JEL classification

Journal of Economic Literature Classification (10696) C - Mathematical and Quantitative Methods (1374) C1 - Econometric and Statistical Methods: General (382) C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods (41)
Number of items at this level: 41.
Article
  • Chang, Jinyuan, Qiu, Yumou, Yao, Qiwei, Zou, Tao (2018). Confidence regions for entries of a large precision matrix. Journal of Econometrics, 206(1), 57-82. https://doi.org/10.1016/j.jeconom.2018.03.020
  • Dalla, Violetta, Hidalgo, Javier (2005). A parametric bootstrap test for cycles. Journal of Econometrics, 129(1-2), 219-261. https://doi.org/10.1016/j.jeconom.2004.09.008
  • Dang, Hai-Anh H., Dhongde, Shatakshee, Do, Minh N. N., Nguyen, Cuong Viet, Pimhidzai, Obert (2025). Rapid economic growth but rising poverty segregation will Vietnam meet the SDGs for equitable development? Review of Development Economics, 29(4), 2063 - 2075. https://doi.org/10.1111/rode.13175 picture_as_pdf
  • Dang, Hai-Anh H., Kilic, Talip, Abanokova, Kseniya, Carletto, Calogero (2025). Poverty imputation in contexts without consumption data: a revisit with further refinements. Review of Income and Wealth, 71(1). https://doi.org/10.1111/roiw.12714 picture_as_pdf
  • Dang, Hai-Anh H., Raju, Dhushyanth, Tanaka, Tomomi, Abanokova, Kseniya (2024). Poverty dynamics for Ghana during 2005/06–2016/17: an investigation using synthetic panels. Scientific African, 25, https://doi.org/10.1016/j.sciaf.2024.e02282 picture_as_pdf
  • Danielsson, Jon, Shin, Hyun Song, Zigrand, Jean-Pierre (2004). The impact of risk regulation on price dynamics. Journal of Banking and Finance, 28(5), 1069-1087. https://doi.org/10.1016/S0378-4266(03)00113-4
  • Dassios, Angelos, Zhao, Hongbiao (2017). Efficient simulation of clustering jumps with CIR intensity. Operations Research, 65(6), 1494-1515. https://doi.org/10.1287/opre.2017.1640
  • Gasparini, Leonardo, Cruces, Guillermo, Tornarolli, Leopoldo (2011). Recent trends in income inequality in Latin America. Economía, 11(2), 147 - 190. https://doi.org/10.1353/eco.2011.0002 picture_as_pdf
  • Hajivassiliou, Vassilis, McFadden, Daniel (1998). The method of simulated scores for the estimation of LDV models. Econometrica, 66(4), 863-896.
  • Hajivassiliou, Vassilis, Savignac, Frédérique (2024). Simultaneously incomplete and incoherent (SII) dynamic LDV models: with an application to financing constraints and firms’ decision to innovate. Journal of Econometrics, 238(1). https://doi.org/10.1016/j.jeconom.2023.105546 picture_as_pdf
  • Hidalgo, Javier (2003). An alternative bootstrap to moving blocks for time series regression models. Journal of Econometrics, 117(2), 369-399. https://doi.org/10.1016/S0304-4076(03)00154-4
  • Kalogeropoulos, Konstantinos, Dellaportas, Petros, Roberts, Gareth O. (2011). Likelihood based inference for correlated diffusions. Canadian Journal of Statistics, 39(1), 52-72. https://doi.org/10.1002/cjs.10096
  • Kalogeropoulos, Konstantinos (2007). Likelihood-based inference for a class of multivariate diffusions with unobserved paths. Journal of Statistical Planning and Inference, 137(10), 3092-3102. https://doi.org/10.1016/j.jspi.2006.05.017
  • Kalogeropoulos, Konstantinos, Roberts, Gareth O., Dellaportas, Petros (2010). Inference for stochastic volatility models using time change transformations. Annals of Statistics, 38(2), 784-807. https://doi.org/10.1214/09-AOS702
  • Michaelides, Alexander, Ng, Serena (2000). Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators. Journal of Econometrics, 96(2), 231-266. https://doi.org/10.1016/S0304-4076(99)00058-5
  • Qu, Yan, Dassios, Angelos, Zhao, Hongbiao (2023). Shot-noise cojumps: exact simulation and option pricing. Journal of the Operational Research Society, 74(3), 647 - 665. https://doi.org/10.1080/01605682.2022.2077660 picture_as_pdf
  • Sarr, Ibrahima, Dang, Hai-Anh H., Gutierrez, Carlos Santiago Guzman, Beltramo, Theresa, Verme, Paolo (2025). Using cross-survey imputation to estimate poverty for Venezuelan refugees in Colombia. Social Indicators Research, 177(1), 207 - 251. https://doi.org/10.1007/s11205-024-03492-8 picture_as_pdf
  • Taschini, Luca, Urech, Simon (2010). The real option to fuel switch in the presence of expected windfall profits under the EU Emission Trading Scheme. Journal of Energy Markets,
  • Young, Alwyn (2025). Consistency of the OLS bootstrap for independently but not-identically distributed data: a permutation perspective. Econometrics, 13(4). https://doi.org/10.3390/econometrics13040041 picture_as_pdf
  • Ziegelmann, Flavio (2010). Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class. Journal of Statistical Computation and Simulation, 81(6), 707-728. https://doi.org/10.1080/00949650903468193
    • Chapter
  • Hajivassiliou, Vassilis (2018). Computational methods in econometrics. In The New Palgrave Dictionary of Economics . Palgrave Macmillan. https://doi.org/10.1057/978-1-349-95189-5_2725
    • Working paper
  • Altissimo, Filippo, Mele, Antonio (2004). Simulated nonparametric estimation of continuous time models of asset prices and returns. (Discussion paper 476). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Altissimo, Filippo, Mele, Antonio (2005). Simulated nonparametric estimation of dynamic models with applications to finance. (Financial Markets Group Discussion Papers 539). Financial Markets Group, The London School of Economics and Political Science.
  • Berry, Steve, Linton, Oliver, Pakes, Ariel (2000). Limit theorems for estimating the parameters of differentiated product demand systems. (Econometrics; EM/2000/400 EM/00/400). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Calzorali, Giorgio, Fiorentini, Gabriele, Sentana, Enrique (2001). Constrained indirect inference estimation. (Financial Markets Group Discussion Papers 384). Financial Markets Group, The London School of Economics and Political Science.
  • Cho, Young-Hyun, Linton, Oliver, Whang, Yoon-Jae (2006). Are there Monday effects in stock returns: a stochastic dominance approach. (Financial Markets Group Discussion Papers 568). Financial Markets Group, The London School of Economics and Political Science.
  • Connor, Gregory, Sehgal, Sanjay (2001). Tests of the Fama and French model in India. (Financial Markets Group Discussion Papers 379). Financial Markets Group, The London School of Economics and Political Science.
  • Dalla, Violetta, Hidalgo, Javier (2005). A parametric bootstrap test for cycles. (Econometrics Paper EM/2005/486). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Danielsson, Jon, Zhou, Chen (2015). Why risk is so hard to measure. (Systemic Risk Centre Discussion Papers 36). Systemic Risk Centre, The London School of Economics and Political Science.
  • Dridi, Ramdan (2000). Simulated asymptotic least squares theory. (EM 396). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Dridi, Ramdan, Renault, Eric (2000). Semi-parametric indirect inference. (EM 392). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hajivassiliou, Vassilis (2019). Estimation and specification testing of panel data models with non-ignorable persistent heterogeneity, contemporaneous and intertemporal simultaneity and observable and unobservable dynamics. Suntory and Toyota International Centres for Economics and Related Disciplines. picture_as_pdf
  • Hajivassiliou, Vassilis (2019). Switching regressions with imperfect regime classification information: theory and applications. (STICERD Econometrics Papers 610). Suntory and Toyota International Centres for Economics and Related Disciplines. picture_as_pdf
  • Hajivassiliou, Vassilis, Savignac, Frédérique (2007). Financing constraints and a firm's decision and ability to innovate: establishing direct and reverse effects. Financial Markets Group, The London School of Economics and Political Science.
  • Hajivassiliou, Vassilis, Savignac, Frédérique (2019). Novel approaches to coherency conditions in dynamic LDV models: quantifying financing constraints and a firm's decision and ability to innovate. (Econometrics Papers 606). Suntory and Toyota International Centres for Economics and Related Disciplines. picture_as_pdf
  • Hidalgo, Javier (2003). An alternative bootstrap to moving blocks for time series regression models. (EM 452). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Jobst, Andreas A. (2002). Loan securitisation: default term structure and asset pricing based on loss prioritisation. (Financial Markets Group Discussion Papers 422). Financial Markets Group, The London School of Economics and Political Science.
  • Lee, Sokbae, Linton, Oliver, Whang, Yoon-Jae (2006). Testing for stochastic monotonicity. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Linton, Oliver, Maasoumi, Esfandiar, Whang, Yoon-Jae (2002). Consistent testing for stochastic dominance : a subsampling approach. (Econometrics; EM/2002/433 EM/02/433). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Nobay, A. Robert, Paya, Ivan, Peel, David A. (2007). Inflation dynamics in the US - a nonlinear perspective. (Financial Markets Group Discussion Papers 601). Financial Markets Group, The London School of Economics and Political Science.
  • Seo, Myung Hwan (2005). Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap. (EM 484). Suntory and Toyota International Centres for Economics and Related Disciplines.