Report NEP-ECM-2012-11-17
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 or RSS
Other reports in NEP-ECM
The following items were announced in this report:
- Nikolaus Hautsch & Julia Schuamburg & Melanie Schienle, 2012. "Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series," SFB 649 Discussion Papers SFB649DP2012-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
- Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
- Adam McCloskey, 2012. "Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends," Working Papers 2012-17, Brown University, Department of Economics.
- Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2012. "Realized stochastic volatility with leverage and long memory," CIRJE F-Series CIRJE-F-869, CIRJE, Faculty of Economics, University of Tokyo.
- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2012. "Robust inference in linear asset pricing models," Working Paper 2012-17, Federal Reserve Bank of Atlanta.
- Biørn, Erik, 2012. "Estimating SUR Systems with Random Coefficients: The Unbalanced Panel Data Case," Memorandum 22/2012, Oslo University, Department of Economics.
- Søren Johansen & Morten Ørregaard Nielsen, 2012. "The role of initial values in nonstationary fractional time series models," Working Papers 1300, Queen's University, Department of Economics.
- Stefano Favaro & Antonio Lijoi & Igor Prünster, 2012. "A new estimator of the discovery probability," DEM Working Papers Series 007, University of Pavia, Department of Economics and Management.
- Stefano Favaro & Antonio Lijoi & Igor Prünster, 2012. "On the stick–breaking representation of normalized inverse Gaussian priors," DEM Working Papers Series 008, University of Pavia, Department of Economics and Management.
- Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
- Siegfried Hörmann & Lukasz Kidzinski & Marc Hallin, 2012. "Dynamic Functional Principal Components," Working Papers ECARES 2013/131191, ULB -- Universite Libre de Bruxelles.
- Christophe Ley & Anouk Neven, 2012. "The Normalizing Constant in Multivariate t Distributions: Dimension One versus Higher Dimensions," Working Papers ECARES 2013/131185, ULB -- Universite Libre de Bruxelles.
- J. N. Lye and J. G. Hirschberg, 2012. "Inverse Test Confidence Intervals for Turning points: A," Department of Economics - Working Papers Series 1160, The University of Melbourne.
- Dekker, T. & Koster, P.R. & Brouwer, R., 2012. "Changing with the tide: Semi-parametric estimation of preference dynamics," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Dimitris Korobilis, 2012. "Bayesian forecasting with highly correlated predictors," Working Papers 2012_12, Business School - Economics, University of Glasgow.
- Eirini-Christina Saloniki & Amanda Gosling, 2012. "Point identification in the presence of measurement error in discrete variables: application - wages and disability," Studies in Economics 1214, Department of Economics, University of Kent.