This note shows how to derive unconditional moments, cumulants and polyspectra of order higher than two for the pruned state-space of nonlinear DSGE models. Useful Matrix tools and computational aspects are also discussed.

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

Determining the extent to which citation flows, and hence bibliometric indicators based on them, reflect some intrinsic value of scientific works is an important task made very difficult by endogeneity issues. This paper presents an approach which allows to go beyond the abundant anecdotal...

We provide simple tests for selection on unobserved variables in the Vytlacil-Imbens-Angrist framework for Local Average Treatment Effects. The tests allow researchers not only to test for selection on either or both of the treated and untreated outcomes, but also to assess the magnitude of the...

The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...

This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present...

Are there different determinants in the fight against corruption across developing countries? Why are some countries more effective at battling corruption than others? To investigate these concerns we examine the determinants of corruption-control throughout the conditional distribution of the...

Why are some nations more effective at battling corruption than others? Are there different determinants in the fight against corruption across developing nations? How do wealth effects play-out when existing corruption-control levels matter in the corruption battle? To investigate these...

Purpose - Are there different determinants in the fight against corruption across African countries? Why are some countries more effective at battling corruption than others? To assess these concerns we examine the determinants of corruption-control throughout the conditional distribution of the...

Why are some nations more effective at battling corruption than others? Are there different determinants in the fight against corruption across developing nations? How do wealth effects play-out when existing corruption-control levels matter in the corruption battle? To investigate these...