Report NEP-ECM-2005-04-16

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Olmo, José, 2005, "Testing the existence of clustering in the extreme values," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we051809, Apr.
• López Pintado, Sara & Romo, Juan, 2005, "A half-graph depth for functional data," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws051603, Apr.
• Olivier SCAILLET, 2004, "Nonparametric Estimation of Conditional Expected Shortfall," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp112, May.
• Olivier Scaillet, 2005, "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp128, Jan.
• Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005, "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp135, Mar.
• Quoreshi, Shahiduzzaman, 2005, "Bivariate Time Series Modelling of Financial Count Data," Umeå Economic Studies, Umeå University, Department of Economics, number 655, Apr.
• Welz, Peter & Österholm, Pär, 2005, "Interest Rate Smoothing versus Serially Correlated Errors in Taylor Rules: Testing the Tests," Working Paper Series, Uppsala University, Department of Economics, number 2005:14, Mar.
• Item repec:hst:hstdps:d05-82 is not listed on IDEAS anymore

• Lancelot F. James & Antonio Lijoi & Igor Pruenster, 2005, "Bayesian Inference via Classes of Normalized Random Measures," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 5-2005, Apr.
• Nikolaus Hautsch, 2005, "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2005/03, Mar.
• Frank T. Denton, 2005, "Exploring the Use of a Nonparametrically Generated Instrumetal Variable in the Estimation of a Linear Parametric Equation," Social and Economic Dimensions of an Aging Population Research Papers, McMaster University, number 124, Jan.
• Ralph D Snyder, 2005, "A Pedant's Approach to Exponential Smoothing," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/05, Mar.
• Baki Billah & Maxwell L King & Ralph D Snyder & Anne B Koehler, 2005, "Exponential Smoothing Model Selection for Forecasting," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 6/05, Mar.
• J Keith Ord & Ralph D Snyder & Anne B Koehler & Rob J Hyndman & Mark Leeds, 2005, "Time Series Forecasting: The Case for the Single Source of Error State Space," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/05, Apr.
• DUFOUR, Jean-Marie, 2005, "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-03.
• BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-04.
• DUFOUR, Jean-Marie & FARHAT, Abdekjelik & HALLIN, Marc, 2005, "Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-05.
• DUFOUR, Jean-Marie & TAREK, Jouini, 2005, "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-09.
• Barbara Rossi, 2005, "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," Data, University Library of Munich, Germany, number 0503001, Mar.
• Javier Escobal & Sonia Laszlo, 2005, "Measurement Error in Access to Markets," Development and Comp Systems, University Library of Munich, Germany, number 0503008, Mar.
• Dubois, 2005, "Grocer 1.0, an Econometric Toolbox for Scilab: an Econometrician Point of View," Econometrics, University Library of Munich, Germany, number 0501014, Jan.
• Eric Hillebrand, 2005, "Overlaying Time Scales in Financial Volatility Data," Econometrics, University Library of Munich, Germany, number 0501015, Jan.
• Edgar L. Feige & Harold W. Watts, 2005, "Protection Of Privacy Through Microaggregation," Econometrics, University Library of Munich, Germany, number 0502001, Feb.
• Stanislav Radchenko, 2005, "The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend," Econometrics, University Library of Munich, Germany, number 0502002, Feb.
• Rafal Weron & Adam Misiorek, 2005, "Modeling and forecasting electricity loads: A comparison," Econometrics, University Library of Munich, Germany, number 0502004, Feb.
• Ewa Broszkiewicz-Suwaj & Andrzej Makagon & Rafal Weron & Agnieszka Wylomanska, 2005, "On detecting and modeling periodic correlation in financial data," Econometrics, University Library of Munich, Germany, number 0502006, Feb.
• Bragoudakis Zacharias, 2005, "Assessing Forecast Performance in a VEC Model: An Empirical Examination," Econometrics, University Library of Munich, Germany, number 0502007, Feb.
• Kusum Mundra, 2005, "Nonparametric Slope Estimators for Fixed-Effect Panel Data," Econometrics, University Library of Munich, Germany, number 0502008, Feb.
• Costas Milas & Phil Rothman, 2005, "Multivariate STAR Unemployment Rate Forecasts," Econometrics, University Library of Munich, Germany, number 0502010, Feb.
• Edoardo Otranto, 2005, "Extraction of Common Signal from Series with Different Frequency," Econometrics, University Library of Munich, Germany, number 0502011, Feb.
• Victor Aguirregabiria & Pedro Mira, 2005, "A Genetic Algorithm for the Structural Estimation of Games with Multiple Equilibria," Econometrics, University Library of Munich, Germany, number 0502017, Feb.
• Vadim Marmer, 2005, "Nonlinearity, Nonstationarity and Spurious Forecasts," Econometrics, University Library of Munich, Germany, number 0503002, Mar, revised 15 Dec 2005.
• Matteo M. Pelagatti & Stefania Rondena, 2005, "Dynamic Conditional Correlation with Elliptical Distributions," Econometrics, University Library of Munich, Germany, number 0503007, Mar.
• Matteo M. Pelagatti, 2005, "Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications," Econometrics, University Library of Munich, Germany, number 0503008, Mar.
• Amjad D. Al-Nasser, 2005, "Customer Satisfaction Measurement Models: Generalised Maximum Entropy Approach," Econometrics, University Library of Munich, Germany, number 0503013, Mar.
• Ozgen Sayginsoy, 2005, "Powerful and Serial Correlation Robust Tests of the Economic Convergence Hypothesis," Econometrics, University Library of Munich, Germany, number 0503014, Mar, revised 11 Mar 2005.
• Jonathan B. Hill, 2005, "Causation Delays and Causal Neutralization up to Three Steps Ahead: The Money-Output Relationship Revisited," Econometrics, University Library of Munich, Germany, number 0503016, Mar, revised 23 Mar 2005.
• Patrick Crowley, 2005, "An intuitive guide to wavelets for economists," Econometrics, University Library of Munich, Germany, number 0503017, Mar.
• Marie Bessec & Othman Bouabdallah, 2005, "What causes the forecasting failure of Markov-Switching models? A Monte Carlo study," Econometrics, University Library of Munich, Germany, number 0503018, Mar.
• Ching-Kang Ing, 2005, "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics, University Library of Munich, Germany, number 0503020, Mar.
• Chen Pu & Hsiao Chihying, 2005, "Testing Cointegration Rank in Large Systems," Econometrics, University Library of Munich, Germany, number 0504002, Apr.
• Patrick Marsh, , "The Available Information for Invariant Tests of a Unit Root," Discussion Papers, Department of Economics, University of York, number 05/03.
• Joaquim J.S. Ramalho & Richard J. Smith, 2005, "Goodness of Fit Tests for Moment Condition Models," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 5_2005.
• Joaquim J.S. Ramalho & Esmeralda A. Ramalho, 2005, "Two-step Empirical Likelihood Estimation under Stratified Sampling when Aggregate Information is Available," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 6_2005.

Report NEP-ECM-2005-04-16

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: