## Report NEP-ECM-2011-12-13

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, RSS or Twitter.

Other reports in NEP-ECM

The following items were announced in this report:

- Cristina Fuentes-Albero & Leonardo Melosi, 2011.
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**Methods for Computing Marginal Data Densities from the Gibbs Output**," Departmental Working Papers, Rutgers University, Department of Economics 201131, Rutgers University, Department of Economics. - Xiaohong Chen & Elie Tamer & Alexander Torgovitsky, 2011.
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**Sensitivity Analysis in Semiparametric Likelihood Models**," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1836, Cowles Foundation for Research in Economics, Yale University. - Davy Paindaveine & Thomas Verdebout, 2011.
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**Rank Tests for Elliptical Graphical Modeling**," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2011-039, ULB -- Universite Libre de Bruxelles. - Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011.
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**Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity**," Departmental Working Papers, Rutgers University, Department of Economics 201118, Rutgers University, Department of Economics. - Isabel Mourifie & Marc Henry, 2011.
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**Set Inference in Latent Variables Models**," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-820, CIRJE, Faculty of Economics, University of Tokyo. - Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011.
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**Instrumental Variable Estimation with Heteroskedasticity and Many Instruments**," Departmental Working Papers, Rutgers University, Department of Economics 201111, Rutgers University, Department of Economics. - Xiangjin Shen & Hiroki Tsurumi, 2011.
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**Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models**," Departmental Working Papers, Rutgers University, Department of Economics 201126, Rutgers University, Department of Economics. - Flaminia Musella, 2011.
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**Learning a bayesian network from ordinal data**," Departmental Working Papers of Economics - University 'Roma Tre' 0139, Department of Economics - University Roma Tre. - Friederike Greb & Stephan von Cramon-Taubadel & Tatyana Krivobokova & Axel Munk, 2011.
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**The estimation of threshold models in price transmission analysis**," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 103, Courant Research Centre PEG, revised 08 Oct 2012. - Robert A. Jones & Mohammad Zanganeh, 2011.
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**Estimation of Equicorrelated Diffusions from Incomplete Data**," Discussion Papers dp11-03, Department of Economics, Simon Fraser University. - Dominique Guegan & Pierre-AndrÃ© Maugis, 2011.
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**An econometric Study for Vine Copulas**," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00645799, HAL. - Ewa Syczewska, 2011.
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**Stability of Long-run Relationships for Countries in Transition: A Hansen Test Study**," Working Papers, Department of Applied Econometrics, Warsaw School of Economics 58, Department of Applied Econometrics, Warsaw School of Economics. - Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011.
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**Predictive Inference for Integrated Volatility**," Departmental Working Papers, Rutgers University, Department of Economics 201109, Rutgers University, Department of Economics. - Klein, Ingo & Tinkl, Fabian, 2011.
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**Some critical remarks on Zhang's gamma test for independence**," Discussion Papers 87/2010, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics. - Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011.
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**Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments**," Departmental Working Papers, Rutgers University, Department of Economics 201110, Rutgers University, Department of Economics. - Amaresh Tiwari & Franz Palm, 2011.
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**Nonlinear Panel Data Models with Expected a Posteriori Values of Correlated Random Effects**," CREPP Working Papers 1113, Centre de Recherche en Economie Publique et de la Population (CREPP) (Research Center on Public and Population Economics) HEC-Management School, University of LiÃ¨ge. - Ola L{\o}vsletten & Martin Rypdal, 2011.
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**Approximated maximum likelihood estimation in multifractal random walks**," Papers 1112.0105, arXiv.org, revised Feb 2012. - Diep Duong & Norman R. Swanson, 2011.
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**Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps**," Departmental Working Papers, Rutgers University, Department of Economics 201117, Rutgers University, Department of Economics. - Masanori Mitsutsune & Takanori Adachi, 2011.
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**Estimating Noncooperative and Cooperative Models of Bargaining: An Empirical Comparison**," KIER Working Papers 799, Kyoto University, Institute of Economic Research. - Vladimir Soloviev & Vladimir Saptsin & Dmitry Chabanenko, 2011.
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**Markov Chains application to the financial-economic time series prediction**," Papers 1111.5254, arXiv.org. - Ãngel Cuevas & Enrique M. Quilis & Antoni Espasa, 2011.
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**Combining benchmarking and chain-linking for short-term regional forecasting**," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa ws114130, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa. - Puzanova, Natalia, 2011.
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**A hierarchical Archimedean copula for portfolio credit risk modelling**," Discussion Paper Series 2: Banking and Financial Studies 2011,14, Deutsche Bundesbank, Research Centre. - HÃ¼ttner, Frank & Sunder, Marco, 2011.
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**Decomposing R2 with the Owen value**," Working Papers 100, University of Leipzig, Faculty of Economics and Management Science. - Breitung, JÃ¶rg & Schmeling, Maik, 2011.
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**Quantifying survey expectations: What's wrong with the probability approach?**," Hannover Economic Papers (HEP), Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t dp-485, Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t. - In Choi & Jorg Breitung, 2011.
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**Factor models**," Working Papers, Research Institute for Market Economy, Sogang University 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.