Report NEP-ECM-2008-04-04This 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:
- Masato Ubukata & Kosuke Oya, 2008. "A Test for Dependence and Covariance Estimator of Market Microstructure Noise," Discussion Papers in Economics and Business 07-03-Rev.2, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
- Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2008. "A Shrinkage Instrumental Variable Estimator for Large Datasets," Working Papers 626, Queen Mary University of London, School of Economics and Finance.
- Jana Eklund & George Kapetanios, 2008. "A Review of Forecasting Techniques for Large Data Sets," Working Papers 625, Queen Mary University of London, School of Economics and Finance.
- Rodríguez, Alejandro & Ruiz, Esther, 2008. "Bootstrap prediction intervals in State Space models," DES - Working Papers. Statistics and Econometrics. WS ws081104, Universidad Carlos III de Madrid. Departamento de Estadística.
- George Kapetanios & Massimiliano Marcellino, 2008. "Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments," Working Papers 627, Queen Mary University of London, School of Economics and Finance.
- Christian Conrad & Menelaos Karanasos, 2008. "Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model," KOF Working papers 08-189, KOF Swiss Economic Institute, ETH Zurich.
- Wang, Mu-Chun, 2008. "Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment," Discussion Paper Series 1: Economic Studies 2008,04, Deutsche Bundesbank.
- I. Sulis & M. Porcu, 2008. "Assessing the Effectiveness of a Stochastic Regression Imputation Method for Ordered Categorical Data," Working Paper CRENoS 200804, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno".