Report NEP-ECM-2006-10-14

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:

• Pötscher, Benedikt M., 2006, "The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation," MPRA Paper, University Library of Munich, Germany, number 73, Mar, revised Jul 2006.
• Frank Windmeijer, 2006, "GMM for panel count data models," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 06/591, Oct.
• Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006, "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2006/25, Oct.
• Jun Yu & Renate Meyer, 2004, "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers, Singapore Management University, School of Economics, number 23-2004, Nov.
• Item repec:dgr:uvatin:20060078 is not listed on IDEAS anymore

• Richard G. Anderson & Hailong Qian & Robert H. Rasche, 2006, "Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators," Working Papers, Federal Reserve Bank of St. Louis, number 2006-050, DOI: 10.20955/wp.2006.050.
• Fabio C. Bagliano & Claudio Morana, 2006, "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 28.
• A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2006, "Robust Inference with Multi-way Clustering," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0327, Sep.
• Clive Bowsher & Roland Meeks, 2006, "High Dimensional Yield Curves: Models and Forecasting," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W12, Oct.
• Jason Allen, 2005, "Size Matters: Covariance Matrix Estimation Under The Alternative," Working Paper, Economics Department, Queen's University, number 1091, Aug.
• Patrick Marsh, 2006, "Data Driven Likelihood Ratio Tests for Goodness-of-Fit with Estimated Parameters," Discussion Papers, Department of Economics, University of York, number 06/20, Oct.
• B. da Silva Lopes, Artur C., 2005, "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper, University Library of Munich, Germany, number 125, Oct, revised May 2006.
• Soiliou Namoro & Wayne-Roy Gayle, 2006, "Estimation of a Nonlinear Panel Data Model with Predetermined Variables and Semiparametric Individual Effects," Working Paper, Department of Economics, University of Pittsburgh, number 251, Jan, revised Sep 2008.
• William T. Gavin & Kevin L. Kliesen, 2006, "Forecasting inflation and output: comparing data-rich models with simple rules," Working Papers, Federal Reserve Bank of St. Louis, number 2006-054, DOI: 10.20955/wp.2006.054.
• Woodcock, Simon & Benedetto, Gary, 2006, "Distribution-Preserving Statistical Disclosure Limitation," MPRA Paper, University Library of Munich, Germany, number 155, Sep.
• Mehmet Caner, 2006, "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Paper, Department of Economics, University of Pittsburgh, number 212, Jan, revised Jan 2006.
• Vargas, Gregorio A., 2006, "An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model," MPRA Paper, University Library of Munich, Germany, number 189, Jan, revised Aug 2006.
• Mehmet Caner, 2005, "Nearly Singular design in gmm and generalized empirical likelihood estimators," Working Paper, Department of Economics, University of Pittsburgh, number 211, Jan, revised Jan 2005.
• Patrick Marsh, 2006, "Constructing Optimal Tests on a Lagged Dependent Variable," Discussion Papers, Department of Economics, University of York, number 06/19, Oct.
• Mehmet Caner, 2006, "A lasso type gmm estimator," Working Paper, Department of Economics, University of Pittsburgh, number 210, Jan, revised Jan 2006.
• Item repec:pit:wpaper:252 is not listed on IDEAS anymore

• Guglielmo Maria Caporale & Christoph Hanck, 2006, "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series, CESifo, number 1811.
• Stan du Plessis, 2006, "The miracle of the Septuagint and the promise of data mining in economics," Working Papers, Stellenbosch University, Department of Economics, number 15/2006.
• Mehmet Caner, 2005, "Exponential Tilting With Weak Instruments," Working Paper, Department of Economics, University of Pittsburgh, number 208, Jan, revised Jan 2005.
• Mehmet Caner, 2005, "Higher Order Expansions in GMM with Nearly Weak and Many Nearly Weak Instruments," Working Paper, Department of Economics, University of Pittsburgh, number 209, Jan, revised Jan 2005.
• Patrick J. Kehoe, 2006, "How to advance theory with structural VARs: use the Sims-Cogley-Nason approach," Staff Report, Federal Reserve Bank of Minneapolis, number 379, DOI: 10.21034/sr.379.
• Mehmet Caner & Dan Berkowitz & Ying Fang, 2006, "Are Nearly Exogenous Instruments Reliable?," Working Paper, Department of Economics, University of Pittsburgh, number 207, Jan, revised Jan 2006.

Report NEP-ECM-2006-10-14

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: