Report NEP-ECM-2006-02-12

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Samuel Copt & Stephane Heritier, 2006. "Robust MM-Estimation and Inference in Mixed Linear Models," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2006.01, Institut d'Economie et Econométrie, Université de Genève.
• Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2005. "A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements," FAME Research Paper Series rp159, International Center for Financial Asset Management and Engineering.
• Timothy Halliday, 2006. "Identifying State Dependence in Non-Stationary Processes," Working Papers 200601, University of Hawaii at Manoa, Department of Economics.
• Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers ubs0504, University of Brescia, Department of Economics.
• Benko, Michal & Härdle, Wolfgang Karl & Kneip, Alois, 2006. "Common functional principal components," SFB 649 Discussion Papers 2006-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• James G. MacKinnon & Russell Davidson, 2006. "Bootstrap Inference In A Linear Equation Estimated By Instrumental Variables," Working Paper 1024, Economics Department, Queen's University.
• Stefan Boes, 2004. "Empirical Likelihood in Count Data Models: The Case of Endogenous Regressors," SOI - Working Papers 0404, Socioeconomic Institute - University of Zurich.
• Kazuhiko Hayakawa, 2006. "Efficient GMM Estimation of Dynamic Panel Data Models Where Large Heterogeneity May Be Present," Hi-Stat Discussion Paper Series d05-130, Institute of Economic Research, Hitotsubashi University.
• Giovanni Forchini, 2006. "The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation," Monash Econometrics and Business Statistics Working Papers 1/06, Monash University, Department of Econometrics and Business Statistics.
• Hiroyuki Kasahara & Katsumi Shimotsu, 2006. "Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models," University of Western Ontario, Departmental Research Report Series 20064, University of Western Ontario, Department of Economics.
• James G. MacKinnon, 2006. "Applications Of The Fast Double Bootstrap," Working Paper 1023, Economics Department, Queen's University.
• Manganelli, Simone, 2006. "A new theory of forecasting," Working Paper Series 0584, European Central Bank.
• Kreider, Brent & Pepper, John V., 2011. "Identification of Expected Outcomes in a Data Error Mixing Model with Multiplicative Mean Independence," Staff General Research Papers Archive 12496, Iowa State University, Department of Economics.
• Hendry, David & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
• Markku Lanne & Pentti Saikkonen, 2005. "Modeling Conditional Skewness in Stock Returns," Economics Working Papers ECO2005/14, European University Institute.
• Markku Lanne & Helmut Luetkepohl, 2005. "Structural Vector Autoregressions with Nonnormal Residuals," Economics Working Papers ECO2005/25, European University Institute.
• Kazuhiko Hayakawa, 2006. "The Asymptotic Properties of the System GMM Estimator in Dynamic Panel Data Models When Both N and T are Large," Hi-Stat Discussion Paper Series d05-129, Institute of Economic Research, Hitotsubashi University.
• Stefan Boes & Rainer Winkelmann, 2005. "Ordered Response Models," SOI - Working Papers 0507, Socioeconomic Institute - University of Zurich.
• Katy Streso & Francesco Lagona, 2005. "Hidden Markov random field and FRAME modelling for TCA-image analysis," MPIDR Working Papers WP-2005-032, Max Planck Institute for Demographic Research, Rostock, Germany.
• Brüggemann, Ralf & Härdle, Wolfgang Karl & Mungo, Julius & Trenkler, Carsten, 2006. "VAR modeling for dynamic semiparametric factors of volatility strings," SFB 649 Discussion Papers 2006-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Maxim S. Finkelstein & Veronica Esaulova, 2005. "Asymptotic behavior of mixture failure rates," MPIDR Working Papers WP-2005-023, Max Planck Institute for Demographic Research, Rostock, Germany.