Report NEP-ECM-2005-08-13

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:

• Donald W.K. Andrews & James H. Stock, 2005, "Inference with Weak Instruments," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1530, Aug.
• Paulo M. M. Rodrigues, 2004, "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers, European University Institute, number ECO2004/31.
• Stephen Bond & Céline Nauges & Frank Windmeijer, 2005, "Unit roots: identification and testing in micro panels," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP07/05, Jul.
• Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004, "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers, European University Institute, number ECO2004/29.
• Jaroslava Hlouskova & Martin Wagner, 2005, "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Economics Working Papers, European University Institute, number ECO2005/05.
• Dietmar Bauer & Martin Wagner, 2005, "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Working Papers, European University Institute, number ECO2005/09.
• Rodney W. Strachan, 2005, "Bayesian Inference in Cointegrated I (2) Systems: a Generalisation of the Triangular Model," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 05/14, Jul.
• Gary Koop & Roberto León-González & Rodney W. Strachan, 2005, "Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 05/13, Jul, revised Apr 2006.
• Helmut Luetkepohl, 2004, "Forecasting with VARMA Models," Economics Working Papers, European University Institute, number ECO2004/25.
• Helmut Luetkepohl, 2005, "Structural Vector Autoregressive Analysis for Cointegrated Variables," Economics Working Papers, European University Institute, number ECO2005/02.
• Item repec:fiu:wpaper:0413 is not listed on IDEAS anymore

• N. Vijayamohanan Pillai, 2004, "Causality and error correction in Markov chain: Inflation in India revisited," Centre for Development Studies, Trivendrum Working Papers, Centre for Development Studies, Trivendrum, India, number 366, Dec.
• Catalin Starica & Stefano Herzel & Tomas Nord, 2005, "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics, University Library of Munich, Germany, number 0508003, Aug.
• Peter A. Zadrozny, 2005, "Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(p,q) Process," CESifo Working Paper Series, CESifo, number 1505.
• David E. Giles, 2005, "The Bias of Inequality Measures in Very Small Samples: Some Analytic Results," Econometrics Working Papers, Department of Economics, University of Victoria, number 0514, Aug.
• Martín de Diego, Isaac & Muñoz, Alberto & Moguerza, Javier M., 2005, "On the combination of kernels for support vector classifiers," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws054508, Jul.
• Elena Tchernykh & William H. Branson, 2005, "Regime-Switching Behavior of the Term Structure of Forward Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 11517, Aug.
• Patrick Marsh, , "Goodness of Fit Tests via Exponential Series Density Estimation," Discussion Papers, Department of Economics, University of York, number 05/24.
• Patrick Marsh, , "A Two-Sample Non-Parametric Likelihood Ratio Test," Discussion Papers, Department of Economics, University of York, number 05/25.
• Viktor Winschel, 2005, "Solving, Estimating and Selecting Nonlinear Dynamic Economic Models without the Curse of Dimensionality," GE, Growth, Math methods, University Library of Munich, Germany, number 0507014, Jul.
• Item repec:fiu:wpaper:0406 is not listed on IDEAS anymore

• Item repec:fiu:wpaper:0412 is not listed on IDEAS anymore

• Isabel Proenca & Joao Santos Silva, 2005, "Parametric and semiparametric specification tests for binary choice models: a comparative simulation study," Econometrics, University Library of Munich, Germany, number 0508008, Aug.
• Uppal, Raman & Wang, Tan & Garlappi, Lorenzo, 2005, "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5148, Jul.
• Wolfgang Haerdle & Enno MAMMEN & Isabel Proenca, 2005, "A Bootstrap Test for Single Index Models," Econometrics, University Library of Munich, Germany, number 0508007, Aug.
• Roger Klein & Francis Vella, 2005, "Estimating a class of triangular simultaneous equations models without exclusion restrictions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP08/05, Jul.
• Matthias Mohr, 2005, "A Trend-Cycle(-Season) Filter," Econometrics, University Library of Munich, Germany, number 0508004, Aug.

Report NEP-ECM-2005-08-13

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: