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Report NEP-ECM-2009-11-07
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:
- Herwartz, Helmut & Siedenburg, Florian, 2009, "A new approach to unit root testing," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2009-06.
- Isabel Casas & Irene Gijbels, 2009, "Unstable volatility functions: the break preserving local linear estimator," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-48, Oct.
- Tue Gørgens & Christopher L. Skeels & Allan H. Würtz, 2009, "Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-51, Oct.
- George Monokroussos, 2009, "A Classical MCMC Approach to the Estimation of Limited Dependent Variable Models of Time Series," Discussion Papers, University at Albany, SUNY, Department of Economics, number 09-07.
- Kyungchul Song, 2009, "Testing Predictive Ability and Power Robustification," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 09-035, Oct.
- Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley, 2009, "Bayesian Extreme Value Mixture Modelling for Estimating VaR," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 09/15, Oct.
- Knüppel, Malte, 2009, "Efficient estimation of forecast uncertainty based on recent forecast errors," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,28.
- Herwartz, Helmut & Siedenburg, Florian, 2009, "The effects of variance breaks on homogenous panel unit root tests," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2009-07.
- Torben G. Andersen & Viktor Todorov, 2009, "Realized Volatility and Multipower Variation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-49, May.
- Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2009, "The 'Puzzles' methodology: en route to Indirect Inference?," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/22, Nov.
- Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009, "What do we know about real exchange rate non-linearities?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-50, May.
- James W. Taylor & Ralph D. Snyder, 2009, "Forecasting Intraday Time Series with Multiple Seasonal Cycles Using Parsimonious Seasonal Exponential Smoothing," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/09, Oct.
- Kajal Lahiri & Fushang Liu, 2009, "On the Use of Density Forecasts to Identify Asymmetry in Forecasters' Loss Functions," Discussion Papers, University at Albany, SUNY, Department of Economics, number 09-03.
- Ulrich Kirchner, 2009, "Market Implied Probability Distributions and Bayesian Skew Estimation," Papers, arXiv.org, number 0911.0805, Nov.
- Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009, "Measuring Output Gap Uncertainty," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0909, Oct.
- Kyungchul Song, 2009, "Point Decisions for Interval-Identified Parameters," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 09-036, Sep.
- Beneki, Christina & Eeckels, Bruno & Leon, Costas, 2009, "Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Analysis Approach," MPRA Paper, University Library of Munich, Germany, number 18354, Sep.
- Julie Byrne & Denis Conniffe, 2009, "Efficient Estimation of the Non-linear Volatility and Growth Model," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n2030809.pdf.
- Kajal Lahiri & Xuguang Sheng, 2009, "Measuring Forecast Uncertainty by Disagreement: The Missing Link," Discussion Papers, University at Albany, SUNY, Department of Economics, number 09-06.
- Kajal Lahiri & Xuguang Sheng, 2009, "Learning and Heterogeneity in GDP and Inflation Forecasts," Discussion Papers, University at Albany, SUNY, Department of Economics, number 09-05.