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Report NEP-ECM-2008-02-16
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:
- Alain Guay & Florian Pelgrin, 2007, "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche, CIRPEE, number 0747.
- Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007, "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche, CIRPEE, number 0749.
- Fulvio Corsi & Francesco Audrino, 2008, "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-05, Jan.
- Fulvio Corsi & Francesco Audrino, 2008, "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-04, Jan.
- Abdou Ka Diongue & Dominique Guégan, 2008, "Estimation of k-factor GIGARCH process: a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08004, Jan, DOI: 10.1080/03610910802304994.
- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008, "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Economics Working Papers, European University Institute, number ECO2008/17.
- McCAUSLAND, William J. & MILLER, Shirley & PELLETIER, Denis, 2007, "A New Approach to Drawing States in State Space Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2007-06.
- Massimiliano Marcellino & Christian Schumacher, 2008, "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers, European University Institute, number ECO2008/16.
- Tucker S. McElroy & Thomas M. Trimbur, 2007, "Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2007-68.
- Ioannis Kasparis, 2008, "Functional Form Misspecification in Regressions with a Unit Root," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 2-2008, Feb.
- Anindya Banerjee & Massimiliano Marcellino, 2008, "Factor-augmented Error Correction Models," Economics Working Papers, European University Institute, number ECO2008/15.
- Dominique Guégan, 2008, "Effect of noise filtering on predictions: on the routes of chaos," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08008, Jan.
- E. Otranto, 2008, "Clustering Heteroskedastic Time Series by Model-Based Procedures," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200801.
- Travaglini, Guido, 2008, "Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes," MPRA Paper, University Library of Munich, Germany, number 7108, Feb.
- Lubos Pastor & Robert F. Stambaugh, 2008, "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers, National Bureau of Economic Research, Inc, number 13804, Feb.
- Elbers, Chris & Lanjouw, Peter & Leite, Phillippe George, 2008, "Brazil within Brazil : testing the poverty map methodology in Minas Gerais," Policy Research Working Paper Series, The World Bank, number 4513, Feb.
- Frisén, Marianne, 2008, "Introduction to financial surveillance," Research Reports, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law, number 2008:1, Feb.