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Threshold autoregression with a unit root

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M Caner… - Econometrica, 2001 - Wiley Online Library
2. Abstract This paper develops an asymptotic theory of inference for an unrestricted two-
regime threshold autoregressive (TAR) model with an autoregressive unit root. We find that
the asymptotic null distribution of Wald tests for a threshold are nonstandard and different ...
Cited by 487 - Related articles - Library Search - BL Direct - All 17 versions

Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate

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M Caner… - Journal of International Money and Finance, 2001 - Elsevier
Tests of the null hypothesis of stationarity against the unit root alternative play an
increasingly important role in empirical work in macroeconomics and in international
finance. We show that the use of conventional asymptotic critical values for stationarity ...
Cited by 135 - Related articles - Library Search - BL Direct - All 14 versions

Instrumental variable estimation of a threshold model

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M Caner… - Econometric Theory, 2004 - Cambridge Univ Press
Abstract Threshold models (sample splitting models) have wide application in economics.
Existing estimation methods are confined to regression models, which require that all right-
hand-side variables are exogenous. This paper considers a model with endogenous ...
Cited by 123 - Related articles - BL Direct - All 15 versions

A locally optimal seasonal unit-root test

M Caner - Journal of Business & Economic Statistics, 1998 - JSTOR
This article proposes a locally best invariant test of the null hypothesis of seasonal
stationarity against the alternative of seasonal unit roots at all or individual seasonal
frequencies. An asymptotic distribution theory is derived and the finite-sample properties ...
Cited by 38 - Related articles - Get it from MIT Libraries - BL Direct - All 8 versions

Tests for cointegration with infinite variance errors

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M Caner - Journal of Econometrics, 1998 - Elsevier
This paper develops the asymptotic theory for residual-based tests and quasi-likelihood ratio
tests for cointegration under the assumption of infinite variance errors. This article extends
the results of Phillips and Ouliaris (1990) and Johansen (1988, 1991) which are derived ...
Cited by 32 - Related articles - All 7 versions

Time-varying betas help in asset pricing: the threshold CAPM

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L Akdeniz, A Altay-Salih… - Studies in Nonlinear …, 2003 - papers.ssrn.com
Abstract Although there is a consensus about time variation in market betas, it is not clear
how this variation should be captured. Several researchers continue to analyze different
versions of the conditional CAPM. However, Ghysels (1998) shows that these conditional ...
Cited by 27 - Related articles - All 13 versions

Lasso-type GMM estimator

Full text - MIT Libraries
M Caner - Econometric Theory, 2009 - Cambridge Univ Press
Abstract This paper proposes the least absolute shrinkage and selection operator–type
(Lasso-type) generalized method of moments (GMM) estimator. This Lasso-type estimator is
formed by the GMM objective function with the addition of a penalty term. The exponent of ...
Cited by 24 - Related articles - All 6 versions

[BOOK] Unveiling Islam: An insider's look at Muslim life and beliefs

[PDF] from i-epistemology.net
EM Caner, EF Caner… - 2009 - books.google.com
An updated and expanded edition of a best-selling and award-winning bookRaised as
Sunni Muslims, their father a leader in their local mosque, brothers Ergun and Emir Caner
were immersed in Islam. Now Christians, respected evangelical scholars, and theologians ...
Cited by 22 - Related articles - Get it from MIT Libraries - Library Search - All 4 versions

Finding the tipping point-when sovereign debt turns bad

[PDF] from ts-si.org
M Caner, T Grennes… - 2010 - papers.ssrn.com
Abstract: Public debt has surged during the current global economic crisis and is expected to
increase further. This development has raised concerns whether public debt is starting to hit
levels where it might negatively affect economic growth. Does such a tipping point in ...
Cited by 17 - Related articles - All 11 versions

Are “Nearly Exogenous Instruments” Reliable?

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D Berkowitz, M Caner… - Economics Letters, 2008 - Elsevier
We show that when instruments are nearly exogenous, the two stage least squares t-statistic
unpredictably over-rejects or under-rejects the null hypothesis that the endogenous
regressor is insignificant and Anderson–Rubin test over-rejects the null. We prove that in ...
Cited by 16 - Related articles - All 35 versions

A note on least absolute deviation estimation of a threshold model

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M Caner - Econometric Theory, 2002 - Cambridge Univ Press
This paper develops the limit law for the least absolute deviation estimator of the threshold
parameter in linear regression+ In this respect, we extend the literature of threshold models+
The existing literature considers only the least squares estimation of the threshold ...
Cited by 16 - Related articles - BL Direct - All 8 versions

Are real exchange rates nonlinear or nonstationary? Evidence from a new threshold unit root test

E Basci… - 2005 - ideas.repec.org
< p> We analyze the post-float real exchange rates for a group of OECD countries using the
newly developed threshold test and tests for unit roots against stationary but nonlinear
alternative by Caner and Hansen (2001). These tools help us disentangle the nonlinearity ...
Cited by 16 - Related articles - Cached - Get it from MIT Libraries - All 7 versions

[CITATION] Exponential tilting with weak instruments: Estimation and testing

M Caner - Econometrics, 2005 - econpapers.repec.org
Related works: Journal Article: Exponential Tilting with Weak Instruments: Estimation and Testing
(2010) This item may be available elsewhere in EconPapers: Search for items with the same
title. ... This site is part of RePEc and all the data displayed here is part of the RePEc data ...
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[PDF] Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for applied work

[PDF] from econstor.eu
M Caner… - Computing in Economics and Finance 1999, 1999 - econstor.eu
Abstract It is common in applied econometrics to test the null hypothesis of a level-stationary
process against the alternative of a unit root process. We show that the use of conventional
asymptotic critical values for the stationarity tests of Kwiatkowski et al.(1992) and ...
Cited by 12 - Related articles - View as HTML - All 10 versions

Sovereign wealth funds: The Norwegian experience

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M Caner… - The World Economy, 2010 - Wiley Online Library
Sovereign wealth funds have rapidly become significant international institutions. The
performance of funds varies substantially across countries, but comprehensive and
systematic analyses of funds have been hampered by the lack of transparency of most ...
Cited by 11 - Related articles - All 14 versions

Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases

Full text - MIT Libraries
M Caner - Journal of Econometrics, 2007 - Elsevier
This paper develops structural change tests in the continuous updating GMM framework that
are robust to weak identification. We propose likelihood ratio-like, Anderson–Rubin [1949.
Estimation of the parameters of a single equation in a complete system of stochastic ...
Cited by 12 - Related articles - All 6 versions

Nearly-singular design in GMM and generalized empirical likelihood estimators

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M Caner - Journal of Econometrics, 2008 - Elsevier
Nearly-Singular design relaxes the nonsingularity assumption of the limit weight matrix in
GMM, and the nonsingularity of the limit variance matrix for the first order conditions in GEL.
The sample versions of these matrices are nonsingular, but in large samples we assume ...
Cited by 10 - Related articles - All 8 versions

The validity of instruments revisited

[PDF] from pitt.edu
D Berkowitz, M Caner… - Journal of Econometrics, 2011 - Elsevier
This paper shows how valid inferences can be made when an instrumental variable does
not perfectly satisfy the orthogonality condition. When there is a mild violation of the
orthogonality condition, the Anderson and Rubin (1949) test is oversized. In order to ...
Cited by 9 - Related articles - Get it from MIT Libraries - All 29 versions

Testing, estimation in GMM and CUE with nearly-weak identification

Full text - MIT Libraries
M Caner - Econometric Reviews, 2009 - Taylor & Francis
In this article, we analyze Generalized Method of Moments (GMM) and Continuous Updating
Estimator (CUE) with strong, nearly-weak, and weak identification. We show that with this
mixed system, the limits of the estimators are nonstandard. In the subcase of GMM ...
Cited by 9 - Related articles - All 8 versions

[PDF] Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics

[PDF] from 147.9.1.186
M Caner - 2010 - 147.9.1.186
Abstract This paper analyzes near exogeneity and weak identification in Generalized
Empirical Likelihood Estimators in many moments setting. Near exogeneity is the local to
zero violation of the exogeneity condition. Near exogeneity and weak identification are ...
Cited by 6 - Related articles - View as HTML - All 37 versions

[CITATION] & B+ E+ Hansen~ 2001! Threshold autoregression with a unit root+

Full text - MIT Libraries
M Caner - Econometrica
Cited by 6 - Related articles

[BOOK] Voices behind the veil: the world of Islam through the eyes of women

EM Caner - 2003 - books.google.com
< p> An unprecedented, sympathetic, and systematic exploration of the mysterious world of
Islamic women, by women who have been there. More than half a billion women live their
entire lives peeking out from behind heavy veils. Theirs is a mysterious, misunderstood life ...
Cited by 6 - Related articles - Get it from MIT Libraries - Library Search

Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate

M Caner… - CEPR Discussion Papers, 2000 - ideas.repec.org
Tests of the null hypothesis of stationarity against the unit root alternative play an
increasingly important role in empirical work in macroeconomics and in international
finance. We show that the use of conventional asymptotic critical values for stationarity ...
Cited by 4 - Related articles - Cached - Library Search - BL Direct - All 7 versions

[CITATION] Performance and Transparency of the Norwegian Sovereign Wealth Fund

M Caner… - Revue d'Economie Financiere, Special Issue …, 2009
Cited by 3 - Related articles

[PDF] Testing, Estimation in GMM and CUE with Nearly-Weak Instruments

[PDF] from ncsu.edu
M Caner - 2007 - ncsu.edu
Abstract In this paper we analyze GMM and Continuous Updating Estimator (CUE) with
strong and nearly-weak instruments. In the nearly weak-GMM, the correlation between the
instruments and the first order conditions decline at a slower rate than root T. We find an ...
Cited by 3 - Related articles - View as HTML

Exponential Tilting with Weak Instruments: Estimation and Testing*

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M Caner - Oxford Bulletin of Economics and Statistics, 2010 - Wiley Online Library
This article analyses exponential tilting estimator with weak instruments in a nonlinear
framework. Our paper differs from the previous literature in the context of consistency proof.
Tests that are robust to the identification problem are also analysed. These are Anderson– ...
Cited by 3 - Related articles - All 8 versions

No Country For Old Unit Root Tests: Bridge Estimators Differentiate between Nonstationary versus Stationary Models and Select Optimal Lag

[PDF] from ncsu.edu
M Caner… - 2008 - papers.ssrn.com
Abstract: This paper introduces a novel way of differentiating a unit root from a stationary
alternative. We write up the model consisting of zero and nonzero parameters. If the lagged
dependent variable has a coefficient of zero, we know that the variable has a unit root. We ...
Cited by 3 - Related articles - All 8 versions

Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Fixed and Many Moment Asymptotics

M Caner - 2006 - papers.ssrn.com
Abstract: This paper analyzes near exogeneity and weak identification in Generalized
Empirical Likelihood Estimators. Near exogeneity and weak identification are related to the
exogeneity and relevance of the instruments, respectively. These two issues are important ...
Cited by 3 - Related articles - All 7 versions

[CITATION] More than a Prophet

EF Caner… - 2003 - Grand Rapids: Kregel Publications
Cited by 3 - Related articles

Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test

Full text - MIT Libraries
E Basci… - Studies in Nonlinear Dynamics & Econometrics, 2006 - degruyter.com
We analyze the post-float real exchange rates for a group of OECD countries using the
newly developed threshold test and tests for unit roots against stationary but nonlinear
alternative by Caner and Hansen (2001). These tools help us disentangle the nonlinearity ...
Cited by 2 - Related articles

[BOOK] The Sacred Trust: Sketches of the Southern Baptist Convention Presidents

E Caner, E Caner… - 2003 - books.google.com
Where there is no vision, the people perish...” Proverbs 29: 18.< br> Since 1845, the
Southern Baptist Convention has selected from among themselves a President. This new
volume will give a five-page biography of each of the 52 president.
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[BOOK] Christian jihad: two former Muslims look at the Crusades and killing in the name of Christ

EM Caner… - 2004 - books.google.com
< p>" Christian Jihad" is the story of a horrific journey of slaughter and conversion by the
sword. It paints the picture of warriors, fighting in the name of religion. It is a journey into the
darkest hour of Christianity--the Crusades.< p> To most in the west, the Crusades are only ...
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[CITATION] Unveiling Islam, 2002

EM Caner… - Kregel Publications, div. of Kregel. …
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Determinants of Investment by the Norwegian Sovereign Wealth Fund: GDP versus Institutions'

M Caner, T Caner… - Global Economy Journal, 2011 - papers.ssrn.com
Abstract: During the current episode of globalization, capital has flown primarily to high
income countries. Attempts to explain this “Lucas Paradox” have focused on the quality of
institutions. We analyze data from a major institutional investor, the Norwegian Sovereign ...
Cited by 1 - Related articles - Get it from MIT Libraries - All 5 versions

Pivotal structural change tests in linear simultaneous equations with weak identification

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M Caner - Econometric Theory, 2010 - Cambridge Univ Press
In recent years, inference with weakly identified parameters has been analyzed intensively.
Staiger and Stock (1997) and Kleibergen (2002) introduce the Anderson–Rubin (1949) and
Lagrange multiplier (LM) types of tests. Both Otsu (2006) and Guggenberger and Smith ( ...
Cited by 1 - Related articles - All 21 versions

A New Paradigm: A Joint Test of Structural and Correlation Parameters in Instrumental Variables Regression When Perfect Exogeneity is Violated

[PDF] from uni-muenchen.de
M Caner… - MPRA Paper, 2009 - papers.ssrn.com
Abstract: Currently, the commonly employed instrumental variables strategy relies on the
knife-edge assumption of perfect exogeneity for valid inference. To make reliable inferences
on the structural parameters under violations of exogeneity one must know the true ...
Cited by 1 - Related articles - All 21 versions

[PDF] An Alternative to Unit Root Tests: Bridge Estimators Differentiate between Nonstationary versus Stationary Models and Select Optimal Lag

[PDF] from msu.edu
M Caner… - 2011 - econ.msu.edu
Abstract This paper introduces a novel way of differentiating a unit root from stationary
alternatives using so-called “Bridge” estimators; this estimation procedure can potentially
generate exact zero estimates of parameters. We exploit this property and treat this as a ...
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Testing, Estimation and Higher Order Expansions in GMM with Semi-Weak Instruments

M Caner - Econometric Society 2004 North American Summer …, 2004 - ideas.repec.org
In this paper we analyze GMM with semi-weak instruments. This case includes the standard
GMM and the nearly-weak GMM. In the nearly-weak GMM the correlation between the
instruments and the first order conditions decline at a slower rate than root T. We find an ...
Cited by 1 - Related articles - Cached - All 4 versions

[PDF] Selecting the correct number of factors in approximate factor models: The large panel case with bridge estimators

[PDF] from ncsu.edu
M Caner - 2011 - ncsu.edu
Abstract This paper proposes Bridge estimators to select the correct number of factors in an
approximate factor model when there are latent factors. This contributes to both
econometrics and statistics literature. Instead of the information based criterion penalty in ...
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Corrigendum to" Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"

E Basci, M Caner… - Studies in Nonlinear Dynamics & …, 2006 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to view
it first. Information about this may be contained in the File-Format links below. In case of further
problems read the IDEAS help page. Note that these files are not on the IDEAS site. ...
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[CITATION] The Sacred Desk: Sermons of the Southern Baptist Convention Presidents

EM Caner… - 2004 - Broadman & Holman Publishers
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[CITATION] Voices Behind the Veil

EM Caner - Grand Rapids: Kregel Publications, 2003
Cited by 1 - Related articles

North Carolina State University-Department of Economics (email) Raleigh, NC 27695-8110 United States

Full text - MIT Libraries
M Caner - Oxford Bulletin of Economics and Statistics, 2010 - papers.ssrn.com
Abstract: This article analyses exponential tilting estimator with weak instruments in a nonlinear
framework. Our paper differs from the previous literature in the context of consistency proof. Tests
that are robust to the identification problem are also analysed. These are ...

Analyzing Unit Root Tests in Finite Samples Using Power Profiles

L Kilian… - 1998 - ideas.repec.org
This study analyzes the size and power of tests of the null of stationarity against the unit root
alternative. Existing evidence is limited to processes with roots between 0 and 0.7. In sharp
contrast, virtually all applications of economic interest involve null hypotheses much closer ...
Cached - Get it from MIT Libraries - All 4 versions

[PDF] A Near Minimax Risk Bound: Adaptive Lasso with Heteroskedastic Data In Instrumental Variable Selection

[PDF] from tamu.edu
M Caner… - 2011 - econweb.tamu.edu
Abstract In this paper we use adaptive lasso estimator select between relevant and
irrelevant instruments in heteroskedastic and non Gaussian data. To do so limit theory of
Zou (2006) is extended from univariate iid case. Next, it is shown that adaptive lasso ...
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" Finding The Tipping Point--When Sovereign Debt Turns Bad

T Grennes, M Caner… - 2010 - elibrary.worldbank.org
Public debt has surged during the current global economic crisis and is expected to increase
further. This development has raised concerns whether public debt is starting to hit levels
where it might negatively affect economic growth. Does such a tipping point in public debt ...
Cached

[CITATION] Multivariate Regression Theory with Infinite Variance Errors

M Caner - 1996 - Brown University
Library Search

[CITATION] An Empirical Investigation of Time Varying Betas via Threshold Models

M Caner, L Akdeniz… - Departmental Working …, 1999 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your
bookmarks. An Empirical Investigation of Time Varying Betas via Threshold
Models. Mehmet Caner (), Levent Akdeniz and A. Altay Salih. ...
Cached - All 4 versions

[CITATION] Bellum Sacrum: The Development of the Holy War of the First Crusade in Light of Augustine's Just War Criteria

EM Caner - 2003 - University of South Africa
Library Search

DP2425 Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate

M Caner… - 2000 - cepr.org
Tests of the null hypothesis of stationarity against the unit root alternative play an
increasingly important role in empirical work in macroeconomics and in international
finance. We show that the use of conventional asymptotic critical values for stationarity ...
Cached - All 3 versions

Asymptotics of non-linear lasso type estimators

M Caner - Econometric Society 2004 North American Winter …, 2004 - econpapers.repec.org
This paper extends the linear lasso estimators to non-linear case. We are especially
interested in GMM type of Lasso estimators. Lasso estimators are generalization of ridge
regression in least squares. With this setup we can deal with identification problem ...
Cached - All 3 versions

[CITATION] Are Nearly Exogenous Instruments Reliable?

M Caner, D Berkowitz… - Working Papers, 2006 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
Cached - Get it from MIT Libraries - All 4 versions

[BOOK] More than a prophet: an insider's response to Muslim beliefs about Jesus and Christianity

EF Caner… - 2003 - books.google.com
More Than a Prophet: An Insider's Response to Muslim Beliefs About Jesus & Christianity ©
2003 by Emir Fethi Caner and Ergun Mehmet Caner Published by Kregel Publications, a division
of Kregel, Inc., PO Box 2607, Grand Rapids, MI 49501. All rights reserved. No part of this ...
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M-estimators with non-standard rates of convergence and weakly dependent data

M Caner - Journal of statistical planning and inference, 2006 - Elsevier
This paper analyzes M-estimators over general objective functions. We do not assume
convexity and differentiability of the functions. A new result regarding M-estimators is
derived. Unlike most of the former econometric literature, the rate of convergence is not ...
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[PDF] Violation of Exogeneity: A Joint Test of Structural Parameters and Correlation

[PDF] from ncsu.edu
M Caner… - 2011 - ncsu.edu
Abstract The commonly employed instrumental variables strategy relies on the knife-edge
assumption of perfect exogeneity for valid inference. To make reliable inferences on the
structural parameters under violations of exogeneity one must know the true correlation ...
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When do sudden stops really hurt?

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F Koehler-Geib, GA Vincelette… - 2009 - … .us-east-1.elb.amazonaws.com
This paper analyzes the drivers and consequences of sudden stops of capital flows. It
focuses on the impact of external vulnerability on the depth and length of sudden stop crises.
The authors analyze 43 developing and developed countries between 1993 and 2006. ...
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[CITATION] Out of the Crescent Shadows: Leading Muslim Women Into the Light of Christ

EM Caner… - 2003 - New Hope Publishers
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[CITATION] A Direct test of the Emerging Consensus about Long-Run PPP

M Caner… - Departmental Working Papers, 1998 - econpapers.repec.org
By Mehmet Caner and Lutz Kilian; A Direct test of the
Emerging Consensus about Long-Run PPP.
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When do sudden stops really hurt?

[PDF] from worldbank.org
M Caner, F Koehler-Geib… - 2009 - papers.ssrn.com
Abstract: This paper analyzes the drivers and consequences of sudden stops of capital
flows. It focuses on the impact of external vulnerability on the depth and length of sudden
stop crises. The authors analyze 43 developing and developed countries between 1993 ...
Related articles - All 11 versions

Capital Inflows to Developed Countries

S Husted… - papers.ssrn.com
Abstract: The paper analyzes capital flows to seven developed countries between 1990-
2005. We consider the possible determinants of these flows. Total debt and total equity flows
are analyzed seperately and also divided into sub ctagories. For debt flows we find that ...
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[CITATION] Surname, Name Middle Name

A Aanesland, D Abbasi-Moghadam, K Abdullah… - ieeexplore.ieee.org
Ayyagari, Ravi Sastri 101 Bajodah, Abdulrahman Hasan 903 Balaji Kuppusamy, Balaji Kuppusamy
511 Baran, Ondrej 393, 763 Barati, Mohammad 829 Barbelian, Mihai Alexandru 675
Baskaya, Elgiz 500 Basturk, Suleyman 833 Baylakoglu, iIknur 962,926 Bayrakceken, ...

[BOOK] Desenmascaremos El Islam

EM Caner, EF Caner - 2002 - books.google.com
Escrito por dos hermanos musulmanes convertidos a Cristo, este libro es una presentaci
xF3; n compasiva pero sin compromiso de todo el alcance del Islam: sus pr xE1; cticas, xE9;
tica y creencias, incluso las principales diferencias entre el cristianismo y el Islam. Luego ...
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