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Report NEP-ECM-2008-04-12
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:
- Victor Chernozhukov & Patrick Gagliardini & Olivier Scaillet, 2008, "Nonparametric Instrumental Variable Estimators of Structural Quantile Effects," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-03, Dec, revised Aug 2009.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008, "The ACR model: a multivariate dynamic mixture autoregression," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2008-11.
- Carnicero, José Antonio & Wiper, Michael Peter, 2008, "A semi-parametric model for circular data based on mixtures of beta distributions," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws081305, Mar.
- Giacomini, Raffaella & Rossi, Barbara, 2008, "Forecast Comparisons in Unstable Environments," Working Papers, Duke University, Department of Economics, number 08-04.
- Banerjee, Anindya & Marcellino, Massimiliano, 2008, "Factor-augmented Error Correction Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6707, Feb.
- Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2008, "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6706, Feb.
- Schumacher, Christian & Marcellino, Massimiliano, 2008, "Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6708, Feb.
- Alonso Fernández, Andrés Modesto & García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2008, "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws081406, Mar.
- Jeremy J. Nalewaik, 2008, "Lack of signal error (LoSE) and implications for OLS regression: measurement error for macro data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2008-15.
- Reichlin, Lucrezia & Camba-Mendez, Gonzalo & Angelini, Elena & Rünstler, Gerhard & Giannone, Domenico, 2008, "Short-term Forecasts of Euro Area GDP Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6746, Mar.
- Raymond Kan & Cesare Robotti, 2008, "The exact distribution of the Hansen-Jagannathan bound," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2008-09.
- Eric Jondeau, 2008, "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-06, Feb.
- M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008, "Forecasting economic and financial variables with global VARs," Staff Reports, Federal Reserve Bank of New York, number 317.