Report NEP-ECM-2010-04-17

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:

• Stefan Hoderlein, 2009, "Endogenous semiparametric binary choice models with heteroscedasticity," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP34/09, Dec.
• Markus Jochmann & Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2009, "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," Working Papers, University of Strathclyde Business School, Department of Economics, number 0919, Oct.
• Yonghong An & Yingyao Hu, 2009, "Well-posedness of measurement error models for self-reported data," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP35/09, Dec.
• Hrishikesh D. Vinod, 2010, "A New Solution to Time Series Inference in Spurious Regression Problems," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2010-01.
• MOON, H.R. & PERRON, Benoit, 2010, "Beyond Panel Unit Root Tests : Using Multiple Testing to Determine the Non-Stationarity Properties of Individual Series in a Panel," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 10-2010.
• José Luis Aznarte & Marcelo Cunha Medeiros & José Manuel Benítez Sánchez, 2010, "Linearity Testing Against a Fuzzy Rule-based Model," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 566, Mar.
• Jouchi Nakajima & Yasuhiro Omori, 2010, "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd09-124, Mar.
• Michael McAleer & Marcelo Cunha Medeiros, 2010, "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 568, Mar.
• Chunrong Ai & Xiaohong Chen, 2009, "Semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP28/09, Oct.
• Hrishikesh D. Vinod, 2010, "GMM and OLS Estimation and Inference for New Keynesian Phillips Curve," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2010-02.
• Daniel Preve & Marcelo Cunha Medeiros, 2010, "Linear Programming-Based Estimators in Simple Linear Regression," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 567, Mar.
• Davide Ferrari & Sandra Paterlini, 2010, "Efficient and robust estimation for financial returns: an approach based on q-entropy," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 041, Feb.
• Adam Rosen, 2009, "Set identification via quantile restrictions in short panels," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP26/09, Sep.
• Brendan P.M. McCabe & Gael Martin & Keith Freeland, 2010, "A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/10, Feb.
• Sokbae (Simon) Lee & Yoon-Jae Whang, 2009, "Nonparametric tests of conditional treatment effects," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP36/09, Dec.
• Cartea, Álvaro & Karyampas, Dimitrios, 2009, "Volatility and covariation of financial assets: a high-frequency analysis," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb097609, Dec.
• H. F. Coronel-Brizio & A. R. Hernandez-Montoya, 2010, "The Anderson-Darling test of fit for the power law distribution from left censored samples," Papers, arXiv.org, number 1004.0417, Apr.
• Hacker, Scott & Hatemi-J, Abdulnasser, 2010, "The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 214, Feb.
• Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010, "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 704, Mar.
• Andrew Chesher, 2009, "Single equation endogenous binary reponse models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP23/09, Aug.
• Koji, Miyawaki & Yasuhiro Omori & Akira Hibiki, 2010, "Bayesian Estimation of Demand Functions under Block-Rate Pricing," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-712, Jan.
• Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009, "Underidentification?," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP24/09, Sep.
• Arie Beresteanu & Ilya Molchanov & Francesca Molinari, 2009, "Sharp identification regions in models with convex predictions: games, individual choice, and incomplete data," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP27/09, Oct.
• Tatsuya Kubokawa, 2010, "Minimax Estimation of Linear Combinations of Restricted Location Parameters," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-723, Mar.
• Erich Battistin & Andrew Chesher, 2009, "Treatment effect estimation with covariate measurement error," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP25/09, Sep.
• Item repec:hum:wpaper:sfb649dp2010-009 is not listed on IDEAS anymore

• Item repec:mis:wpaper:20090701 is not listed on IDEAS anymore

• Artem Prokhorov, 2010, "Second Order Bias of Quasi-MLE for Covariance Structure Models," Working Papers, Concordia University, Department of Economics, number 10001, Jan.
• Stephen Hall & P.A.V.B. Swamy & George S. Tavlas, 2009, "The Nonexistence of Instrumental Variables," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 09/16, Sep.
• Francesco Battaglia & Mattheos K. Protopapas, 2010, "Multi-regime models for nonlinear nonstationary time series," Working Papers, COMISEF, number 026, Jan.
• Gianluca Moretti & Giulio Nicoletti, 2010, "Estimating DSGE models with unknown data persistence," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 750, Mar.
• Item repec:dgr:eureir:1765017523 is not listed on IDEAS anymore

• Hacker, Scott, 2010, "The Effectiveness of Information Criteria in Determining Unit Root and Trend Status," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 213, Feb.
• Stephen Hall & Sahar S. Qaqeesh, 2009, "The Behaviour of Dickey Fuller test in the case of noisy data: to what extent we can trust the outcome," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 09/18, Sep.
• Gaurav Ghosh & Fernando Carriazo, 2009, "A Comparison of Three Methods of Estimation in the Context of Spatial Modeling," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 9/2009, Nov.
• Ivan Savin & Peter Winker, 2010, "Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance," Working Papers, COMISEF, number 027, Feb.
• Toru Kitagawa, 2009, "Identification region of the potential outcome distributions under instrument independence," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP30/09, Oct.
• Markus Jochmann, 2010, "Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach," Working Paper series, Rimini Centre for Economic Analysis, number 03_10, Jan.
• Hacker, R. Scott & Hatemi-J, Abdulnasser, 2010, "A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 223, Apr.
• Andrew Chesher & Konrad Smolinski, 2009, "IV models of ordered choice," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP37/09, Dec.
• Item repec:xrp:wpaper:xreap2010-4 is not listed on IDEAS anymore

• Stefan Hoderlein & Halbert White, 2009, "Nonparametric identification in nonseparable panel data models with generalized fixed effects," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP33/09, Dec.
• Victor Chernozhukov & Ivan Fernandez-Val & Whitney K. Newey, 2009, "Quantile and average effects in nonseparable panel models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP29/09, Oct.
• Aleksey Tetenov, 2009, "Statistical Treatment Choice Based on Asymmetric Minimax Regret Criteria," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 119.
• Item repec:hum:wpaper:sfb649dp2010-015 is not listed on IDEAS anymore

• K. W. De Bock & K. Coussement & D. Van Den Poel & -, 2009, "Ensemble classification based on generalized additive models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 09/625, Dec.
• Christian de Peretti & Carole Siani & Mario Cerrato, 2010, "A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates," Working Papers, Business School - Economics, University of Glasgow, number 2010_05, Mar.
• Bill Russell & Anindya Banerjee & Issam Malki & Natalia Ponomareva, 2010, "A Multiple Break Panel Approach To Estimating United States Phillips Curves," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 232, Apr.
• Grané Chávez, Aurea & Veiga, Helena, 2010, "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws100502, Jan.
• Item repec:dgr:eureir:1765018637 is not listed on IDEAS anymore

• Iqbal Syed, 2010, "Consistency of Hedonic Price Indexes with Unobserved Characteristics," Discussion Papers, School of Economics, The University of New South Wales, number 2010-03, Jan.

Report NEP-ECM-2010-04-17

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: