Report NEP-ECM-2007-11-10

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Other reports in NEP-ECM

The following items were anounced in this report:

• Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper Series 38-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
• Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper Series 40-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
• Pötscher, Benedikt M. & Leeb, Hannes, 2007. "On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding," MPRA Paper 5615, University Library of Munich, Germany, revised Mar 2009. [Downloadable!]
• Thanasis Stengos & Ximing Wu†, 2007. "We derive general distribution tests based on the method of Maximum Entropy density," Working Paper Series 24-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
• Dimitrios D. Thomakos & Dimitris N. Politis, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Paper Series 44-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
• Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University. [Downloadable!]
• Marco Capasso & Lucia Alessi & Matteo Barigozzi & Giorgio Fagiolo, 2007. "On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters," LEM Papers Series 2007/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
• Jose Galdo & Jeffrey Smith & Dan Black, 2007. "Bandwidth Selection and the Estimation of Treatment Effects with Unbalanced Data," IZA Discussion Papers 3095, Institute for the Study of Labor (IZA). [Downloadable!]
• Ivana Komunjer & Michael T. Owyang, 2007. "Multivariate forecast evaluation and rationality testing," Working Papers 2007-047, Federal Reserve Bank of St. Louis. [Downloadable!]
• Gusztav Morvav & Benjamin Weiss, 2007. "On Sequential Estimation and Prediction for Discrete Time Series," Discussion Paper Series dp464, Center for Rationality and Interactive Decision Theory, Hebrew University, Jerusalem. [Downloadable!]
• Myoung-jae Lee, 2007. "Method-of-Moment View of Linear Simultaneous Equation Systems," Discussion Paper Series 0719, Institute of Economic Research, Korea University. [Downloadable!]
• Hiroaki Chigira & Tsunemasa Shiba, 2007. "Bayesian Estimation of Unknown Regression Error Heteroscedasticity," Hi-Stat Discussion Paper Series d07-221, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
• Matteo Pelagatti, 2007. "Modelling good and bad volatility," Working Papers 20071101, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica. [Downloadable!]
• Costas Milas & Philip Rothman, 2007. "Out-of-Sample Forecasting of Unemployment Rates with Pooled STVECM Forecasts," Working Paper Series 49-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
• Beirlant, J. & Einmahl, J.H.J., 2007. "Asymptotics for the Hirsch Index," Discussion Paper 2007-86, Tilburg University, Center for Economic Research. [Downloadable!]
• Charles McCulloch, 2007. "Prediction of random effects and effects of misspecification of their distribution," West Coast Stata Users' Group Meetings 2007 12, Stata Users Group. [Downloadable!]
• Myoung-jae Lee, 2007. "Difference in Generalized-Differences with Panel Data: Effects of Moving from Private to Public School on Test Scores," Discussion Paper Series 0721, Institute of Economic Research, Korea University. [Downloadable!]
• Christopher L. Gilbert & Francesca Modena, 2007. "Models for Non-Exclusive Multinomial Choice, with Application to Indonesian Rural Households," Department of Economics Working Papers 0724, Department of Economics, University of Trento, Italia. [Downloadable!]
• Alex Novikov & Nino Kordzakhia, 2007. "Martingales and First Passage Times of AR(1) Sequences," Research Paper Series 205, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

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