Report NEP-ECM-2013-01-26This 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:
- Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2013. "Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics 471, University of Regensburg, Department of Economics.
- Timothy B. Armstrong & Hock Peng Chan, 2013. "Multiscale Adaptive Inference on Conditional Moment Inequalities," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1885, Cowles Foundation for Research in Economics, Yale University.
- Olivier Ledoit & Michael Wolf, 2013. "Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions," ECON - Working Papers, Department of Economics - University of Zurich 105, Department of Economics - University of Zurich, revised Jul 2013.
- Marc Hallin & Marcelo Moreira J. & Alexei Onatski, 2013. "Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2013-04, ULB -- Universite Libre de Bruxelles.
- Giuseppe Cavaliere & Iliyan Georgiev, 2013. "Exploiting infinite variance through Dummy Variables in non-stationary autoregressions," Quaderni di Dipartimento, Department of Statistics, University of Bologna 1, Department of Statistics, University of Bologna.
- Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
- Herrera Gómez, Marcos & Ruiz Marín, Manuel & Mur Lacambra, Jesús, 2013. "Detecting dependence between spatial processes," MPRA Paper 43861, University Library of Munich, Germany.
- J. F. Muzy & R. Baile & E. Bacry, 2013. "Random cascade model in the limit of infinite integral scale as the exponential of a non-stationary $1/f$ noise. Application to volatility fluctuations in stock markets," Papers, arXiv.org 1301.4160, arXiv.org.
- Item repec:eca:wpaper:2013/138256 is not listed on IDEAS anymore
- Laura Mørch Andersen, 2013. "Obtaining reliable Likelihood Ratio tests from simulated likelihood functions," IFRO Working Paper, University of Copenhagen, Department of Food and Resource Economics 2013/1, University of Copenhagen, Department of Food and Resource Economics.
- Gürtler, Marc & Rauh, Ronald, 2013. "Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns," Working Papers, Technische UniversitÃ¤t Braunschweig, Institute of Finance IF43V1, Technische Universität Braunschweig, Institute of Finance.
- Nikolaos Zirogiannis & Yorghos Tripodis, 2013. "A Generalized Dynamic Factor Model for Panel Data: Estimation with a Two-Cycle Conditional Expectation-Maximization Algorithm," Working Papers, University of Massachusetts Amherst, Department of Resource Economics 2013-1, University of Massachusetts Amherst, Department of Resource Economics.
- Ricardo Mora & Iliana Reggio, 2012. "Treatment effect identification using alternative parallel assumptions," Economics Working Papers, Universidad Carlos III, Departamento de EconomÃa we1233, Universidad Carlos III, Departamento de Economía.
- Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-011/III, Tinbergen Institute.
- Mikko S. Pakkanen, 2013. "Limit theorems for power variations of ambit fields driven by white noise," CREATES Research Papers, School of Economics and Management, University of Aarhus 2013-01, School of Economics and Management, University of Aarhus.
- René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers, CIRANO 2013s-01, CIRANO.
- Audrone Virbickaite & M. Concepci\'on Aus\'in & Pedro Galeano, 2013. "A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection," Papers, arXiv.org 1301.5129, arXiv.org, revised Jan 2014.
- David E. Allen & Mohammad A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "Financial Dependence Analysis: Applications of Vine Copulae," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-022/III, Tinbergen Institute.