocks on Unit-Level Outcomes and Their Distribution
Panel data model with	esting the Adequacy of the Fixed Effects Estimator in Panel Data Models with Interactive Effects in a Multidimensional Framework
Panel threshold model	Look up and ahead: how climate scenarios affect European sovereign risk
panel VAR	Autoregressive Difference-in-Differences Panel VAR Models with Latent Group Structures
Parameter instability	Quantile Granger Causality in the Presence of Instability
Parametric	Specification testing with grouped fixed effects
Parametric portfolio policies	Rethinking Sparsity: Parametric Portfolios and Firm Characteristics
Pareto distribution	Fixed Effects in the Tails
Part-time job policies	Part-time Work Policies and Older Workers’ Employment: evidence from German Mini-jobs
Partial Least Squares	Probabilistic Partial Least Squares
Penalised Regression	Sparsity Tests for High-Dimensional Linear Regression Models in Time Series
Pension claiming	Part-time Work Policies and Older Workers’ Employment: evidence from German Mini-jobs
Persistence	Detecting the Predictive Power of Imperfect Predictors with Smoothly Varying Components
Phillips Curve	It is All About Demand and Supply: a Dualistic View of the Euro Area Business Cycle
Physical risks	Climate and Macroeconomic Variability
policy rate changes	Risky Oil: It’s All in the Tails
portfolio allocation	An Economic Evaluation of Exchange Rates Higher Order Moments Timing
potential outcomes	Nonparametric Local Projections
Potential output	Measuring the Euro Area Output Gap
Pre-testing bias	Bootstrap Diagnostic tests
prediction	Nowcasting with Mixed Frequency Data Using Gaussian Processes
prenatal sex detection	Prenatal Sex Detection Technology and Mothers’ Labour Supply in India
price discovery	A Unifying Non-Gaussian Approach to Price Discovery
Principal Component Analysis	Counterfactual and Synthetic Control Method: Causal Inference with Instrumented Principal Component Analysis
principal components	A Survey-Based Measure of Asymmetric Macroeconomic Risk in the Euro Area
Production	Lessons from the Past: How Experience Reduces the Impact of Weather Shocks on Ugandan Smallholders
Production network	Unlocking Greater Resource Recovery and Productivity in the UK Production Network
productivity	Unlocking Greater Resource Recovery and Productivity in the UK Production Network Scholars And The Machine: On Automation And Academic Performance
productivity differentials	Piecing the puzzle: real exchange rates and long-run fundamentals
Proxy SVAR	Generalised External-Instrument SVAR Analysis
Proxy variables	Bayesian Inference for Heteroskedastic Proxy-SVARs
proxy-SVAR	A test of exogeneity in Structural Vector Autoregressions with external instruments
Proxy-SVARs	Invalid Proxies and Volatility Changes
pseudo maximum likelihood	A Unifying Non-Gaussian Approach to Price Discovery
Public Finance	Nowcasting public finance main aggregates using new data sources
public health	Long-term health and human capital effects of massive investments in public health and education: Evidence from Cuba
Q
quantile regression	Heterogeneous economic growth vulnerability across Euro Area countries Quantile Granger Causality in the Presence of Instability A Survey-Based Measure of Asymmetric Macroeconomic Risk in the Euro Area
Quantile treatment effect on the treated	Distributional Difference-in-Differences with Multiple Time Periods
quantiles	Estimation risk in conditional expectiles
Quasi Likelihood	On Autoregressive Conditional Duration Models
Quasi-maximum likelihood	Intraday Stochastic Drift Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models
R
Random bootstrap measures	Bootstrap Diagnostic tests
Rank correlation	Kendall and Spearman Rank Correlations for Skew-Elliptical Copulas
Rank Invariance	Distributional Difference-in-Differences with Multiple Time Periods
rankings	Partially Identified Rankings from Pairwise Interactions}
real time	Online Monitoring of Policy Optimality
Real-time data	Forecasting Natural Gas Prices in Real Time
Realized Kurtosis	Dynamic tail risk forecasting: what do realized skewness and kurtosis add?
Realized Skewness	Dynamic tail risk forecasting: what do realized skewness and kurtosis add?
rebound effect	Convergence through sustainable development: can EU developing regions make it happen? Firm-level counterfactual evidence via Machine Learning.
Receiver operating characteristic curve	Sign-Oriented Nowcasting of GDP (SONG): a new hybrid approach
Reduced-rank regression	VAR models with an index structure: A survey with new results
Refugee Hosting Facilities	Settlers and Seekers: Immigrant Proximity and Voter Polarisation
Regional Resilience	Regional resilience in Italy: an analysis in the time-frequency domain
Regression specifications	Testing Conditional Moment Restrictions: A Partitioning Approach
Regression-Discontinuity Designs	Improved Inference for Nonparametric Regression and Regression-Discontinuity Designs
relative enthropy	Online Monitoring of Policy Optimality
relative prices	Cast out the pure? Inflation and relative prices on both sides of the Atlantic
renewable energies	Idiosyncratic and Systematic Volatility Spillovers through the Renewable Energy Financial Markets
Renewable energy sources	Integration of energy electricity markets in a reverse mixed-frequency panel
Reporting Behaviour	SILENT ALARMS: Workplace Injuries Under-reporting in Italy
Reputation	The judgmental strategy of professional forecasters
RESET	Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions
Resource movement	Piecing the puzzle: real exchange rates and long-run fundamentals
Retirement transitions	Part-time Work Policies and Older Workers’ Employment: evidence from German Mini-jobs
Risk	Lessons from the Past: How Experience Reduces the Impact of Weather Shocks on Ugandan Smallholders
Risk Management	Adaptive combinations of tail-risk forecasts
risk premia	Asset pricing models with downside risk
risk scenarios	Risky Oil: It’s All in the Tails
Robust Student t-tests	Robust Inference in Large Panels and Markowitz Portfolios
S
Score Driven models	A new way to specify dynamic models
Score-driven Models	From rotational to scalar invariance: Enhancing identifiability in score-driven factor models
Scoring Structures	The judgmental strategy of professional forecasters
Seasonal time series	Forecasting high-dimensional time series with multiple seasonalities: An application to electricty demand
sector structure	Sector Structure in Digital Asset Returns
selection	The Effect of Temporary Employment on Labour Market Outcomes
Semi-martingale	Local Edgeworth expansions
semi-parametric	A semi-parametric dynamic conditional correlation framework for risk forecasting
semiparametric inference	Canonical correlation analysis of stochastic trends via functional approximation Inference on the cointegration and the attractor spaces via functional approximation
Sequential Monte Carlo	Estimating Heterogeneous DSGE Models Sequential Monte Carlo for Noncausal Processes Bayesian Inference for Heteroskedastic Proxy-SVARs An Economic Evaluation of Exchange Rates Higher Order Moments Timing
Shift-share	The Local Job Multipliers of Green Re-industrialization
Shift-share instrument	Double Machine Learning for Static Panel Data with Instrumental Variables: New Method and Applications
shock identification	Inference with Local Projections
Shrinkage	Honey, we shrunk the IRFs! Using 1-norm regularisation to improve inference in structural VAR models Rethinking Sparsity: Parametric Portfolios and Firm Characteristics
Sieve estimation	Semiparametric Estimation in Panel Data Models with Nonlinear Factor Structure.
Sieve Minimum Distance	Sieve Managed Portfolios
Sign-asymmetry	Are Hysteresis Effects Nonlinear?
Similarity Function	Spatial Autoregressions with Endogenous Weights
Skew-normal scale mixture	Kendall and Spearman Rank Correlations for Skew-Elliptical Copulas
skewness	A Survey-Based Measure of Asymmetric Macroeconomic Risk in the Euro Area
Smooth fixed-effects	Estimation and inference in the presence of neighborhood unobservables
Social spending	Care Regimes and Time Allocation: an Event Study Analysis of the US Public Expenditure
son preference	Prenatal Sex Detection Technology and Mothers’ Labour Supply in India
Sovereign financial stability	Look up and ahead: how climate scenarios affect European sovereign risk
Space Economy	Aerospace Growth Spillovers: a Macroeconomic Perspective
Sparsity	Sparse Dynamic Bayesian Graphical Models
Spatial Autoregression	Spatial Autoregressions with Endogenous Weights
Spillover effects	Measuring daily tourism mobility spillover at the intra-metropolis level with mobile positioning data
spillovers	Macroeconomic Spillovers of Weather Shocks across U.S. States
Stability	Rational Expectations Nonparametric Empirical Bayes
Stagflation	Monitoring Joint Tail Risks: An Application to Growth and Inflation
State Space Models	Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models
state-dependence	Beyond borders, within societies: Inequality and the global transmission of US monetary policy
Statistical inference	Inference in matrix-valued time series with common stochastic trends and multifactor error structure
stochastic transitivity	Partially Identified Rankings from Pairwise Interactions}
Stochastic trends	Intraday Stochastic Drift
Stochastic Volatility	Systematic Illiquidity Illiquidity at Risk
Stochastic volatility model	Testing for Explosiveness in Financial Asset Prices using High-Frequency Volatility: with Application to Cryptocurrency Data
Stock return predictability	Detecting the Predictive Power of Imperfect Predictors with Smoothly Varying Components
stress testing	Risky Oil: It’s All in the Tails
Structural breaks	Change-Point Detection in Time Series Using Mixed Integer Programming Invalid Proxies and Volatility Changes Quantile Granger Causality in the Presence of Instability
Structural Dynamic Factors Models	Two Main Business Cycle Shocks are Better than One
Structural models	Forecasting Natural Gas Prices in Real Time
Structural VAR	Honey, we shrunk the IRFs! Using 1-norm regularisation to improve inference in structural VAR models Daily oil price shocks and their uncertainties
structural VAR models	Fiscal Shocks and the Surge of Inflation
Structural Vector Autoregression	Measuring the Effects of Aggregate Shocks on Unit-Level Outcomes and Their Distribution Common Trends and Long-Run Identification in Nonlinear Structural VARs
Supervised learning	Double Machine Learning for Static Panel Data with Instrumental Variables: New Method and Applications
supervised Machine Learning (ML) algorithms	Convergence through sustainable development: can EU developing regions make it happen? Firm-level counterfactual evidence via Machine Learning.
supply shocks	Cast out the pure? Inflation and relative prices on both sides of the Atlantic
survey forecasts	Online Monitoring of Policy Optimality
SVAR	Piecing the puzzle: real exchange rates and long-run fundamentals A test of exogeneity in Structural Vector Autoregressions with external instruments Bayesian Inference for Heteroskedastic Proxy-SVARs Are Hysteresis Effects Nonlinear? Climate and Macroeconomic Variability
SVAR IV	Generalised External-Instrument SVAR Analysis
SVAR-IV	A test of exogeneity in Structural Vector Autoregressions with external instruments
Synthetic Control	Counterfactual and Synthetic Control Method: Causal Inference with Instrumented Principal Component Analysis
synthetic control method	Long-term health and human capital effects of massive investments in public health and education: Evidence from Cuba
T
tail risk	Estimation risk in conditional expectiles
teacher value-added	Fixed Effects in the Tails
Technological Innovation	Scholars And The Machine: On Automation And Academic Performance
technology	The Dismal Cross: Public Debt and Productivity in Italy during the Great Recession
technology adoption	Convergence through sustainable development: can EU developing regions make it happen? Firm-level counterfactual evidence via Machine Learning.
telework labor	Work-from-Home Job Creation as a Health-Risk Mitigation Strategy: Firm-Level Evidence from the COVID-19 Pandemic
Temporal disaggregation	Nowcasting public finance main aggregates using new data sources
Temporal network	Sparse Dynamic Bayesian Graphical Models
temporary employment	The Effect of Temporary Employment on Labour Market Outcomes
tensor decomposition	Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition
Tensor factor models	Forecasting high-dimensional time series with multiple seasonalities: An application to electricty demand
term structure	Rethinking short-term real interest rates and term spreads using very long-run data
Tests for periodicity	Testing the zero-process of intraday financial returns for non-stationary periodicity
Text analysis	"One Person, One Vote": the Effect of Direct Elections on Political DIscourse
Time allocation	Care Regimes and Time Allocation: an Event Study Analysis of the US Public Expenditure
time series	Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy
Time series analysis	Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models
time use	Estimating the Effect of Working From Home on Parent’s Division of Childcare and Housework: A New Panel IV Approach
Time-Varying Conditional Efficiency Measures	Endogeneity in conditional production frontier
Time-varying heterogeneity	Specification testing with grouped fixed effects
Time-varying parameters	Sparse Dynamic Bayesian Graphical Models
Time-varying VAR	Disentangling the drivers of exuberant house prices
time-varying volatility	A Matrix-valued model with Time-varying Volatility
Tourism	Measuring daily tourism mobility spillover at the intra-metropolis level with mobile positioning data
Trading Volume	Systematic Illiquidity
Translog	Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions
treatment effect	The Effect of Temporary Employment on Labour Market Outcomes
Treatment effect heterogeneity	Distributional Difference-in-Differences with Multiple Time Periods
triple-differences design	Prenatal Sex Detection Technology and Mothers’ Labour Supply in India
TVP-VARs	Has Globalization Changed the International Transmission of U.S. Monetary Policy?
Twicing Kernels	A Test for Bayesian-Nash Behavior in Binary Games with Incomplete Information and Correlated Types
Two stage least squares	Double Machine Learning for Static Panel Data with Instrumental Variables: New Method and Applications
Two-Stage Least Squares	Spatial Autoregressions with Endogenous Weights
two-step estimation	Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application
U
Uncertainty	Geopolitical risk shocks: When size matters Daily oil price shocks and their uncertainties
Unconfoundedness	A Local Differencing Test for the Credibility of Selection-on-Observables
Unions	SILENT ALARMS: Workplace Injuries Under-reporting in Italy
Unit roots	Canonical correlation analysis of stochastic trends via functional approximation Inference on the cointegration and the attractor spaces via functional approximation Rethinking short-term real interest rates and term spreads using very long-run data
United States	Macroeconomic Spillovers of Weather Shocks across U.S. States
United States Congress	"One Person, One Vote": the Effect of Direct Elections on Political DIscourse
Unknown factors	Semiparametric Estimation in Panel Data Models with Nonlinear Factor Structure.
Unpaid work	Care Regimes and Time Allocation: an Event Study Analysis of the US Public Expenditure
US monetary policy spillovers	Beyond borders, within societies: Inequality and the global transmission of US monetary policy
V
Value at Risk	Dynamic tail risk forecasting: what do realized skewness and kurtosis add?
Value-at-Risk	A semi-parametric dynamic conditional correlation framework for risk forecasting
VAR Analysis	Sparsity Tests for High-Dimensional Linear Regression Models in Time Series
Variable selection	Rethinking Sparsity: Parametric Portfolios and Firm Characteristics
Variation in treatment timing	Distributional Difference-in-Differences with Multiple Time Periods
VARs	Online Monitoring of Policy Optimality The Dismal Cross: Public Debt and Productivity in Italy during the Great Recession
Vector Autoregressions	Geopolitical risk shocks: When size matters Dealing with the Statistical Representation of DSGE Models
Vector autoregressive models	VAR models with an index structure: A survey with new results
Vector autoregressive moving average models	The Identification Problem for Linear Rational Expectations Models
vector error correction models	A Unifying Non-Gaussian Approach to Price Discovery
Volatility comovements	Compounding Political and Energy Risks: A clustered stochastic COVOL model
Volatility shifts	Invalid Proxies and Volatility Changes
volatility spillovers	Idiosyncratic and Systematic Volatility Spillovers through the Renewable Energy Financial Markets
Volume	Illiquidity at Risk
Voting behaviour	Settlers and Seekers: Immigrant Proximity and Voter Polarisation
W
Weak factors	Cross-Sectional Exchangeability and Rate-Weak Factors
Weak instruments	Invalid Proxies and Volatility Changes
weather shocks	Macroeconomic Spillovers of Weather Shocks across U.S. States
Weight Matrix	Spatial Autoregressions with Endogenous Weights
welfare costs	The Welfare Costs of Inflation Reconsidered
work from home	Work-from-Home Job Creation as a Health-Risk Mitigation Strategy: Firm-Level Evidence from the COVID-19 Pandemic
Working from home	Estimating the Effect of Working From Home on Parent’s Division of Childcare and Housework: A New Panel IV Approach
Workplace Injuries	SILENT ALARMS: Workplace Injuries Under-reporting in Italy
Worst-case scenario	Monitoring Joint Tail Risks: An Application to Growth and Inflation
Y
Yield curve	A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters
Z
zeros	Testing the zero-process of intraday financial returns for non-stationary periodicity

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