Report NEP-ECM-2008-06-27

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:

• Mark Podolskij & Daniel Ziggel, 2008, "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-22, May.
• Mark Podolskij & Mathias Vetter, 2007, "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-27, Sep.
• Mark Podolskij & Daniel Ziggel, 2008, "New tests for jumps: a threshold-based approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-34, Jun.
• Silja Kinnebrock & Mark Podolskij, 2008, "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-23, May.
• Michael Sørensen & Julie Lyng Forman, 2007, "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-28, Sep.
• Mark Podolskij & Mathias Vetter, 2008, "Bipower-type estimation in a noisy diffusion setting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-25, May.
• Kulan Ranasinghe & Mervyn J. Silvapulle, 2008, "Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/08, Jun.
• Mathias D. Cattaneo & Richard K. Crump & Michael Jansson, 2007, "Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-11, Jun.
• Per Frederiksen & Morten Ørregaard Nielsen, 2008, "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-35, Jun.
• Michael Sørensen, 2008, "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-18, Apr.
• Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008, "Inference regarding multiple structural changes in linear models estimated via two stage least squares," MPRA Paper, University Library of Munich, Germany, number 9251, Jun, revised 20 Jun 2008.
• Kortelainen, Mika, 2008, "Estimation of semiparametric stochastic frontiers under shape constraints with application to pollution generating technologies," MPRA Paper, University Library of Munich, Germany, number 9257, Jun.
• Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008, "Local polynomial Whittle estimation of perturbed fractional processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-29, Jun.
• Søren Johansen & Bent Nielsen, 2008, "An analysis of the indicator saturation estimator as a robust regression estimator," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-09, Feb.
• Carmen Broto & Esther Ruiz, 2008, "Testing for conditional heteroscedasticity in the components of inflation," Working Papers, Banco de España, number 0812, Jun.
• Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter, 2007, "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-43, Dec.
• Jens Perch Nielsen & Carsten Tanggaard & M.C. Jones, 2007, "Local Linear Density Estimation for Filtered Survival Data, with Bias Correction," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-13, Jun.
• Michael Jansson, 2007, "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-12, Jun.
• Michael Sørensen, 2008, "Efficient estimation for ergodic diffusions sampled at high frequency," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-46, Jan.
• Anirban Basu & Daniel Polsky & Willard G. Manning, 2008, "Use of Propensity Scores in Non-Linear Response Models: The Case for Health Care Expenditures," NBER Working Papers, National Bureau of Economic Research, Inc, number 14086, Jun.
• Ingmar Nolte & Valeri Voev, 2008, "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-31, Jun.
• D. Kuang & Bent Nielsen & J. P. Nielsen, 2008, "Forecasting with the age-period-cohort model and the extended chain-ladder model," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W09, 06.
• Martin Møller Andreasen, 2008, "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-33, Jun.
• Dennis Kristensen & Anders Rahbek, 2007, "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-38, Nov.
• Frank S. Nielsen, 2008, "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-28, Jun.
• Almut Veraart, 2008, "Inference for the jump part of quadratic variation of Itô semimartingales," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-17, Mar.
• Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007, "Power variation for Gaussian processes with stationary increments," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-42, Dec.
• Elena Biewen & Sandra Nolte & Martin Rosemann, 2008, "Multiplicative Measurement Error and the Simulation Extrapolation Method," IAW Discussion Papers, Institut für Angewandte Wirtschaftsforschung (IAW), number 39, Jan.
• Minford, Patrick & Meenagh, David & Theodoridis, Konstantinos, 2008, "Testing a Model of the UK by the Method of Indirect Inference," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6849, Jun.
• Peter Reinhard Hansen, 2008, "Reduced-Rank Regression: A Useful Determinant Identity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-02, Jan.
• Alexandr Kuchynka, 2008, "Volatility extraction using the Kalman filter," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2008/10, Jun, revised Jun 2008.
• Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007, "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-21, Aug.
• Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2008, "Small Bandwidth Asymptotics for Density-Weighted Average Derivatives," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-24, May.
• Martin Burda & Roman Liesenfeld & Jean-Francois Richard, 2008, "Bayesian Analysis of a Probit Panel Data Model with Unobserved Individual Heterogeneity and Autocorrelated Errors," Working Papers, University of Toronto, Department of Economics, number tecipa-321, Jun.
• Olaf Posch, 2007, "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-23, Sep.
• Viktor Todorov & Tim Bollerslev, 2007, "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-15, Aug.
• James Davidson & Nigar Hashimzade, 2007, "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-45, Dec.
• Francois-Éric Racicot & Raymond Théoret, 2008, "Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp012008, Jan.
• Item repec:hum:wpaper:sfb649dp2008-043 is not listed on IDEAS anymore

• Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007, "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-22, Aug.
• Tim Bollerslev & Michael Gibson & Hao Zhou, 2007, "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-16, Aug.
• Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007, "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-10, Jun.
• Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007, "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-14, Aug.
• Martin Møller Andreasen, 2008, "Ensuring the Validity of the Micro Foundation in DSGE Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-26, May.
• Stefan Holst Bache & Christian M. Dahl & Johannes Tang, , "Headlights on tobacco road to low birthweight outcomes - Evidence from a battery of quantile regression estimators and a heterogeneous panelCreation-Date: 20080508," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-20.
• Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij & Jeannette H.C. Woerner, 2008, "Bipower variation for Gaussian processes with stationary increments," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-21, May.
• Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007, "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-09, Jun.
• Martin Møller Andreasen, 2008, "How to Maximize the Likelihood Function for a DSGE Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-32, Jun.
• Tim Bollerslev & Tzuo Hann Law & George Tauchen, 2007, "Risk, Jumps, and Diversification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-19, Aug.
• Tom Engsted & Stig V. Møller, 2008, "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-12, Feb.
• Jie Zhu, 2008, "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-14, Mar.
• J. Burez & D. Van Den Poel, 2008, "Handling class imbalance in customer churn prediction," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 08/517, May.
• Christopher R. Knittel & Konstantinos Metaxoglou, 2008, "Estimation of Random Coefficient Demand Models: Challenges, Difficulties and Warnings," NBER Working Papers, National Bureau of Economic Research, Inc, number 14080, Jun.
• Olav Bjerkholt, 2007, "Trygve Haavelmo’s visit in Aarhus 1938-39," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-40, Nov.

Report NEP-ECM-2008-06-27

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: