## Report NEP-ECM-2010-01-16

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 or RSS

Other reports in NEP-ECM

The following items were announced in this report:

- Zaichao Du, 2009.
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**Nonparametric Bootstrap Tests for Independence of Generalized Errors**," Caepr Working Papers 2009-023, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. - J. Carlos Escanciano, 2009.
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**Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models**," Caepr Working Papers 2009-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. - Jin Seo Cho & Chirok-Han & Peter C. B. Phillips, 2009.
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**LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities**," Discussion Paper Series 0917, Institute of Economic Research, Korea University. - Item repec:hal:cesptp:halshs-00423871 is not listed on IDEAS anymore
- David E. Giles & Hui Feng, 2009.
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**Almost Unbiased Estimation of the Poisson Regression Model**," Econometrics Working Papers 0909, Department of Economics, University of Victoria. - Mancino Maria Elvira & Simona Sanfelici, 2009.
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**Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology**," Working Papers - Mathematical Economics 2009-09, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa. - Duchesne, Pierre & Francq, Christian, 2010.
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**On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses**," MPRA Paper 19740, University Library of Munich, Germany. - Ramses H. Mena & Matteo Ruggiero & Stephen G. Walker, 2009.
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**Geometric Stick-Breaking Processes for Continuous-Time Nonparametric Modeling**," ICER Working Papers - Applied Mathematics Series 26-2009, ICER - International Centre for Economic Research. - Javier Mencía & Enrique Sentana, 2009.
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**Distributional tests in multivariate dynamic models with Normal and Student t innovations**," Banco de Espaï¿½a Working Papers 0929, Banco de Espa�a. - Anders Bredahl Kock & Timo Teräsvirta, 2010.
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**Forecasting with nonlinear time series models**," CREATES Research Papers 2010-01, School of Economics and Management, University of Aarhus. - Jouchi Nakajima & Yasuhiro Omori, 2009.
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**Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution**," CIRJE F-Series CIRJE-F-701, CIRJE, Faculty of Economics, University of Tokyo. - Kasahara, Hiroyuki & Shimotsu, Katsumi, 2009.
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**Sequential Estimation of Structural Models with a Fixed Point Constraint**," Discussion Papers 2009-18, Graduate School of Economics, Hitotsubashi University. - Russell Davidson, 2009.
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**Size distortion of bootstrap tests: application to a unit root test**," Working Papers halshs-00443561, HAL. - Russell Davidson & James Mackinnon, 2009.
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**Bootstrap inference in a linear equation estimated by instrumental variables**," Working Papers halshs-00442713, HAL. - Toshio Honda, 2009.
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**Nonparametric regression for dependent data in the errors-in-variables problem**," Global COE Hi-Stat Discussion Paper Series gd09-092, Institute of Economic Research, Hitotsubashi University. - Item repec:bep:unimip:1084 is not listed on IDEAS anymore
- Tsunehiro Ishihara & Yasuhiro Omori, 2009.
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**Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors**," CIRJE F-Series CIRJE-F-700, CIRJE, Faculty of Economics, University of Tokyo. - Russell Davidson & James Mackinnon, 2009.
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**Wild bootstrap tests for IV regression**," Working Papers halshs-00443550, HAL. - Jean-Philippe Cayen & Marc-André Gosselin & Sharon Kozicki, 2009.
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**Estimating DSGE-Model-Consistent Trends for Use in Forecasting**," Working Papers 09-35, Bank of Canada. - Isabel Molina & Daniel Pena & Betsabe Perez, 2009.
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**Robust estimation in linear regression models with fixed effects**," Statistics and Econometrics Working Papers ws098827, Universidad Carlos III, Departamento de Estadística y Econometría. - Wolfgang Karl Härdle & Ya’acov Ritov & Song Song, 2010.
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**Partial Linear Quantile Regression and Bootstrap Confidence Bands**," SFB 649 Discussion Papers SFB649DP2010-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - Franz Buscha & Anna Conte, 2009.
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**A Bivariate Ordered Probit Estimator with Mixed Effects**," Jena Economic Research Papers 2009-103, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics. - Ramses H. Mena & Stephen G. Walker, 2009.
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**On a Construction of Markov Models in Continuous Time**," ICER Working Papers - Applied Mathematics Series 25-2009, ICER - International Centre for Economic Research. - Russell Davidson, 2009.
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**Reliable inference for the GINI Index**," Working Papers halshs-00443553, HAL. - Tatsuya Kubokawa, 2009.
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**A Review of Linear Mixed Models and Small Area Estimation**," CIRJE F-Series CIRJE-F-702, CIRJE, Faculty of Economics, University of Tokyo. - Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2009.
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**Some problems in the testing of DSGE models**," Cardiff Economics Working Papers E2009/31, Cardiff University, Cardiff Business School, Economics Section. - James G. MacKinnon, 2010.
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**Critical Values for Cointegration Tests**," Working Papers 1227, Queen's University, Department of Economics. - Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang, 2010.
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**Uniform confidence bands for pricing kernels**," SFB 649 Discussion Papers SFB649DP2010-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - Stefan Boes, 2009.
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**Bounds on Counterfactual Distributions Under Semi-Monotonicity Constraints**," SOI - Working Papers 0920, Socioeconomic Institute - University of Zurich. - Item repec:pit:wpaper:386 is not listed on IDEAS anymore
- Russell Davidson, 2009.
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**Bootstraping econometric models**," Working Papers halshs-00442693, HAL. - Adriana Cornea & Russell Davidson, 2009.
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**A parametric bootstrap for heavytailed distributions**," Working Papers halshs-00443564, HAL. - Item repec:cte:werepe:we09448 is not listed on IDEAS anymore
- Russell Davidson & Jean-Yves Duclos, 2009.
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**Testing for restricted stochastic dominance**," Working Papers halshs-00443560, HAL. - Tetsuya Takaishi, 2009.
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**Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo**," Papers 1001.0024, arXiv.org. - Russell Davidson, 2009.
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**Testing for restricted stochastic dominance: some further results**," Working Papers halshs-00443556, HAL. - Zisimos Koustas & Jean-Francois Lamarche, 2009.
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**Instrumental variable estimation of a nonlinear Taylor rule**," Working Papers 0909, Brock University, Department of Economics, revised Jul 2010. - Russell Davidson & James Mackinnon, 2009.
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**Moments of IV and JIVE estimators**," Working Papers halshs-00442692, HAL. - Maria Nieswand & Astrid Cullmann & Anne Neumann, 2009.
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**Overcoming Data Limitations in Nonparametric Benchmarking: Applying PCA-DEA to Natural Gas Transmission**," Discussion Papers of DIW Berlin 962, DIW Berlin, German Institute for Economic Research. - Russell Davidson, 2009.
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**Exploring the bootstrap discrepancy**," Working Papers halshs-00443552, HAL. - Arthur M. Berd, 2009.
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**Dynamic Estimation of Credit Rating Transition Probabilities**," Papers 0912.4621, arXiv.org. - Antonio Lijoi & Igor Pruenster, 2009.
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**Models beyond the Dirichlet process**," ICER Working Papers - Applied Mathematics Series 23-2009, ICER - International Centre for Economic Research. - Emanuel Moench & Serena Ng & Simon Potter, 2009.
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**Dynamic hierarchical factor models**," Staff Reports 412, Federal Reserve Bank of New York. - Michelle L. Barnes & Fabià Gumbau-Brisa & Denny Lie & Giovanni P. Olivei, 2009.
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**Closed-form estimates of the New Keynesian Phillips curve with time-varying trend inflation**," Working Papers 09-15, Federal Reserve Bank of Boston. - Antonio Lijoi & Igor Pruenster, 2009.
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**Distributional Properties of means of Random Probability Measures**," ICER Working Papers - Applied Mathematics Series 22-2009, ICER - International Centre for Economic Research. - Silvia Loriga & Paolo Naticchioni, 2010.
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**Short and long term evaluations of Public Employment Services in Italy**," Working Papers - Dipartimento di Economia 10-DEISFOL, Dipartimento di Economia, Sapienza University of Rome, revised 2010. - Patrizia Berti & Michele Gori & Pietro Rigo, 2009.
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**A note on the law of large numbers in economics**," Working Papers - Mathematical Economics 2009-10, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Nov 2010. - Item repec:stz:wpaper:ccss-09-00007 is not listed on IDEAS anymore
- Item repec:pra:mprapa:19485 is not listed on IDEAS anymore
- Pedro Albarran & Ignacio Ortuno & Javier Ruiz-Castillo, 2009.
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**The measurement of low- and high-impact in citation distributions: technical results**," Economics Working Papers we095735, Universidad Carlos III, Departamento de Economía.