Report NEP-ECM-2004-09-30

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The following items were anounced in this report:

• J. T. A. S. Ferreira & M. F. J. Steel, 2004. "On Describing Multivariate Skewness: A Directional Approach," Econometrics 0409010, EconWPA. [Downloadable!]
• Kalwij, A.S., 2004. "A two-step first difference estimator for a panel data tobit model under conditional mean independence assumptions," Discussion Paper 67, Tilburg University, Center for Economic Research. [Downloadable!]
• Gengenbach,Christian & Palm,Franz & Urbain,Jean-Pierre, 2004. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling," Research Memoranda 040, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
• John Hunter & Christos Ioannidis, 2004. "Identifying and Solving Multivariate Rational Expectations Models," Economics and Finance Discussion Papers 04-08, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
• Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
• Augurzky, Boris & Kluve, Jochen, 2004. "Assessing the Performance of Matching Algorithms When Selection into Treatment Is Strong," IZA Discussion Papers 1301, Institute for the Study of Labor (IZA). [Downloadable!]
• Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers 0298, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Hashem Pesaran & Andreas Pick, 2004. "Econometric Issues in the Analysis of Contagion," Money Macro and Finance (MMF) Research Group Conference 2004 67, Money Macro and Finance Research Group. [Downloadable!]
• Cizek, P., 2004. "Asymptotics of least trimmed squares regression," Discussion Paper 72, Tilburg University, Center for Economic Research. [Downloadable!]
• Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
• Jean-Yves Pitarakis, 2004. "Model Selection Uncertainty and Detection of Threshold Effecs," Econometrics 0409013, EconWPA. [Downloadable!]
• Donald W.K. Andrews & Marcelo Moreira & James H. Stock, 2004. "Optimal Invariant Similar Tests for Instrumental Variables Regression," NBER Technical Working Papers 0299, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Sofiane H. Sekioua, 2004. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the dominant root and half-lives of shocks," Money Macro and Finance (MMF) Research Group Conference 2004 91, Money Macro and Finance Research Group. [Downloadable!]
• Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2004. "Spurious Nonlinear Regressions In Econometrics," Royal Economic Society Annual Conference 2004 27, Royal Economic Society. [Downloadable!]
• Eric Hillebrand, . "Neglecting Parameter Changes in Autoregressive Models," Departmental Working Papers 2004-04, Department of Economics, Louisiana State University. [Downloadable!]
• Gary Koop & Rodney Strachan & Herman van Dijk & Mattias Villani, 2004. "Bayesian Approaches to Cointegration," Discussion Papers in Economics 04/27, Department of Economics, University of Leicester. [Downloadable!]
• Harry J. Paarsch & Bjarne Brentstrup, 2004. "Nonparametric Identification and Estimation of Multi-Unit, Sequential, Oral, Ascending-Price Auctions with Asymmetric Bidders," Computing in Economics and Finance 2004 36, Society for Computational Economics. [Downloadable!]
• Artur Da Silva Lopes, 2004. "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004 75, Royal Economic Society. [Downloadable!]
• Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," OFRC Working Papers Series 2004fe17, Oxford Financial Research Centre. [Downloadable!]
• Gary Koop & Simon M. Potter, 2004. "Prior Elicitation in Multiple Change-point Models," Discussion Papers in Economics 04/26, Department of Economics, University of Leicester. [Downloadable!]
• Einmahl, J.H.J. & Haan, L. de & Li, D., 2004. "Weighted approximations of tail copula processes with application to testing the multivariate extreme value condition," Discussion Paper 71, Tilburg University, Center for Economic Research. [Downloadable!]
• Pesaran, M. Hashem, 2004. "A Pair-Wise Approach to Testing for Output and Growth Convergence," IZA Discussion Papers 1313, Institute for the Study of Labor (IZA). [Downloadable!]
• Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration Versus Spurious Regression In Heterogeneous Panels," Royal Economic Society Annual Conference 2004 74, Royal Economic Society. [Downloadable!]
• Georgios Chortareas & George Kapetanios, 2004. "Getting PPP Right: Identifying Mean Reverting Real Exchange Rates in Panels," Money Macro and Finance (MMF) Research Group Conference 2004 32, Money Macro and Finance Research Group. [Downloadable!]

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