## Report NEP-ECM-2008-10-28

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 Twitter.

Other reports in NEP-ECM

The following items were announced in this report:

- Anthony W. Lynch & Jessica A. Wachter, 2008.
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**Using Samples of Unequal Length in Generalized Method of Moments Estimation**," NBER Working Papers 14411, National Bureau of Economic Research, Inc. - Alain Guay & Jean-Francois Lamarche, 2005.
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**The Information Content of Implied Probabilities to Detect Structural Change**," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008. - Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008.
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**Copula-Based Nonlinear Quantile Autoregression**," Boston College Working Papers in Economics 691, Boston College Department of Economics. - Luiza Badin & Cinzia Daraio & Léopold Simar, 2008.
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**Optimal Bandwidth Selection for Conditional Efficiency Measures: a Data-driven Approach**," LEM Papers Series 2008/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. - Item repec:esx:essedp:661 is not listed on IDEAS anymore
- Daisuke Nagakura, 2008.
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**How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models**," IMES Discussion Paper Series 08-E-24, Institute for Monetary and Economic Studies, Bank of Japan. - Harvey, A., 2008.
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**Dynamic distributions and changing copulas**," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge. - Aviv Nevo & Adam M. Rosen, 2008.
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**Identification with Imperfect Instruments**," NBER Working Papers 14434, National Bureau of Economic Research, Inc. - Hugo Gerard & Kristoffer Nimark, 2008.
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**Combining multivariate density forecasts using predictive criteria**," Economics Working Papers 1117, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008. - Harvey, A. & Chakravarty, T., 2008.
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**Beta-t-(E)GARCH**," Cambridge Working Papers in Economics 0840, Faculty of Economics, University of Cambridge. - Neocleous, Tereza & Portnoy, Stephen, 2008.
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**A Partially Linear Censored Quantile Regression Model for Unemployment Duration**," IRISS Working Paper Series 2008-07, IRISS at CEPS/INSTEAD. - Richard M. Bittman & Joseph P. Romano & Carlos Vallarino & Michael Wolf, 2008.
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**Optimal testing of multiple hypotheses with common effect direction**," IEW - Working Papers 307, Institute for Empirical Research in Economics - University of Zurich. - Stanislav Anatolyev & Grigory Kosenok, 2011.
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**Sequential Testing with Uniformly Distributed Size**," Working Papers w0123, Center for Economic and Financial Research (CEFIR). - Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2008.
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**Forecasting Exchange Rates with a Large Bayesian VAR**," Working Papers 634, Queen Mary University of London, School of Economics and Finance. - Dominique Guégan & Justin Leroux, 2008.
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**Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems**," Cahiers de recherche 08-10, HEC Montréal, Institut d'économie appliquée. - Busetti, F. & Harvey, A., 2008.
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**When is a copula constant? A test for changing relationships**," Cambridge Working Papers in Economics 0841, Faculty of Economics, University of Cambridge. - Dardanoni, V & Li Donni, P, 2008.
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**Testing For Asymmetric Information In Insurance Markets With Unobservable Types**," Health, Econometrics and Data Group (HEDG) Working Papers 08/26, HEDG, c/o Department of Economics, University of York. - Francis X. Diebold & Georg H. Strasser, 2008.
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**On the Correlation Structure of Microstructure Noise in Theory and Practice**," PIER Working Paper Archive 08-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. - Mustapha Belkhouja & Imene Mootamri & Mohamed Boutahar, 2008.
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**Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model**," Working Papers halshs-00331986, HAL. - Oliver Blaskowitz & Helmut Herwartz, 2008.
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**A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure**," SFB 649 Discussion Papers SFB649DP2008-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - In Choi & Eiji Kurozumi, 2008.
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**Model Selection Criteria for the Leads-and-Lags Cointegrating Regression**," Global COE Hi-Stat Discussion Paper Series gd08-006, Institute of Economic Research, Hitotsubashi University. - V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008.
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**Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?**," NBER Working Papers 14430, National Bureau of Economic Research, Inc. - Mario Cerrato & Christian de Peretti & Chris Stewart, 2008.
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**Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries**," Working Papers 2008_27, Business School - Economics, University of Glasgow. - Greg Hannsgen, 2008.
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**Do the Innovations in a Monetary VAR Have Finite Variances?**," Economics Working Paper Archive wp_546, Levy Economics Institute. - Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2008.
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**Sector classification through non-Gaussian similarity**," Working Papers CEB 08-032.RS, ULB -- Universite Libre de Bruxelles. - Konstantopoulos, Spyros, 2008.
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**Incorporating Cost in Power Analysis for Three-Level Cluster Randomized Designs**," IZA Discussion Papers 3753, Institute for the Study of Labor (IZA).