Report NEP-ECM-2009-12-19

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Boubacar Mainassara, Yacouba, 2009, "Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper, University Library of Munich, Germany, number 18990, Dec.
• Esmeralda de Jesus Ratinho Lopes Arranhado Ramalho, 2009, "Covariate Measurement Error: Bias Reduction under Response-based Sampling," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2009_15.
• Item repec:fri:dqewps:wp0015 is not listed on IDEAS anymore

• Tim M Christensen & Stan Hurn & Adrian Pagan, 2009, "Detecting Common Dynamics in Transitory Components," NCER Working Paper Series, National Centre for Econometric Research, number 49, Nov.
• Wuertz, Diethelm & Katzgraber, Helmut, 2009, "Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test," MPRA Paper, University Library of Munich, Germany, number 19155, Dec.
• Emanuele Taufer & Nikolai Leonenko & Marco Bee, 2009, "Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models," DISA Working Papers, Department of Computer and Management Sciences, University of Trento, Italy, number 0907, Oct, revised 02 Dec 2009.
• Item repec:dgr:umamet:2009056 is not listed on IDEAS anymore

•  Wen-Jen Tsay, 2009, "Monitoring Structural Changes in Regression with Long Memory Processes," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 09-A009, Aug.
• Guillaume Horny & Picchio, M., 2009, "Identification of lagged duration dependence in multiple-spell competing risks models," Working papers, Banque de France, number 260.
• Gianluca Cubadda & Alain Hecq, 2009, "Testing for Common Autocorrelation in Data Rich Environments," CEIS Research Paper, Tor Vergata University, CEIS, number 153, Dec, revised 04 Dec 2009.
• Kosuke Oya, 2009, "Bias-Corrected Realized Variance under Dependent Microstructure Noise," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 09-39, Nov.
• Mehrhoff, Jens, 2009, "A solution to the problem of too many instruments in dynamic panel data GMM," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,31.
• Wen-Jen Tsay & Peng-Hsuan Ke, 2009, "A Simple Approximation for Bivariate Normal Integral Based on Error Function and its Application on Probit Model with Binary Endogenous Regressor," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 09-A011, Nov, revised Nov 2011.
• Wen-Jen Tsay & Cliff J. Huang & Tsu-Tan Fu & I-Lin Ho, 2009, "Maximum Likelihood Estimation of Censored Stochastic Frontier Models: An Application to the Three-Stage DEA Method," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 09-A003, Mar.
• Ida Wolden Bache & Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2009, "Combining VAR and DSGE forecast densities," Working Paper, Norges Bank, number 2009/23, Nov.
• Hans Manner & Johan Segers, 2009, "Tails of correlation mixtures of elliptical copulas," Papers, arXiv.org, number 0912.3516, Dec.
• Bell go, C. & Laurent Ferrara, 2009, "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers, Banque de France, number 259.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009, "Realized Volatility Risk," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-693, Dec.
• Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009, "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers, University of Pretoria, Department of Economics, number 200927, Dec.
• Robert Ślepaczuk & Grzegorz Zakrzewski, 2009, "High-Frequency and Model-Free Volatility Estimators," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2009-13.
• Martin Fukac, 2009, "Impulse Response Identification in DSGE Models," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2009/14, Dec.
• Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009, "Measuring output gap uncertainty," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2009/15, Dec.
• Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009, "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers, Center for Economic and Financial Research (CEFIR), number w0136, Nov.
• Kolasa, Marcin & Rubaszek, Michał & Skrzypczyński, Paweł, 2009, "Putting the New Keynesian DSGE model to the real-time forecasting test," Working Paper Series, European Central Bank, number 1110, Nov.
• Brice Franke & Michael Stolz, 2009, "A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances," Papers, arXiv.org, number 0912.1841, Dec.
• Li-Chun Zhang, 2009, "A unit-error theory for register-based household statistics," Discussion Papers, Statistics Norway, Research Department, number 598, Dec.
• Ángel de la Fuente, 2009, "A mixed splicing procedure for economic time series," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 796.09, Dec.
• Scott, David J & Würtz, Diethelm & Dong, Christine & Tran, Thanh Tam, 2009, "Moments of the generalized hyperbolic distribution," MPRA Paper, University Library of Munich, Germany, number 19081, Dec.
• Irmingard Eder & Claudia Kluppelberg, 2009, "The first passage event for sums of dependent L\'evy processes with applications to insurance risk," Papers, arXiv.org, number 0912.1925, Dec.
• Xiaoshan Chen & Terence C. Mills, 2009, "Measuring the Euro area output gap using multivariate unobserved components models containing phase shifts," Working Papers, Business School - Economics, University of Glasgow, number 2009_35, Nov, revised Jul 2010.
• Christian Meyer, 2009, "The Bivariate Normal Copula," Papers, arXiv.org, number 0912.2816, Dec.
• Engle Robert F. & Rangel José Gonzalo, 2009, "High and Low Frequency Correlations in Global Equity Markets," Working Papers, Banco de México, number 2009-17, Dec.