Report NEP-ECM-2012-01-10This 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:
- Betsabé Pérez & Daniel Peña & Isabel Molina, 2011. "Robust Henderson III estimators of variance components in the nested error model," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa ws114332, Universidad Carlos III, Departamento de Estadística y Econometría.
- Botosaru, Irene, 2011. "A Duration Model with Dynamic Unobserved Heterogeneity," TSE Working Papers, Toulouse School of Economics (TSE) 11-262, Toulouse School of Economics (TSE), revised Nov 2013.
- Theologos Pantelidis, 2012. "Testing for Granger causality in a system of more than two variables," Discussion Paper Series, Department of Economics, University of Macedonia 2012_02, Department of Economics, University of Macedonia, revised Jan 2012.
- Lupi, Claudio, 2011. "Panel-CADF Testing with R: Panel Unit Root Tests Made Easy," Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI esdp11063, University of Molise, Dept. EGSeI.
- Lars Stentoft, 2011. "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers, School of Economics and Management, University of Aarhus 2011-52, School of Economics and Management, University of Aarhus.
- Das, J.W.M. & Soest, A.H.O. van & Toepoel, V., 2011. "Nonparametric tests of panel conditioning and attrition bias in panel surveys," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-4334816, Tilburg University.
- Pavel V. Shevchenko & Xiaolin Luo, 2011. "Dependent default and recovery: MCMC study of downturn LGD credit risk model," Papers, arXiv.org 1112.5766, arXiv.org.
- Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011. "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers, School of Economics and Management, University of Aarhus 2011-51, School of Economics and Management, University of Aarhus.