Report NEP-ECM-2010-05-29
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:
- Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
- Krajina, A., 2010. "An M-Estimator of Multivariate Tail Dependence," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3969610, Tilburg University.
- Item repec:ner:ucllon:http://eprints.ucl.ac.uk/17152/ is not listed on IDEAS anymore
- Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18216/ is not listed on IDEAS anymore
- Parker, Thomas, 2010. "An exact, unified distributional characterization of statistics used to test linear hypotheses in simple regression models," MPRA Paper 22841, University Library of Munich, Germany.
- Michael McAleer & Marcelo C. Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Univariate Models," Working Papers in Economics 10/28, University of Canterbury, Department of Economics and Finance.
- Rousseau, Judith, 2010. "Rates of convergence for the posterior distributions of mixtures of Betas and adaptive nonparametric estimation of the density," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/3984, Université Paris-Dauphine.
- Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2010. "Bootstrapping Density-Weighted Average Derivatives," CREATES Research Papers 2010-23, School of Economics and Management, University of Aarhus.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2010. "A Trinomial Test for Paired Data When There are Many Ties," Working Papers in Economics 10/20, University of Canterbury, Department of Economics and Finance.
- Kim P. Huynh & Luke Ignaczak & Marcel-Cristian Voia, 2010. "Stochastic Dominance, Estimation and Inference for Censored Distributions with Nuisance Parameter," Carleton Economic Papers 10-02, Carleton University, Department of Economics.
- Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18230/ is not listed on IDEAS anymore
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "Likelihood inference for a fractionally cointegrated vector autoregressive model," Working Papers 1237, Queen's University, Department of Economics.
- Jin Zhang & Wing Long Ng, 2010. "Exact Maximum Likelihood Estimation for Copula Models," Working Papers 038, COMISEF.
- Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18215/ is not listed on IDEAS anymore
- Wegmann , Bertil & Villani, Mattias, 2010. "Bayesian Inference in Structural Second-Price common Value Auctions," Working Paper Series 242, Sveriges Riksbank (Central Bank of Sweden).
- Joshua C.C. Chan & Garry Koop & Roberto Leon Gonzales & Rodney W. Strachan, 2010. "Time Varying Dimension Models," ANU Working Papers in Economics and Econometrics 2010-523, Australian National University, College of Business and Economics, School of Economics.
- Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18904/ is not listed on IDEAS anymore
- Marta Bańbura & Michele Modugno, 2010. "Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data," Working Paper Series 1189, European Central Bank.
- Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18226/ is not listed on IDEAS anymore
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010. "Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 10/24, University of Canterbury, Department of Economics and Finance.
- Dayton M. Lambert & Jason P. Brown & Raymond J.G.M. Florax, 2010. "A Two-Step Estimator For A Spatial Lag Model Of Counts: Theory, Small Sample Performance And An Application," Working Papers 10-5, Purdue University, College of Agriculture, Department of Agricultural Economics.
- Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
- Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18261/ is not listed on IDEAS anymore
- M. Hashem Pesaran & Alexander Chudik, 2010. "Econometric analysis of high dimensional VARs featuring a dominant unit," Working Paper Series 1194, European Central Bank.
- Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010. "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche 1021, CIRPEE.
- Ivan Nourdin & Giovanni Peccati & Mark Podolskij, 2010. "Quantitative Breuer-Major Theorems," CREATES Research Papers 2010-22, School of Economics and Management, University of Aarhus.
- Charles J. Romeo, 2010. "Filling Out the Instrument Set in Mixed Logit Demand Systems for Aggregate Data," EAG Discussions Papers 201003, Department of Justice, Antitrust Division.
- Massimiliano Bratti & Alfonso Miranda, 2010. "Endogenous Treatment Effects for Count Data Models with Sample Selection or Endogenous Participation," DoQSS Working Papers 10-05, Department of Quantitative Social Science - Institute of Education, University of London, revised 10 Dec 2010.
- Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18905/ is not listed on IDEAS anymore
- Razzak, Weshah, 2010. "Predicting Instability," MPRA Paper 22804, University Library of Munich, Germany.
- Item repec:stn:sotoec:1009 is not listed on IDEAS anymore
- Franses, Ph.H.B.F., 2010. "Decomposing bias in expert forecast," Econometric Institute Report EI 2010-26, Erasmus University Rotterdam, Econometric Institute.
- Item repec:ner:ucllon:http://eprints.ucl.ac.uk/19473/ is not listed on IDEAS anymore
- McArthur, David Philip & Kleppe, Gisle & Thorsen, Inge & Ubøe, Jan, 2010. "The spatial transferability of parameters in a gravity model of commuting flows," Discussion Papers 2010/3, Department of Finance and Management Science, Norwegian School of Economics.
- Jin Zhang & Dietmar Maringer, 2010. "Asset Pair-Copula Selection with Downside Risk Minimization," Working Papers 037, COMISEF.
- Manner, Hans, 2010. "Modeling asymmetric and time-varying dependence," Open Access publications from Maastricht University urn:nbn:nl:ui:27-22415, Maastricht University.
- Rodney W. Strachan & Herman K. van Dijk, 2010. "Evidence on a Real Business Cycle model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging," ANU Working Papers in Economics and Econometrics 2010-522, Australian National University, College of Business and Economics, School of Economics.