Report NEP-ECM-2011-09-22This 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:
- Item repec:ner:ucllon:http://discovery.ucl.ac.uk/1318085/ is not listed on IDEAS anymore
- Tomás del Barrio Castro & Paulo M.M. Rodrigues & A. M. Robert Taylor, 2011. "The Impact of Persistent Cycles on Zero Frequency Unit Root Tests," Working Papers, Banco de Portugal, Economics and Research Department w201124, Banco de Portugal, Economics and Research Department.
- Daniel Bartz & Kerr Hatrick & Christian W. Hesse & Klaus-Robert M\"uller & Steven Lemm, 2011. "Directional Variance Adjustment: improving covariance estimates for high-dimensional portfolio optimization," Papers, arXiv.org 1109.3069, arXiv.org, revised Mar 2012.
- Raffaella Calabrese & Silvia Angela Osmetti, 2011. "Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults," Working Papers, Geary Institute, University College Dublin 201120, Geary Institute, University College Dublin.
- Biørn, Erik & R. Wangen, Knut, 2011. "Models of Truncation, Sample Selection, and Limited Dependent Variables: Suggestions for a Common Language," Memorandum, Oslo University, Department of Economics 18/2011, Oslo University, Department of Economics.
- Maria Elvira Mancino & Simona Sanfelici, 2011. "Estimation of Quarticity with High Frequency Data," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa 2011-06, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Jan 2012.
- Max Köhler & Anja Schindler & Stefan Sperlich, 2011. "A Review and Comparison of Bandwidth Selection Methods for Kernel Regression," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG 95, Courant Research Centre PEG.
- Paul S. Clarke & Tom M. Palmer & Frank Windmeijer, 2011. "Estimating structural mean models with multiple instrumental variables using the generalised method of moments," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP28/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Steffen Andersen & Glenn W. Harrison & Morten Lau & Elisabet E. Rutstroem, 2011. "Non-Linear Mixed Logit," Working Papers, Durham University Business School 2011_04, Durham University Business School.
- Bai, Jushan & Wang, Peng, 2011. "Conditional Markov chain and its application in economic time series analysis," MPRA Paper 33369, University Library of Munich, Germany.
- Tomás del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2011. "On Augmented HEGY Tests for Seasonal Unit Roots," The School of Economics Discussion Paper Series, Economics, The University of Manchester 1121, Economics, The University of Manchester.