## Report NEP-ECM-2005-06-14

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.Subscribe to this report: email, RSS or Twitter.

Other reports in NEP-ECM

The following items were announced in this report:

- Arthur Lewbel, 2005.
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**Simple Endogenous Binary Choice and Selection Panel Model Estimators**," Boston College Working Papers in Economics, Boston College Department of Economics 613, Boston College Department of Economics, revised 04 Sep 2006. - Chambers, Christopher P., 2005.
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**Quantiles and medians**," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences 1222, California Institute of Technology, Division of the Humanities and Social Sciences. - Orphanides, Athanasios & van Norden, Simon, 2005.
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**The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time**," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4830, C.E.P.R. Discussion Papers. - Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2005.
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**On the Fit and Forecasting Performance of New Keynesian Models**," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4848, C.E.P.R. Discussion Papers. - Favero, Carlo A & Milani, Fabio, 2005.
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**Parameter Instability, Model Uncertainty and the Choice of Monetary Policy**," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4909, C.E.P.R. Discussion Papers. - van Tol, Michel R & Wolff, Christian C, 2005.
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**Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration**," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4958, C.E.P.R. Discussion Papers. - Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2005.
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**Loss Functions in Option Valuation: A Framework for Model Selection**," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4960, C.E.P.R. Discussion Papers. - Marcellino, Massimiliano, 2005.
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**Leading Indicators: What Have We Learned?**," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4977, C.E.P.R. Discussion Papers. - Beggs, Alan & Graddy, Kathryn, 2005.
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**Testing for Reference Dependence: An Application to the Art Market**," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4982, C.E.P.R. Discussion Papers. - Garlappi, Lorenzo & Uppal, Raman & Wang, Tan, 2005.
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**Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach**," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5041, C.E.P.R. Discussion Papers. - Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005.
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**Improved HAR Inference**," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1513, Cowles Foundation for Research in Economics, Yale University. - Chirok Han & Peter C.B. Phillips, 2005.
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**GMM with Many Moment Conditions**," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1515, Cowles Foundation for Research in Economics, Yale University. - Peter C.B. Phillips & Sainan Jin & Ling Hu, 2005.
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**Nonstationary Discrete Choice: A Corrigendum and Addendum**," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1516, Cowles Foundation for Research in Economics, Yale University. - Peter C.B. Phillips & Tassos Magadalinos, 2005.
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**Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence**," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1517, Cowles Foundation for Research in Economics, Yale University. - Donald J. Brown & Rustam Ibragimov, 2005.
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**Sign Tests for Dependent Observations and Bounds for Path-Dependent Options**," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1518, Cowles Foundation for Research in Economics, Yale University. - Arteche González, Jesús María, 2005.
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**Semiparametric estimation in perturbed long memory series**," BILTOKI, Universidad del PaÃs Vasco - Departamento de EconomÃa Aplicada III (EconometrÃa y EstadÃstica) 2005-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). - Sean D. Campbell, 2005.
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**A review of backtesting and backtesting procedures**," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-21, Board of Governors of the Federal Reserve System (U.S.). - Rothe, Christoph & Sibbertsen, Philipp, 2005.
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**Phillips-Perron-type unit root tests in the nonlinear ESTAR framework**," Hannover Economic Papers (HEP), Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t dp-315, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät. - Jeffrey M. Wooldridge, 2004.
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**Inverse probability weighted estimation for general missing data problems**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP05/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Stephen Pudney, 2005.
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**Estimation of dynamic linear models in short panels with ordinal observation**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP05/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Oliver Linton, 2004.
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**Nonparametric inference for unbalance time series data**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP06/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Andrew Chesher, 2004.
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**Identification of sensitivity to variation in endogenous variables**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP10/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Andrew Chesher, 2004.
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**Identification in additive error models with discrete endogenous variables**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP11/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Y. Nishiyama & Peter Robinson, 2004.
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**The bootstrap and the Edgeworth correction for semiparametric averaged derivatives**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP12/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Joel Horowitz, 2004.
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**Testing a parametric model against a nonparametric alternative with identification through instrumental variables**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP14/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Richard Blundell & Joel Horowitz, 2004.
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**A nonparametric test of exogeneity**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP15/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Grant Hillier & Federico Martellosio, 2004.
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**Spatial design matrices and associated quadratic forms: structure and properties**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP16/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Richard Smith, 2004.
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**Automatic positive semi-definite HAC covariance matrix and GMM estimation**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP17/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Laura Blow & Martin Browning & Ian Crawford, 2004.
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**Nonparametric methods for the characteristic model**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP18/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Richard Smith, 2004.
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**GEL Criteria for Moment Condition Models**," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP19/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Erik Biørn, 2005.
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**Constructing Panel Data Estimators by Aggregation: A General Moment Estimator and a Suggested Synthesis**," Discussion Papers, Research Department of Statistics Norway 420, Research Department of Statistics Norway. - Jan F. Bjørnstad, 2005.
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**Non-Bayesian Multiple Imputation**," Discussion Papers, Research Department of Statistics Norway 421, Research Department of Statistics Norway. - Håvard Hungnes, 2005.
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**Identifying Structural Breaks in Cointegrated VAR Models**," Discussion Papers, Research Department of Statistics Norway 422, Research Department of Statistics Norway. - Yixiao Sun, 2005.
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**Adaptive Estimation of the Regression Discontinuity Model**," Econometrics, EconWPA 0506003, EconWPA. - Xiujian Chen & Shu Lin & W. Robert Reed, 2005.
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**Another Look At What To Do With Time-Series Cross-Section Data**," Econometrics, EconWPA 0506004, EconWPA. - Cheng Hsiao & Siyan Wang, 2005.
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**Modified Two Stage Least Squares Estimators for the Estimation of a Structural Vector Autoregressive Integrated Process**," IEPR Working Papers, Institute of Economic Policy Research (IEPR) 05.23, Institute of Economic Policy Research (IEPR).