Report NEP-ECM-2010-10-09This 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.
The following items were announced in this report:
- Cizek, P., 2010. "Reweighted Least Trimmed Squares: An Alternative to One-Step Estimators," Discussion Paper 2010-91, Tilburg University, Center for Economic Research.
- Almut E. D. Veraart, 2010. "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," CREATES Research Papers 2010-65, School of Economics and Management, University of Aarhus.
- Mogstad, Magne & Wiswall, Matthew, 2010. "Linearity in Instrumental Variables Estimation: Problems and Solutions," IZA Discussion Papers 5216, Institute for the Study of Labor (IZA).
- Heckman, James J. & Schmierer, Daniel, 2010. "Tests of Hypotheses Arising in the Correlated Random Coefficient Model," IZA Discussion Papers 5205, Institute for the Study of Labor (IZA).
- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010. "Integer-valued Lévy processes and low latency financial econometrics," CREATES Research Papers 2010-66, School of Economics and Management, University of Aarhus.
- Tim Bollerslev & Viktor Todorov, 2010. "Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns," CREATES Research Papers 2010-64, School of Economics and Management, University of Aarhus.
- Ma, Jun & Nelson, Charles R., 2010. "Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components," Economics Series 256, Institute for Advanced Studies.
- Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
- Michael C. M\"unnix & Rudi Sch\"afer & Thomas Guhr, 2010. "Statistical causes for the Epps effect in microstructure noise," Papers 1009.6157, arXiv.org.
- Laura Trinchera & Giorgio Russolillo, 2010. "On the use of Structural Equation Models and PLS Path Modeling to build composite indicators," Working Papers 30-2010, Macerata University, Department of Studies on Economic Development (DiSSE), revised Oct 2010.
- Estrella Gómez Herrera, 2010. "Comparing alternative methods to estimate gravity models of bilateral trade," ThE Papers 10/05, Department of Economic Theory and Economic History of the University of Granada..
- Angelo Mele, 2010. "A Structural Model of Segregation in Social Networks," Working Papers 10-16, NET Institute.
- Thomas Siedler & Bettina Sonnenberg, 2010. "Experiments, Surveys and the Use of Representative Samples as Reference Data," Working Paper Series of the German Council for Social and Economic Data 146, German Council for Social and Economic Data (RatSWD).
- Candelon Bertrand & Dumitrescu Elena-Ivona & Hurlin Christophe, 2010. "Currency Crises Early Warning Systems: why they should be Dynamic," Research Memoranda 047, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
- Lawrence E. Blume & William A. Brock & Steven N. Durlauf & Yannis M. Ioannides, 2010. "Identification of Social Interactions," Discussion Papers Series, Department of Economics, Tufts University 0754, Department of Economics, Tufts University.
- Petr Gapko & Martin Šmíd, 2010. "Modeling a Distribution of Mortgage Credit Losses," Working Papers IES 2010/23, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.
- Arthur Grimes & Chris Young, 2010. "A Simple Repeat Sales House Price Index: Comparative Properties Under Alternative Data Generation Processes," Working Papers 10_10, Motu Economic and Public Policy Research.