Report NEP-ECM-2006-04-01This 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.
The following items were announced in this report:
- Jeff Racine & James G. MacKinnon, 2006. "Inference via kernel smoothing of bootstrap P values," Working Papers 1054, Queen's University, Department of Economics.
- Donald W.K. Andrews & Gustavo Soares, 2006. "Rank Tests for Instrumental Variables Regression with Weak Instruments," Cowles Foundation Discussion Papers 1564, Cowles Foundation for Research in Economics, Yale University.
- Item repec:dgr:kubcen:200620 is not listed on IDEAS anymore
- Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City.
- Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology.
- Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford.
- Massimiliano Marcellino & George Kapetanios, 2006. "Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation," Working Papers 306, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
- Andersson, Martin & Gråsjö, Urban, 2006. "On the specification of regression models with spatial dependence - an application of the accessibility concept," Working Paper Series in Economics and Institutions of Innovation 51, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
- Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation," Stan Hurn Discussion Papers 2006-01, School of Economics and Finance, Queensland University of Technology.
- Item repec:dgr:kubcen:200615 is not listed on IDEAS anymore
- Jean-Philippe Bouchaud & Laurent Laloux & M. Augusta Miceli & Marc Potters, 2005. "Large dimension forecasting models and random singular value spectra," Science & Finance (CFM) working paper archive 500066, Science & Finance, Capital Fund Management.
- Lisa Borland & Jean-Philippe Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Science & Finance (CFM) working paper archive 500059, Science & Finance, Capital Fund Management.
- James Andreoni & William T. Harbaugh, 2006. "Power Indices for Revealed Preference Tests," Levine's Bibliography 122247000000001257, UCLA Department of Economics.
- Item repec:umc:wpaper:0604 is not listed on IDEAS anymore
- Item repec:dgr:kubcen:200619 is not listed on IDEAS anymore
- Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
- Miguel Segoviano, 2006. "Consistent Information Multivariate Density Optimizing Methodology," FMG Discussion Papers dp557, Financial Markets Group.