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Report NEP-ECM-2008-04-15
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:
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008, "Testing fractional order of long memory processes: 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 b08012, Feb, DOI: 10.1080/03610911003646381.
- Badi H. Baltagi & Long Liu, 2008, "Testing for Random Effects and Spatial Lag Dependence in Panel Data Models," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 102, Mar.
- Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2008, "Change in persistence tests for panels: An update and some new results," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp08043, Mar.
- Dimitrios Thomakos, 2008, "Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration," Working Papers, University of Peloponnese, Department of Economics, number 0024.
- Chun Liu & John M Maheu, 2008, "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers, University of Toronto, Department of Economics, number tecipa-313, Apr.
- Dimitrios Thomakos, 2008, "A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift," Working Papers, University of Peloponnese, Department of Economics, number 0025.
- Item repec:hum:wpaper:sfb649dp2008-027 is not listed on IDEAS anymore
- Lönnbark, Carl, 2008, "A Corrected Value-at-Risk Predictor," Umeå Economic Studies, Umeå University, Department of Economics, number 734, Mar.
- Abdou Ka Diongue & Dominique Guegan, 2008, "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08013, Feb.
- Qian Chen & David E. Giles, 2008, "Finite-Sample Moments of the MLE for the Binary Logit Model," Econometrics Working Papers, Department of Economics, University of Victoria, number 0801, Feb.
- Sarantis Tsiaplias & Chew Lian Chua, 2008, "Forecasting Australian Macroeconomic Variables Using a Large Dataset," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2008n04, Feb.
- Elmar Mertens, 2008, "Are Spectral Estimators Useful for Implementing Long-Run Restrictions in SVARs?," Working Papers, Swiss National Bank, Study Center Gerzensee, number 08.01, Mar.
- Michael Greenacre, 2008, "Dynamic graphics of parametrically linked multivariate methods used in compositional data analysis," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1082, Apr.
- Chollete, Loran & Heinen, Andreas & Valdesogo, Alfonso, 2008, "Modeling International Financial Returns with a Multivariate Regime Switching Copula," MPRA Paper, University Library of Munich, Germany, number 8114, Feb.
- Heckman, James J., 2008, "Econometric Causality," IZA Discussion Papers, IZA Network @ LISER, number 3425, Mar.
- Jing Zhang & Dominique Guegan, 2008, "Pricing bivariate option under GARCH processes with time-varying copula," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08015, Feb, DOI: 10.1016/j.insmatheco.2008.02.003.
- Bente Halvorsen & Bodil M. Larsen, 2008, "The Role of Heterogeneous Demand for Temporal and Structural Aggregation Bias," Discussion Papers, Statistics Norway, Research Department, number 537, Apr.