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Report NEP-ECM-2004-12-12
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:
- Steven Lugauer, , "Out of Sample Tests of Model Specification," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2004-E56.
- Mark Coppejans & Holger Sieg, , "Kernel Estimation of Average Derivatives and Differences," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2003-03.
- Arie ten Cate, 2004, "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 41, Nov.
- Mora Galán, Alberto & Pérez, Ana & Ruiz Ortega, Esther, 2004, "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws046315, Nov.
- Item repec:dgr:eureri:30001959 is not listed on IDEAS anymore
- Item repec:att:belgnw:200460 is not listed on IDEAS anymore
- Akifumi Isogai & Satoru Kanoh & Toshifumi Tokunaga, 2004, "An Extension of the Markov-Switching Model with Time-Varying Transition Probabilities: Bull-Bear Analysis of the Japanese Stock Market," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d04-43, Nov.
- Clifford Attfield, 2004, "Stochastic Trends, Demographics and Demand Systems," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 04/563, Apr.
- Bo E. Honoré & Elie Tamer, 2002, "Bounds on Parameters in Dynamic Discrete Choice Models," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2004-23, Oct, revised Aug 2004.
- Charles Bellemare, 2004, "Identification and Estimation of the Economic Performance of Outmigrants using Panel Attrition," Cahiers de recherche, CIRPEE, number 0429.
- E.H. Oksanen, 1998, "Some Least Squares Results Without Least Squares Algebra," Department of Economics Working Papers, McMaster University, number 1998-07, Jul.
- M. W. Luke Chan & Dading Li & Dean C. Mountain, 1999, "A Bayesain Approach for Measuring Economies of Scale with Application to Large Scale Banks," Department of Economics Working Papers, McMaster University, number 1999-01, Jan.
- Frank T. Denton, 2004, "Exploring the Use of a Nonparametrically Generated Instrumental Variable in the Estimation of a Linear Parametric Equation," Quantitative Studies in Economics and Population Research Reports, McMaster University, number 390, Dec.
- Xibin Zhang & Maxwell L. King, 2004, "Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 26/04, Nov.
- Nicola Persico & Petra Todd, 2004, "Using Hit Rate Tests to Test for Racial Bias in Law Enforcement: Vehicle Searches in Wichita," NBER Working Papers, National Bureau of Economic Research, Inc, number 10947, Dec.
- Bent Nielsen & J. James Reade, 2004, "Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W24, Oct.
- Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004, "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W29, Nov.
- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004, "Stochastic volatility with leverage: fast likelihood inference," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W19, Aug.
- Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004, "Likelihood based inference for diffusion driven models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W20, Aug.
- Ole Barndorff-Nielsen & Neil Shephard, 2004, "Multipower Variation and Stochastic Volatility," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W30, Nov.
- Lauren Bin Dong, 2004, "Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach," Econometrics Working Papers, Department of Economics, University of Victoria, number 0405, Dec.
- Catalin Starica & Clive Granger, 2004, "Non-stationarities in stock returns," Econometrics, University Library of Munich, Germany, number 0411016, Nov.
- Thomas Mikosch & Catalin Starica, 2004, "Changes of structure in financial time series and the GARCH model," Econometrics, University Library of Munich, Germany, number 0412003, Dec.
- Thomas Mikosch & Catalin Starica, 2004, "Long range dependence effects and ARCH modelling," Econometrics, University Library of Munich, Germany, number 0412004, Dec.
- Kevin Dowd, 2004, "The Swedish Inflation Fan Charts: An Evaluation of the Riksbank?s Inflation Density Forecasts," Occasional Papers, Industrial Economics Division, number 10, Jan, revised 11 Jan 2004.
- Kevin Dowd, 2004, "Too Good to be True? The (In)credibility of the UK Inflation Fan Charts," Occasional Papers, Industrial Economics Division, number 11, 09, revised 11 Jan 2004.
- Kevin Dowd, 2004, "FOMC Forecasts of Macroeconomic Risks," Occasional Papers, Industrial Economics Division, number 12, 09, revised 10 Jan 2004.
- Mototsugu Shintani, 2004, "A Dynamic Factor Approach to Nonlinear Stability Analysis," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0418, Aug.
- Donald M. Pianto & Sergei Soares, 2004, "Use Of Survey Design For The Evaluation Of Social Programs: The Pnad And Peti," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 133.
- Xiaohong Chen & Yanqin Fan, 2004, "Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0419, Feb, revised Sep 2004.
- Xiaohong Chen & Yanqin Fan & Victor Tsyrennifov, 2004, "Efficient Estimation of Semiparametric Multivariate Copula Models," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0420, Sep.
- Frank A. Cowell & Emmanuel Flachaire, 2004, "Income distribution and inequality measurement: the problem of extreme values," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number v04101, Jul.
- Dennis Epple & Bennett McCallum, , "Simultaneous Equation Econometrics: The Missing Example," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2004-E6.