## Report NEP-ECM-2004-10-30

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 Twitter.

Other reports in NEP-ECM

The following items were announced in this report:

- Anurag Banerjee, 2004.
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**Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory**," Econometric Society 2004 Australasian Meetings 159, Econometric Society. - Scott I. White & Adam E. Clements & Stan Hurn, 2004.
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**Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility**," Econometric Society 2004 Australasian Meetings 46, Econometric Society. - Chew Lian Chua & Peter Summers, 2004.
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**Structural Error Correction Model: A Bayesian Perspective**," Econometric Society 2004 Far Eastern Meetings 702, Econometric Society. - Eric Ghysels & Anders Eriksson Lars Forsberg, 2004.
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**Approximating the probability distribution of functions of random variables: A new approach**," Econometric Society 2004 Far Eastern Meetings 503, Econometric Society. - Frank Kleibergen, 2004.
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**Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap**," Econometric Society 2004 North American Summer Meetings 408, Econometric Society. - Shane M. Sherlund, 2004.
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**Quasi Empirical Likelihood Estimation of Moment Condition Models**," Econometric Society 2004 North American Summer Meetings 507, Econometric Society. - Jushan Bai; Josep LluÃs Carrion-i-Silvestre, 2004.
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**Structural changes, common stochastic trends and unit roots in panel data**," Econometric Society 2004 North American Summer Meetings 345, Econometric Society. - Michael Dueker, 2004.
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**Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths**," Econometric Society 2004 Latin American Meetings 34, Econometric Society. - Gholamreza Hajargasht, 2004.
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**Some New Semiparametric Panel Stochastic Frontier Models**," Econometric Society 2004 Australasian Meetings 127, Econometric Society. - Pentti Saikkonen & Markku Lanne, 2004.
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**A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns**," Econometric Society 2004 North American Summer Meetings 469, Econometric Society. - Cristian Huse, 2004.
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**Comparing Nonparametric Regression Quantiles**," Econometric Society 2004 Latin American Meetings 165, Econometric Society. - Keith Freeland & Brendan McCabe & Gael Martin, 2004.
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**Testing for Dependence in Non-Gaussian Time Series Data**," Econometric Society 2004 Australasian Meetings 313, Econometric Society. - Wing Lon NG, 2004.
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**Duration and Order Type Clusters**," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society. - Jonathan B. Hill, 2004.
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**Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives**," Econometric Society 2004 North American Summer Meetings 42, Econometric Society. - Won Koh & Byoung Cheol Jung & Badi H. Baltagi & Seuck Heun Song, 2004.
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**Testing for Serial Correlation, Spatial Autocorrelation and Random Effects**," Econometric Society 2004 Australasian Meetings 338, Econometric Society. - Fabio Araujo & Marcelo Fernandes e JoÃ£o Victor Issler, 2004.
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**Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor**," Econometric Society 2004 Latin American Meetings 134, Econometric Society. - Huang Weihong & Zhang Yang, 2004.
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**Estimating Structural Change in Linear Simultaneous Equations**," Econometric Society 2004 Australasian Meetings 110, Econometric Society. - Tiemen Woutersen & Robert M. de Jong, 2004.
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**Dynamic time series binary choice**," Econometric Society 2004 North American Summer Meetings 365, Econometric Society. - Mickael Salabasis & Sune Karlsson, 2004.
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**Seasonality, Cycles and Unit Roots**," Econometric Society 2004 Australasian Meetings 268, Econometric Society. - Jeffrey R. Russell & Federico M. Bandi, 2004.
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**Microstructure noise, realized volatility, and optimal sampling**," Econometric Society 2004 Latin American Meetings 220, Econometric Society. - Yanqin Fan & Xiaohong Chen, 2004.
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**Estimation of Copula-Based Semiparametric Time Series Models**," Econometric Society 2004 Far Eastern Meetings 559, Econometric Society. - Maxwell L. King & Jahar L. Bhowmik, 2004.
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**Maximal Invariant Likelihood Based Testing of Semi-Linear Models**," Econometric Society 2004 Australasian Meetings 245, Econometric Society. - Carlos Velasco & Ignacio N. Lobato, 2004.
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**A simple and general test for white noise**," Econometric Society 2004 Latin American Meetings 112, Econometric Society. - Rob L. Hyndman & Xibin Zhang & Maxwell L. King,, 2004.
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**Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC**," Econometric Society 2004 Australasian Meetings 120, Econometric Society. - Luis C. Nunes, 2004.
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**LM-Type tests for a Unit Root Allowing for a Break in Trend**," Econometric Society 2004 Australasian Meetings 190, Econometric Society. - Sokbae Lee & Joel L. Horowitz, 2004.
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**Nonparametric Estimation of an Additive Quantile Regression Model**," Econometric Society 2004 Far Eastern Meetings 721, Econometric Society. - Grant Hillier & Giovanni Forchini, 2004.
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**Ill-posed Problems and Instruments' Weakness**," Econometric Society 2004 Australasian Meetings 357, Econometric Society. - Sokbae Lee, 2004.
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**Endogeneity in Quantile Regression Models: A Control Function Approach**," Econometric Society 2004 North American Summer Meetings 521, Econometric Society. - Jesus Otero & Jeremy Smith, 2004.
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**Testing for seasonal unit roots in heterogeneous panels**," Econometric Society 2004 Latin American Meetings 21, Econometric Society. - Jiro Hodoshima, 2004.
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**On weak exogeneity of the student's t and elliptical linear regression models**," Econometric Society 2004 Far Eastern Meetings 601, Econometric Society. - Giovanni Urga & Lorenzo Trapani, 2004.
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**Cointegration versus Spurious Regression in Heterogeneous Panels**," Econometric Society 2004 North American Summer Meetings 266, Econometric Society. - Lynda Khalaf & Jean-Marie Dufour, 2004.
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**Simulation-Based Finite-Sample Inference in Simultaneous Equations**," Econometric Society 2004 North American Summer Meetings 239, Econometric Society. - Emma Iglesias & Jean Marie Dufour, 2004.
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**Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors**," Econometric Society 2004 North American Summer Meetings 161, Econometric Society. - Stephen G. Donald & Garry F. Barrett, 2004.
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**Consistent Nonparametric Tests for Lorenz Dominance**," Econometric Society 2004 Australasian Meetings 321, Econometric Society. - Chi-Young Choi; Ling Hu; Masao Ogaki, 2004.
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**A Spurious Regression Approach to Estimating Structural Parameters**," Econometric Society 2004 Far Eastern Meetings 555, Econometric Society. - Jin Lee, 2004.
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**Wavelet transform for log periodogram regression in long memory stochastic volatility model**," Econometric Society 2004 Far Eastern Meetings 682, Econometric Society. - Chib & Siddhartha; Dueker, 2004.
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**Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths**," Econometric Society 2004 North American Summer Meetings 600, Econometric Society. - Mehmet Caner, 2004.
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**Testing, Estimation and Higher Order Expansions in GMM with Semi-Weak Instruments**," Econometric Society 2004 North American Summer Meetings 128, Econometric Society. - Jorge E. Arana & Carmelo J. Leon, 2004.
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**Baysian Flexible Mixture Distribution Modelling of Dichotomous Choice Contingent Valuation with Heterogeneity**," Econometric Society 2004 North American Summer Meetings 568, Econometric Society. - Woocheol Kim, 2004.
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**Identification And Estimation Of Nonparametric Structural**," Econometric Society 2004 Far Eastern Meetings 733, Econometric Society. - Stan Hurn, 2004.
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**Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity**," Econometric Society 2004 Australasian Meetings 348, Econometric Society. - Asger Lunde & Peter Reinhard Hansen, 2004.
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**Realized Variance and IID Market Microstructure Noise**," Econometric Society 2004 North American Summer Meetings 526, Econometric Society. - Lee & Myoung-jae, 2004.
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**Monotonicity Conditions and Inequality Imputation for Sample Selection and Non-Response Problems**," Econometric Society 2004 Australasian Meetings 93, Econometric Society. - Fushang Liu & Kajal Lahiri, 2004.
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**Determinants of Multi-period Forecast Uncertainty Using a Panel of Density Forecasts**," Econometric Society 2004 Australasian Meetings 329, Econometric Society. - Gawon Yoon, 2004.
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**The performance of the tests of linear and logarithmic transformations for integrated processes with stochastic unit roots**," Econometric Society 2004 Far Eastern Meetings 728, Econometric Society. - Don Harding, 2004.
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**Using turning point information to study economic dynamics**," Econometric Society 2004 Australasian Meetings 214, Econometric Society. - Randolph & Xiao Qin & Tan Gee Kwang, 2004.
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**Unit Root Tests with Markov-Switching**," Econometric Society 2004 Australasian Meetings 145, Econometric Society. - Gareth M. Thomas & Seung C. Ahn, 2004.
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**Likelihood Based Inference for amic Panel Data Models**," Econometric Society 2004 Far Eastern Meetings 669, Econometric Society. - Aurobindo Ghosh & Anil K. Bera, 2004.
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**A Smooth Test for Density Forecast Evaluation**," Econometric Society 2004 Australasian Meetings 187, Econometric Society. - Param Silvapulle & Gunky Kim & Mervyn J. Silvapulle, 2004.
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**Robustness of a semiparametric estimator of a copula**," Econometric Society 2004 Australasian Meetings 317, Econometric Society. - Murray D Smith, 2004.
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**Stochastic Frontier Models With Correlated Error Components**," Econometric Society 2004 Australasian Meetings 121, Econometric Society. - Garry Phillips & Emma Iglesias, 2004.
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**Simultaneous Equations and Weak Instruments under Conditionally Heteroscedastic Disturbances**," Econometric Society 2004 Far Eastern Meetings 567, Econometric Society. - Christophe Rault, 2004.
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**Further results on weak-exogeneity in vector error correction models**," Econometric Society 2004 Far Eastern Meetings 402, Econometric Society. - Lars Forsberg & Anders Eriksson, 2004.
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**The Mean Variance Mixing GARCH (1,1) model**," Econometric Society 2004 Australasian Meetings 323, Econometric Society. - Stephen E. Satchell & Shaun A. Bond, 2004.
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**Asymmetry, Loss Aversion and Forecasting**," Econometric Society 2004 Australasian Meetings 160, Econometric Society. - Nigel Wilkins, 2004.
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**Indirect Estimation of Long Memory Volatility Models**," Econometric Society 2004 Far Eastern Meetings 459, Econometric Society. - Y. K. Tse & Z. L. Yang, 2004.
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**Tests of Functional Form and Heteroscedasticity**," Econometric Society 2004 Far Eastern Meetings 424, Econometric Society. - Jan M. Podivinsky & Chongcheul Cheong & Maozu Lu, 2004.
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**The Effect of Exchange Rate Uncertainty on US Imports from the UK: Consistent OLS Estimation with Volatility Measured by An ARCH-type Model**," Econometric Society 2004 Australasian Meetings 212, Econometric Society. - Robert Taylor & Fabio Busetti, 2004.
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**Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power**," Econometric Society 2004 Far Eastern Meetings 494, Econometric Society. - Chihwa Kao & Yongmiao Hong, 2004.
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**Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity**," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society. - Hsiao Chiying & Chen Pu, 2004.
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**Testing Weak Exogeneity in Cointegrated System**," Econometric Society 2004 Far Eastern Meetings 537, Econometric Society. - Robert Taylor & Stephen Leybourne & David Harvey, 2004.
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**Modified Tests for a Change in Persistence**," Econometric Society 2004 Australasian Meetings 64, Econometric Society. - E. Ruiz & M.A. Carnero & D. Pereira, 2004.
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**Effects of Level Outliers on the Identification and Estimation of GARCH Models**," Econometric Society 2004 Australasian Meetings 21, Econometric Society. - Andrew Chesher & Erich Battistin, 2004.
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**The Impact of Measurement Error on Evaluation Methods Based on Strong Ignorability**," Econometric Society 2004 North American Summer Meetings 339, Econometric Society. - Giovanni Urga & Christian de Peretti, 2004.
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**Stopping Tests in the Sequential Estimation for Multiple Structural Breaks**," Econometric Society 2004 Latin American Meetings 320, Econometric Society. - George Milunovich, 2004.
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**Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model**," Econometric Society 2004 Australasian Meetings 55, Econometric Society. - Minxian Yang, 2004.
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**Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications**," Econometric Society 2004 Australasian Meetings 186, Econometric Society. - Richard Paap & Frank Kleibergen, 2004.
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**Generalized Reduced Rank Tests using the Singular Value Decomposition**," Econometric Society 2004 Australasian Meetings 195, Econometric Society. - Sanghoon Lee, 2004.
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**Approximation of A Jump-Diffusion Process**," Econometric Society 2004 Far Eastern Meetings 412, Econometric Society. - Chor-yiu SIN, 2004.
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**Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE**," Econometric Society 2004 Australasian Meetings 92, Econometric Society. - Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004.
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**A simple estimation method and finite-sample inference for a stochastic volatility model**," Econometric Society 2004 North American Summer Meetings 153, Econometric Society. - Jenny Lye & Joe Hirschberg, 2004.
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**Confidence bounds for the extremum determined by a quadratic regression**," Econometric Society 2004 Australasian Meetings 217, Econometric Society. - Gawon Yoon, 2004.
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**A note on some properties of STUR processes**," Econometric Society 2004 Far Eastern Meetings 731, Econometric Society. - Ruey Yau, 2004.
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**Macroeconomic Forecasting with Independent Component Analysis**," Econometric Society 2004 Far Eastern Meetings 741, Econometric Society. - Yoon-Jin Lee & Yongmiao Hong, 2004.
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**Specification Testing for Multivariate Time Series Volatility Models**," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society.