Printed from https://ideas.repec.org/n/nep-ecm/2009-01-03.html
Report NEP-ECM-2009-01-03
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:
- Andersson, Fredrik N. G., 2008, "Bandspectrum Cointegration," Working Papers, Lund University, Department of Economics, number 2008:18, Dec.
- Rossi, Eduardo & Spazzini, Filippo, 2008, "Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis," MPRA Paper, University Library of Munich, Germany, number 12260.
- Dinghai Xu & John Knight, 2008, "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Working Papers, University of Waterloo, Department of Economics, number 08006, Dec.
- Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008, "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 08-10.
- Christian Kascha & Francesco Ravazzolo, 2008, "Combining inflation density forecasts," Working Paper, Norges Bank, number 2008/22, Dec.
- Herwartz, Helmut, 2008, "Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-16.
- Dayton M. Lambert & Raymond J.G.M. Florax & Seong-Hoon Cho, 2008, "Bandwidth Selection For Spatial Hac And Other Robust Covariance Estimators," Working Papers, Purdue University, College of Agriculture, Department of Agricultural Economics, number 08-10.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008, "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-63, Dec.
- Item repec:dgr:umamet:2008051 is not listed on IDEAS anymore
- Arulampalam, Wiji & Stewart, Mark B., 2008, "Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 884.
- Dinghai Xu & John Knight & Tony S. Wirjanto, 2008, "Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"," Working Papers, University of Waterloo, Department of Economics, number 08007, Dec.
- Saraswata Chaudhuri & Eric Zivot, 2008, "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Working Papers, University of Washington, Department of Economics, number UWEC-2008-26, Dec.
- Yingyao Hu & Matthew Shum, 2008, "Identifying Dynamic Games with Serially-Correlated Unobservables," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 546, Oct.
- Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2008, "Time-Deformation Modeling Of Stock Returns Directed By Duration Processes," Working Papers, University of Waterloo, Department of Economics, number 08010, Dec.
- Büttner, Thomas & Rässler, Susanne, 2008, "Multiple imputation of right-censored wages in the German IAB Employment Sample considering heteroscedasticity," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 200844.
- Kirstin Hubrich & Kenneth D. West, 2008, "Forecast Evaluation of Small Nested Model Sets," NBER Working Papers, National Bureau of Economic Research, Inc, number 14601, Dec.
- Item repec:hum:wpaper:sfb649dp2008-069 is not listed on IDEAS anymore
- Artem Prokhorov, 2008, "On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models," Working Papers, Concordia University, Department of Economics, number 08004, May.
- Item repec:ecb:ecbwps:20080975 is not listed on IDEAS anymore
- Dinghai Xu & Tony S. Wirjanto, 2008, "An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility," Working Papers, University of Waterloo, Department of Economics, number 08008, Dec.
- Item repec:hal:journl:halshs-00349205_v1 is not listed on IDEAS anymore
- Knut Are Aastveit & Tørres G. Trovik, 2008, "Estimating the output gap in real time: A factor model approach," Working Paper, Norges Bank, number 2008/23, Dec.
- Bo E. Honore & Aureo de Paula, 2007, "Interdependent Durations, Second Version," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 08-044, Apr, revised 01 Nov 2008.
- Xun Tang, 2008, "Bounds on Revenue Distributions in Counterfactual Auctions with Reserve Prices," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 08-042, Sep.
- Adam Cagliarini & Mariano Kulish, 2008, "Solving Linear Rational Expectations Models with Predictable Structural Changes," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2008-10, Dec.
- Item repec:hal:journl:halshs-00348884_v1 is not listed on IDEAS anymore
- Francis Vella & Lídia Farré & Roger Klein, 2008, "A Parametric Control Function Approach to Estimating the Returns to Schooling in the Absence of Exclusion Restrictions: An Application to the NLSY," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2008-16, Oct.
- Theall, Katherine P. & Scribner, Richard & Lynch, Sara & Simonsen, Neal & Schonlau, Matthias & Carlin, Bradley & Cohen, Deborah, 2008, "Impact of Small Group Size on Neighborhood Influences in Multilevel Models," MPRA Paper, University Library of Munich, Germany, number 11648, Jul.
- Bretteville-Jensen, Anne Line & Jacobi, Liana, 2008, "Climbing the Drug Staircase: A Bayesian Analysis of the Initiation of Hard Drug Use," IZA Discussion Papers, IZA Network @ LISER, number 3879, Dec.
- Item repec:gla:glaewp:2008_33 is not listed on IDEAS anymore
- Item repec:knz:cofedp:0811 is not listed on IDEAS anymore