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Report NEP-ECM-2004-06-09
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 Mastodon, or Bluesky.
Other reports in NEP-ECM
The following items were announced in this report:
- McCAUSLAND, William, 2004, "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2004-07.
- Yanjun Liu & Bing-Sun Wong, , "Estimating Structural Breaks in the Volatility of Canadian Output Growth," Working Papers-Department of Finance Canada, Department of Finance Canada, number 2003-20.
- Lima, Luiz Renato Regis de Oliveira & Xiao, Zhijie, 2004, "Robustness of stationary tests under long-memory alternatives," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 541, Apr.
- K. Borovkov & Alexander Novikov, 2004, "Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 115, Jan.
- Gholamreza Hajargasht, 2003, "Semiparametric Estimation of Stochastic Frontiers A Bayesian Penalized Approach," CEPA Working Papers Series, School of Economics, University of Queensland, Australia, number WP042003, Aug.
- Fernandes, Marcelo & Grammig, Joachim, 2003, "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 501, Oct.
- Philip A. Haile & Ali Hortaçsu & Grigory Kosenok, 2004, "On the Empirical Content of Quantal Response Models," Levine's Bibliography, UCLA Department of Economics, number 122247000000000218, May.
- Fernandes, Marcelo & Monteiro, Paulo Klinger, 2004, "Central limit theorem for asymmetric kernel functionals," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 522, Feb.
- Paulo M. M. Rodrigues & Antonio Rubia, 2004, "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics, University Library of Munich, Germany, number 0405004, May.
- R. Liptser & Alexander Novikov, 2004, "On Tail Distributions of Supremum and Quadratic Variation of Local Martingales," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 116, Jan.
- Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2003, "Breaking the panels. An application to the GDP per capita," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 97.
- Fernandes, Marcelo & Grammig, Joachim, 2003, "Nonparametric specification tests for conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 502, Oct.
- Anthony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 1999, "A long run structural macroeconometric model of the UK," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 35, Jun, revised Dec 2001.
- G. Verstraeten & D. Van Den Poel, 2004, "The Impact of Sample Bias on Consumer Credit Scoring Performance and Profitability," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 04/232, Mar.
- Souza, Leonardo Rocha & Smith, Jeremy & Souza, Reinaldo Castro, 2003, "Convex combinations of long memory estimates from different sampling rates," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 489, Jul.
- Baltagi B-H. & Bresson G. & Pirotte A., 2004, "Joint LM test for homoskedasticity in a one-way error component model," Working Papers ERMES, ERMES, University Paris 2, number 0408.
- William A. Barnett & Barry E. Jones & Milka Kirova & Travis Nesmith & Meenakshi Pasupathy, 2004, "The Nonlinear Skeletons in the Closet," Econometrics, University Library of Munich, Germany, number 0405003, May.
- Soares, Lacir Jorge & Souza, Leonardo Rocha, 2003, "Forecasting electricity demand using generalized long memory," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 486, Jun.
- Baltagi B. & Bresson G. & Pirotte A., 2004, "Adaptive estimation of heteroskedastic error component model," Working Papers ERMES, ERMES, University Paris 2, number 0402.
- Souza, Leonardo Rocha, 2003, "A note on Chambers's 'long memory and aggregation in macroeconomic time series'," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 503, Oct.
- Cysne, Rubens Penha, 2004, "On the statistical estimation of diffusion processes: a survey," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 540, Apr.
- Xiao, Zhijie & Lima, Luiz Renato, 2004, "Testing unit root based on partially adaptive estimation," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 528, Mar.
- Tim J. Coelli & Chris O'Donnell, 2003, "A Bayesian Approach To Imposing Curvature On Distance Functions," CEPA Working Papers Series, School of Economics, University of Queensland, Australia, number WP032003, Aug.
- Fernandes, Marcelo, 2003, "Bounds for the probability distribution function of the linear ACD process," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 488, Jul.