Report NEP-ECM-2011-06-04This 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:
- Enrique Moral-Benito, 2011. "Dynamic panels with predetermined regressors: likelihood-based estimation and Bayesian averaging with an application to cross-country growth," Banco de Espaï¿½a Working Papers 1109, Banco de Espa�a.
- Mohamed Boutahar & Rabeh Khalfaoui2, 2011. "Estimation of the long memory parameter in non stationary models: A Simulation Study," Working Papers halshs-00595057, HAL.
- James G. MacKinnon, 2012. "Thirty Years of Heteroskedasticity-Robust Inference," Working Papers 1268, Queen's University, Department of Economics.
- Winkelried, D. & Smith, R.J., 2011. "Principal Components Instrumental Variable Estimation," Cambridge Working Papers in Economics 1119, Faculty of Economics, University of Cambridge.
- Gian Piero Aielli & Massimiliano Caporin, 2011. "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers 0133, Dipartimento di Scienze Economiche "Marco Fanno".
- Corrado, L. & Weeks, M., 2011. "Tests for Convergence Clubs," Cambridge Working Papers in Economics 1110, Faculty of Economics, University of Cambridge.
- Antonio García Ferrer & Ester González Prieto & Daniel Peña, 2011. "Exploring ICA for time series decomposition," Statistics and Econometrics Working Papers ws111611, Universidad Carlos III, Departamento de Estadística y Econometría.
- Amisano, Gianni & Tristani, Oreste, 2011. "Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations," Working Paper Series 1341, European Central Bank.
- Daniel J. Henderson & John A. List & Daniel L. Millimet & Christopher F. Parmeter & Michael K. Price, 2011. "Empirical Implementation of Nonparametric First-Price Auction Models," NBER Working Papers 17095, National Bureau of Economic Research, Inc.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2011. "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers 2011-19, School of Economics and Management, University of Aarhus.
- Pesaran, M. H. & Smith, R. P., 2011. "Beyond the DSGE straightjacket," Cambridge Working Papers in Economics 1138, Faculty of Economics, University of Cambridge.
- David Hendry, 2011. "Unpredictability in Economic Analyis, Econometric Modelling and Forecasting," Economics Series Working Papers 551, University of Oxford, Department of Economics.