Report NEP-ECM-2009-12-11

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:

• D'Haultfoeuille, Xavier & Maurel, Arnaud, 2009, "Inference on a Generalized Roy Model, with an Application to Schooling Decisions in France," IZA Discussion Papers, IZA Network @ LISER, number 4606, Dec.
• Li, Feng & Villani, Mattias & Kohn, Robert, 2009, "Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 233, Oct.
• Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2009, "Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors," Working Paper Series, European Central Bank, number 1115, Nov.
• Giordani, Paolo & Villani, Mattias, 2009, "Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 234, Oct.
• Yoonseok Lee & Ryo Okui, 2009, "A Specification Test for Instrumental Variables Regression with Many Instruments," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1741, Dec.
• Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009, "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2009_023.
• Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009, "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W12, Oct.
• Item repec:cte:wbrepe:wp097609 is not listed on IDEAS anymore

• Item repec:dgr:eureir:1765017303 is not listed on IDEAS anymore

• B. Nielsen, 2009, "Test for cointegration rank in general vector autoregressions," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W10, Sep.
• Neil Shephard & Kevin Sheppard, 2009, "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W03, Jul.
• Santos, André A. P. & Nogales, Francisco J. & Ruiz Ortega, Esther, 2009, "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws097222, Nov.
• Hahn, Jinyong & Hirano, Keisuke & Karlan, Dean, 2009, "Adaptive Experimental Design Using the Propensity Score," Working Papers, Yale University, Department of Economics, number 59, Jan.
• Jouni Sohkanen & B. Nielsen, 2009, "Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W09, Aug.
• Item repec:hal:cesptp:halshs-00344839_v2 is not listed on IDEAS anymore

• Daisuke Nagakura, 2009, "Inconsistency of a Unit Root Test against Stochastic Unit Root Processes," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 09-E-23, Oct.
• D.S. Poskitt, 2009, "Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/09, Nov.
• Carlos Sánchez-González & Tere M. García-Muñoz, 2009, "Recursive linear estimation for discrete time systems in the presence of different multiplicative observation noises," ThE Papers, Department of Economic Theory and Economic History of the University of Granada., number 09/09, Nov.
• Item repec:hal:cesptp:halshs-00431726_v2 is not listed on IDEAS anymore

• Nael Al-Anaswah & Bernd Wilfling, 2009, "Identification of speculative bubbles using state-space models with Markov-switching," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0309, Sep.
• D. S. Poskitt & Arivalzahan Sengarapillai, 2009, "Description Length and Dimensionality Reduction in Functional Data Analysis," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/09, Nov.
• Item repec:hal:cesptp:halshs-00348884_v2 is not listed on IDEAS anymore

• Item repec:hhs:bofrdp:2009_033 is not listed on IDEAS anymore

• Item repec:hhs:bofrdp:2009_032 is not listed on IDEAS anymore

• Item repec:hal:cesptp:halshs-00375713_v2 is not listed on IDEAS anymore

• Yoichi Okita & Wade D. Pfau & Giang Thanh Long, 2009, "A Stochastic Forecast Model For Japan'S Population," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 09-06, May.
• Stewart, Jay, 2009, "Tobit or Not Tobit?," IZA Discussion Papers, IZA Network @ LISER, number 4588, Nov.

Report NEP-ECM-2009-12-11

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: