Report NEP-ECM-2007-11-24

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The following items were anounced in this report:

• Xiaohong Chen & Yingyao Hu & Arthur Lewbel, 2007. "Nonparametric identification and estimation of nonclassical errors-in-variables models without additional information," CeMMAP working papers CWP18/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Jerry Hausman & Whitney Newey & Tiemen Woutersen & John Chao & Norman Swanson, 2007. "Instrumental variable estimation with heteroskedasticity and many instruments," CeMMAP working papers CWP22/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Kuswanto, Heri & Sibbertsen, Philipp, 2007. "Can we distinguish between common nonlinear time series models and long memory?," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-380, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
• Xiaohong Chen & Yingyao Hu & Arthur Lewbel, 2007. "Nonparametric identification of regression models containing a misclassified dichotomous regressor without instruments," CeMMAP working papers CWP17/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Muhammad Akram & Rob J. Hyndman & J. Keith Ord, 2007. "Non-linear exponential smoothing and positive data," Monash Econometrics and Business Statistics Working Papers 14/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Sibbertsen, Philipp & Kruse, Robinson, 2007. "Testing for a break in persistence under long-range dependencies," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-381, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
• Christian Hansen & James B. McDonald & Whitney Newey, 2007. "Instrumental variables estimation with flexible distribution," CeMMAP working papers CWP21/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• D'Agostino, Antonello & Giannone, Domenico, 2007. "Comparing Alternative Predictors Based on Large-Panel Factor Models," CEPR Discussion Papers 6564, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
• Villani, Mattias & Kohn, Robert & Giordani, Paolo, 2007. "Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures," Working Paper Series 211, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
• Susanne Schennach & Yingyao Hu & Arthur Lewbel, 2007. "Nonparametric identification of the classical errors-in-variables model without side information," CeMMAP working papers CWP14/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Xiaohong Chen & Markus Reiss, 2007. "On rate optimality for ill-posed inverse problems in econometrics," CeMMAP working papers CWP20/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Thomas A. Severini & Gautam Tripathi, 2007. "Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors," CeMMAP working papers CWP13/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models," Working Paper Series in Economics and Finance 675, Stockholm School of Economics, revised 15 Nov 1007.
• Jaap Abbring, 2007. "Mixed hitting-time models," CeMMAP working papers CWP15/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Alexandre Belloni & Victor Chernozhukov, 2007. "On the computational complexity of MCMC-based estimators in large samples," CeMMAP working papers CWP12/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Improving estimates of monotone functions by rearrangement," CeMMAP working papers CWP09/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Sancetta, A., 2007. "Universality of Bayesian Predictions," Cambridge Working Papers in Economics 0755, Faculty of Economics, University of Cambridge. [Downloadable!]
• Jerry Hausman & Konrad Menzel & Randall Lewis & Whitney Newey, 2007. "A reduced bias GMM-like estimator with reduced estimator dispersion," CeMMAP working papers CWP24/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Ariel Pakes & J. Porter & Kate Ho & Joy Ishii, 2007. "Moment inequalities and their application," CeMMAP working papers CWP16/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Richard Spady, 2007. "Semiparametric methods for the measurement of latent attitudes and the estimation of their behavioural consequences," CeMMAP working papers CWP26/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Francesco Audrino & Dominik Colagelo, 2007. "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007 2007-42, Department of Economics, University of St. Gallen. [Downloadable!]
• Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Rearranging Edgeworth-Cornish-Fisher expansions," CeMMAP working papers CWP19/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Quantile and probability curves without crossing," CeMMAP working papers CWP10/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Hajo Holzmann & Sebastian Vollmer & Julian Weisbrod, 2007. "Twin Peaks or Three Components? - Analyzing the World\'s Cross-Country Distribution of Income," Ibero America Institute for Econ. Research (IAI) Discussion Papers 162, Ibero-America Institute for Economic Research. [Downloadable!]
• Alain Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers 905, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
• Di Kuang & Bent Nielsen & J. P. Nielsen, 2007. "Identification of the age-period-cohort model and the extended chain ladder model," Economics Papers 2007-W05, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
• Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L., 2007. "Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts," MPRA Paper 5813, University Library of Munich, Germany. [Downloadable!]
• Spyros Konstantopoulos, 2007. "A Comment on Variance Decomposition and Nesting Effects in Two- and Three-Level Designs," IZA Discussion Papers 3178, Institute for the Study of Labor (IZA). [Downloadable!]
• Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling stochastic mortality for dependent lives," Carlo Alberto Notebooks 43, Collegio Carlo Alberto. [Downloadable!]

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