Report NEP-ECM-2011-04-30This 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:
- Dimitris Korobilis, 2011. "Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors," Working Paper Series 21_11, The Rimini Centre for Economic Analysis.
- Victor Chernozhukov & Ivan Fernandez-Val & Amanda Kowalski, 2011. "Quantile Regression with Censoring and Endogeneity," Cowles Foundation Discussion Papers 1797, Cowles Foundation for Research in Economics, Yale University.
- Luati, Alessandra & Proietti, Tommaso & Reale, Marco, 2011. "The Variance Profile," MPRA Paper 30378, University Library of Munich, Germany.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Robustness of Bootstrap in Instrumental Variable Regression," Cowles Foundation Discussion Papers 1796, Cowles Foundation for Research in Economics, Yale University.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Breakdown Point Theory for Implied Probability Bootstrap," Cowles Foundation Discussion Papers 1793, Cowles Foundation for Research in Economics, Yale University.
- L. Davezies, 2011. "Fixed effects models, random effects models, mixed models or multilevel models: properties and implementation of modeling of the heterogeneity in presence of clustered data," Documents de Travail de la DESE - Working Papers of the DESE g2011-03, Institut National de la Statistique et des Etudes Economiques, DESE.
- Márcio Laurini, 2011. "Bayesian Factor Selection in Dynamic Term Structure Models," IBMEC RJ Economics Discussion Papers 2011-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Xiaohong Chen & Victor Chernozhukov & Sokbae Lee & Whitney Newey, 2011. "Local Identification of Nonparametric and Semiparametric Models," Cowles Foundation Discussion Papers 1795, Cowles Foundation for Research in Economics, Yale University.
- Bernard Bercu & Frederic Proia, 2011. "A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process," Papers 1104.3328, arXiv.org.
- Mikkel Barslund, 2011. "Censored Demand System Estimation with Endogenous Expenditures in clustered samples: an application to food demand in urban Mozambique," LICOS Discussion Papers 28011, LICOS - Centre for Institutions and Economic Performance, KU Leuven.
- Jason J. Wu & Aaron L. Game, 2011. "Cointegration test with stationary covariates and the CDS-bond basis during the financial crisis," Finance and Economics Discussion Series 2011-18, Board of Governors of the Federal Reserve System (U.S.).
- Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series 2011-19, Board of Governors of the Federal Reserve System (U.S.).
- Item repec:hal:cesptp:halshs-00587779 is not listed on IDEAS anymore
- Dominique Guegan & Bertrand Hassani, 2012. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00587706, HAL.
- Item repec:udb:wpaper:uwec-2011-07 is not listed on IDEAS anymore
- Pesaran, M. Hashem & Smith, Ron P., 2011. "Beyond the DSGE Straitjacket," IZA Discussion Papers 5661, Institute for the Study of Labor (IZA).