Report NEP-ECM-2008-02-09

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The following items were anounced in this report:

• Silvestro Di Sanzo, 2007. "Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach," Working Papers 2007_03, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
• Monica Billio & Roberto Casarin & Domenico Sartore, 2007. "Bayesian Inference on Dynamic Models with Latent Factors," Working Papers 2007_34, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
• Gonzalo Camba-Méndez & George Kapetanios, 2008. "Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling," Working Paper Series 850, European Central Bank. [Downloadable!]
• Oliver Ledoit & Michael Wolf, 2008. "Robust Performance Hypothesis Testing with the Sharpe Ratio," IEW - Working Papers iewwp320, Institute for Empirical Research in Economics - IEW. [Downloadable!]
• Kulan Ranasinghe & Mervyn J. Silvapulle, 2008. "Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown," Monash Econometrics and Business Statistics Working Papers 1/08, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Marcelo Moreira, 2008. "A Maximum Likelihood Method for the Incidental Parameter Problem," NBER Working Papers 13787, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression," Discussion Papers 08-03, University of Copenhagen. Department of Economics (formerly Institute of Economics). [Downloadable!]
• Hiroyuki Kasahara & Katsumi Shimotsu, 2007. "Nonparametric Identification and Estimation of Multivariate Mixtures," Working Papers 1153, Queen's University, Department of Economics. [Downloadable!]
• Andros Kourtellos & Chih Ming Tan & Thanasis Stengos, 2008. "THRET: Threshold Regression with Endogenous Threshold Variables," Working Paper Series 05-08, Rimini Centre for Economic Analysis, revised Jan 2008. [Downloadable!]
• Michael Artis & José G. Clavel & Mathias Hoffmann & Dilip Nachane, 2007. "Harmonic Regression Models: A Comparative Review with Applications," IEW - Working Papers iewwp333, Institute for Empirical Research in Economics - IEW. [Downloadable!]
• Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process : a Monte Carlo study," Pre- and Post-Print documents halshs-00235179_v1, HAL. [Downloadable!]
• Härdle, Wolfgang & Moro, Rouslan A. & Schäfer, Dorothea, 2007. "Estimating probabilities of default with support vector machines," Discussion Paper Series 2: Banking and Financial Studies 2007,18, Deutsche Bundesbank, Research Centre. [Downloadable!]
• Viktor Winschel & Markus Krätzig, 2008. "Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality," SFB 649 Discussion Papers SFB649DP2008-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
• Wichert, Laura & Wilke, Ralf A., 2007. "Simple nonparametric estimators for unemployment duration analysis," FDZ Methodenreport 200709, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]. [Downloadable!]
• Hong-Ming Huang & Chihwa Kao & Giovanni Urga, 2007. "Copula-Based Tests for Cross-Sectional Independence in Panel Models," Center for Policy Research Working Papers 99, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
• Balázs Cserna, 2008. "Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates," Working Papers 0462, University of Heidelberg, Department of Economics, revised Jan 2008. [Downloadable!]
• Pettersson, Kjell, 2008. "Unimodal regression in the two-parameter exponential family with constant or known dispersion parameter," Research Reports 2007:14, Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University. [Downloadable!]
• Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2007. "Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling," IEW - Working Papers iewwp337, Institute for Empirical Research in Economics - IEW. [Downloadable!]
• Enzo Weber, 2008. "Structural Constant Conditional Correlation," SFB 649 Discussion Papers SFB649DP2008-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
• Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," The School of Economics Discussion Paper Series 0721, Economics, The University of Manchester. [Downloadable!]
• J. Isaac Miller & Joon Y. Park, 2008. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Working Papers 0801, Department of Economics, University of Missouri. [Downloadable!]
• Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2008. "Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns," SFB 649 Discussion Papers SFB649DP2008-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
• Dominique Guegan, 2008. "Effect of noise filtering on predictions : on the routes of chaos," Pre- and Post-Print documents halshs-00235448_v1, HAL. [Downloadable!]
• Eduardo Fé Rodríguez, 2007. "Exploring a stochastic frontier model when the dependent variable is a count," The School of Economics Discussion Paper Series 0725, Economics, The University of Manchester. [Downloadable!]
• Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
• Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers 2007_32, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
• Arntz, Melanie & Lo, Simon M. S. & Wilke, Ralf A., 2007. "Bounds analysis of competing risks : a nonparametric evaluation of the effect of unemployment benefits on migration in Germany," FDZ Methodenreport 200704, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]. [Downloadable!]
• Inoue, Atsushi & Rossi, Barbara, 2008. "Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models," Working Papers 08-02, Duke University, Department of Economics. [Downloadable!]
• Ralf Becker & Denise Osborn, 2007. "Weighted smooth transition regressions," The School of Economics Discussion Paper Series 0724, Economics, The University of Manchester. [Downloadable!]

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