Report NEP-ECM-2013-03-30This 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:
- Eric Gautier & Alexandre Tsybakov, 2013. "Pivotal estimation in high-dimensional regression via linear programming," Papers 1303.7092, arXiv.org, revised Apr 2013.
- Christophe Ley & Thomas Verdebout, 2013. "Simple, Asymptotically Distribution-Free, Optimal Tests for Circular Reflective Symmetry about a Known Median Direction," Working Papers ECARES ECARES 2013-16, ULB -- Universite Libre de Bruxelles.
- Anne Neumann & Maria Nieswand & Torben Schubert, 2013. "Estimating Alternative Technology Sets in Nonparametric Efficiency Analysis: Restriction Tests for Panel and Clustered Data," Discussion Papers of DIW Berlin 1283, DIW Berlin, German Institute for Economic Research.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
- Yingying Li & Zhiyuan Zhang & Xinghua Zheng, 2013. "Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise," Papers 1303.5809, arXiv.org.
- Yong Bao & Aman Ullah & Yun Wang & Jun Yu, 2013. "Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes," Working Papers 02-2013, Singapore Management University, School of Economics.
- Becheri, I.G. & Drost, F.C. & Akker, R. van den, 2013. "Asymptotically UMP Panel Unit Root Tests," Discussion Paper 2013-017, Tilburg University, Center for Economic Research.
- Kabatek, J., 2013. "Iteration Capping For Discrete Choice Models Using the EM Algorithm," Discussion Paper 2013-019, Tilburg University, Center for Economic Research.
- Marc Hallin & Marco Lippi, 2013. "Factor Models in High-Dimensional Time Series: A Time-Domain Approach," Working Papers ECARES ECARES 2013-15, ULB -- Universite Libre de Bruxelles.
- Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
- Markku Lanne & Jani Luoto, 2013. "A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation," Discussion Papers of DIW Berlin 1285, DIW Berlin, German Institute for Economic Research.