## Report NEP-ECM-2009-09-26

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.

Other reports in NEP-ECM

The following items were announced in this report:

- Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009.
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**A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality**," Cahiers de recherche 0927, CIRPEE. - Han Lin Shang & Rob J Hyndman, 2009.
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**Nonparametric time series forecasting with dynamic updating**," Monash Econometrics and Business Statistics Working Papers 8/09, Monash University, Department of Econometrics and Business Statistics. - Jing Li & Junsoo Lee, 2009.
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**ADL tests for threshold cointegration**," SDSU Working Papers in Progress 22009, South Dakota State University, Department of Economics. - Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009.
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**Modelling and Forecasting Noisy Realized Volatility**," CIRJE F-Series CIRJE-F-669, CIRJE, Faculty of Economics, University of Tokyo. - Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009.
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**Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models**," Economics Working Papers ECO2009/31, European University Institute. - Tetsuya Takaishi, 2009.
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**Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme**," Papers 0909.1478, arXiv.org. - Jan J. J. Groen & George Kapetanios, 2009.
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**Parsimonious estimation with many instruments**," Staff Reports 386, Federal Reserve Bank of New York. - Alain Guay & Emmanuel Guerre & Stepana Lazarova, 2009.
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**Adaptive Rate-Optimal Detection of Small Autocorrelation Coefficients**," Cahiers de recherche 0925, CIRPEE. - Alexander Kriwoluzky, 2009.
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**Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models**," Economics Working Papers ECO2009/29, European University Institute. - Shiqing Ling & Michael McAleer, 2009.
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**A General Asymptotic Theory for Time Series Models**," CIRJE F-Series CIRJE-F-670, CIRJE, Faculty of Economics, University of Tokyo. - Tetsuya Takaishi, 2009.
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**Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme**," Papers 0907.5276, arXiv.org. - Gilles Zumbach, 2009.
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**Inference on multivariate ARCH processes with large sizes**," Papers 0903.1531, arXiv.org. - Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009.
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**Multivariate Contemporaneous Threshold Autoregressive Models**," Department of Economics Working Papers 2009-03, Universidad Torcuato Di Tella. - Tetsuya Takaishi, 2009.
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**An Adaptive Markov Chain Monte Carlo Method for GARCH Model**," Papers 0901.0992, arXiv.org. - Westerlund, Joakim & Narayan, Paresh, 2009.
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**Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH**," Working Papers in Economics 379, University of Gothenburg, Department of Economics. - William T. Shaw & Jonathan McCabe, 2009.
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**Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space**," Papers 0903.1592, arXiv.org. - Tommaso Proietti, 2009.
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**The Multistep Beveridge-Nelson Decomposition**," EERI Research Paper Series EERI_RP_2009_24, Economics and Econometrics Research Institute (EERI), Brussels. - Jeroen V.K. Rombouts & Lars Stentoft, 2009.
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**Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models**," Cahiers de recherche 0926, CIRPEE. - Pavel V. Shevchenko & Grigory Temnov, 2009.
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**Modeling operational risk data reported above a time-varying threshold**," Papers 0904.4075, arXiv.org, revised Jul 2009. - Romuald Elie, 2009.
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**Double Kernel estimation of sensitivities**," Post-Print hal-00416449, HAL. - Hlouskova, Jaroslava & Wagner, Martin, 2009.
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**Finite Sample Correction Factors for Panel Cointegration Tests**," Economics Series 244, Institute for Advanced Studies. - Kiefer, Nicholas M., 2009.
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**The Maximum Entropy Distribution for Stochastically Ordered Random Variables with Fixed Marginals**," Working Papers 09-01, Cornell University, Center for Analytic Economics. - Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich, 2009.
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**Model uncertainty in claims reserving within Tweedie's compound Poisson models**," Papers 0904.1483, arXiv.org. - Adam Clements & Annastiina Silvennoinen, 2009.
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**On the economic benefit of utility based estimation of a volatility model**," NCER Working Paper Series 44, National Centre for Econometric Research. - Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009.
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**Contemporaneous-Threshold Smooth Transition GARCH Models**," Department of Economics Working Papers 2009-06, Universidad Torcuato Di Tella. - Romuald Elie, 2009.
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**Double Kernel estimation of sensitivities**," Papers 0909.2624, arXiv.org. - Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009.
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**Bootstrap Unit Root Tests for Nonlinear Threshold Models**," Economics Discussion Paper Series 0915, Economics, The University of Manchester. - Item repec:dgr:eureir:1765016709 is not listed on IDEAS anymore
- Pavel V. Shevchenko, 2009.
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**Implementing Loss Distribution Approach for Operational Risk**," Papers 0904.1805, arXiv.org, revised Jul 2009. - Item repec:arx:papers:0909.1490 is not listed on IDEAS anymore
- Choi, Hwan-sik & Kiefer, Nicholas M., 2009.
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**Geometry of the Log-Likelihood Ratio Statistic in Misspecified Models**," Working Papers 09-08, Cornell University, Center for Analytic Economics. - Dirk Tasche, 2009.
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**Estimating discriminatory power and PD curves when the number of defaults is small**," Papers 0905.3928, arXiv.org, revised Mar 2010. - L. Lin & Ren R. E & D. Sornette, 2009.
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**A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals**," Papers 0905.0128, arXiv.org. - Kei Takeuchi & Akimichi Takemura & Masayuki Kumon, 2009.
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**New procedures for testing whether stock price processes are martingales**," Papers 0907.3273, arXiv.org, revised Feb 2010. - Westerlund, Joakim & Costantini, Mauro & Narayan, Paresh & Popp, Stephan, 2009.
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**Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production**," Working Papers in Economics 377, University of Gothenburg, Department of Economics. - Stanley, T. D. & Jarrell, Stephen B. & Doucouliagos, Hristos, 2009.
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**Could it be better to discard 90% of the data? A statistical paradox**," Working Papers eco_2009_13, Deakin University, Department of Economics. - Suarez, Ronny, 2009.
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**Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances**," MPRA Paper 17482, University Library of Munich, Germany. - Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly, 2009.
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**Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates**," Papers 0904.2910, arXiv.org. - Fulvio Baldovin & Dario Bovina & Francesco Camana & Attilio L. Stella, 2009.
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**Modeling the non-Markovian, non-stationary scaling dynamics of financial markets**," Papers 0909.3244, arXiv.org, revised Sep 2010. - Jiří Witzany, 2009.
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**Estimating LGD Correlation**," Working Papers IES 2009/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2009. - Debdulal Mallick, 2009.
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**Marginal and Interaction Effects in Ordered Response Models**," EERI Research Paper Series EERI_RP_2009_22, Economics and Econometrics Research Institute (EERI), Brussels. - Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci, 2009.
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**Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics**," CFS Working Paper Series 2009/18, Center for Financial Studies. - Westerlund, Joakim & Breitung, Jörg, 2009.
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**Myths and Facts about Panel Unit Root Tests**," Working Papers in Economics 380, University of Gothenburg, Department of Economics.