Report NEP-ECM-2007-11-24

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:

• Xiaohong Chen & Yingyao Hu & Arthur Lewbel, 2007, "Nonparametric identification and estimation of nonclassical errors-in-variables models without additional information," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP18/07, Aug.
• Jerry Hausman & Whitney K. Newey & Tiemen M. Woutersen & John Chao & Norman Swanson, 2007, "Instrumental variable estimation with heteroskedasticity and many instruments," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP22/07, Sep.
• Kuswanto, Heri & Sibbertsen, Philipp, 2007, "Can we distinguish between common nonlinear time series models and long memory?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-380, Nov.
• Xiaohong Chen & Yingyao Hu & Arthur Lewbel, 2007, "Nonparametric identification of regression models containing a misclassified dichotomous regressor without instruments," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP17/07, Aug.
• Muhammad Akram & Rob J. Hyndman & J. Keith Ord, 2007, "Non-linear exponential smoothing and positive data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/07, Nov.
• Sibbertsen, Philipp & Kruse, Robinson, 2007, "Testing for a break in persistence under long-range dependencies," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-381, Nov.
• Christian Hansen & James B. McDonald & Whitney K. Newey, 2007, "Instrumental variables estimation with flexible distribution," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP21/07, Aug.
• Giannone, Domenico & D’Agostino, Antonello, 2007, "Comparing Alternative Predictors Based on Large-Panel Factor Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6564, Nov.
• Villani, Mattias & Kohn, Robert & Giordani, Paolo, 2007, "Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 211, Sep.
• Yingyao Hu & Arthur Lewbel & Susanne M. Schennach, 2007, "Nonparametric identification of the classical errors-in-variables model without side information," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP14/07, Jul.
• Xiaohong Chen & Markus Reiss, 2007, "On rate optimality for ill-posed inverse problems in econometrics," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP20/07, Sep.
• Thomas A. Severini & Gautam Tripathi, 2007, "Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP13/07, May.
• Nakatani, Tomoaki & Teräsvirta, Timo, 2007, "Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 675, Oct, revised 14 Feb 2008.
• Jaap Abbring, 2007, "Mixed hitting-time models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP15/07, Jul.
• Alexandre Belloni & Victor Chernozhukov, 2007, "On the computational complexity of MCMC-based estimators in large samples," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP12/07, May.
• Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007, "Improving estimates of monotone functions by rearrangement," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP09/07, Apr.
• Sancetta, A., 2007, "Universality of Bayesian Predictions," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0755, Nov.
• Jerry Hausman & Randall Lewis & Konrad Menzel & Whitney K. Newey, 2007, "A reduced bias GMM-like estimator with reduced estimator dispersion," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP24/07, Sep.
• Kate Ho & Joy Ishii & Ariel Pakes & Jack Porter, 2007, "Moment inequalities and their application," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP16/07, Jul.
• Richard Spady, 2007, "Semiparametric methods for the measurement of latent attitudes and the estimation of their behavioural consequences," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP26/07, Nov.
• Francesco Audrino & Dominik Colagelo, 2007, "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-42, Nov.
• Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007, "Rearranging Edgeworth-Cornish-Fisher expansions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP19/07, Aug.
• Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007, "Quantile and probability curves without crossing," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP10/07, Apr.
• Hajo Holzmann & Sebastian Vollmer & Julian Weisbrod, 2007, "Twin Peaks or Three Components? - Analyzing the World\'s Cross-Country Distribution of Income," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 162, Sep.
• Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007, "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 905.
• Di Kuang & Bent Nielsen & J. P. Nielsen, 2007, "Identification of the age-period-cohort model and the extended chain ladder model," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2007-W05, 11.
• Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L., 2007, "Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts," MPRA Paper, University Library of Munich, Germany, number 5813, Oct.
• Konstantopoulos, Spyros, 2007, "A Comment on Variance Decomposition and Nesting Effects in Two- and Three-Level Designs," IZA Discussion Papers, Institute of Labor Economics (IZA), number 3178, Nov.
• Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007, "Modelling stochastic mortality for dependent lives," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 43.

Report NEP-ECM-2007-11-24

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: