Report NEP-ECM-2010-09-25

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:

• Jiti Gao & Peter C. B. Phillips, 2010, "Semiparametric Estimation in Time Series of Simultaneous Equations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1769, Sep.
• Xiaoxia Shi & Peter C. B. Phillips, 2010, "Nonlinear Cointegrating Regression under Weak Identification," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1768, Sep.
• Juan Carlos Escanciano & David Jacho-Chavez & Arthur Lewbel, 2010, "Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing," Boston College Working Papers in Economics, Boston College Department of Economics, number 756, May, revised 31 Jan 2012.
• Kasahara, Hiroyuki & 笠原, 博幸 & Shimotsu, Katsumi & 下津, 克己, 2010, "Nonparametric Identification of Multivariate Mixtures," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2010-09, Aug.
• Sarafidis, Vasilis & Yamagata, Takashi, 2010, "Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors under Cross-sectional Dependence," MPRA Paper, University Library of Munich, Germany, number 25182, Feb.
• James G. MacKinnon & Morten Ørregaard Nielsen, 2010, "Numerical distribution functions of fractional unit root and cointegration tests," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-59, Aug.
• Massimiliano Caporin & Michael McAleer, 2010, "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/58, Sep.
• 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 707, Sep.
• Trenkler, Carsten & Weber, Enzo, 2010, "On the Identification of Codependent VAR and VEC Models," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 445, Sep.
• Sokbae Lee & Arthur Lewbel, 2010, "Nonparametric Identification of Accelerated Failure Time Competing Risks Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 755, Apr, revised 30 Jun 2011.
• Dobrislav Dobrev & Pawel J. Szerszen, 2010, "The information content of high-frequency data for estimating equity return models and forecasting risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2010-45.
• Di Kuang & Bent Nielsen & Jens Perch Nielsen, 2010, "Forecasting in an extended chain-ladder-type model," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2010-W05, Jun.
• Schiöler, Linus & Frisén, Marianne, 2010, "Multivariate outbreak detection," Research Reports, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law, number 2010:2, Sep.
• Trenkler, Carsten & Weber, Enzo, 2010, "Testing for Codependence of Non-Stationary Variables," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 446, Sep.
• Martin Feldkircher, 2010, "Forecast Combination and Bayesian Model Averaging - A Prior Sensitivity Analysis," Working Papers in Economics, University of Salzburg, number 2010-14, Sep.
• Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010, "Discrete-valued Levy processes and low latency financial econometrics," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2010-W04, Jun.
• Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2010, "Nonparametric Euler Equation Identification and Estimation," Boston College Working Papers in Economics, Boston College Department of Economics, number 757, Jun, revised 15 Mar 2020.
• Jeroen Rombouts & Lars Stentoft, 2010, "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CIRANO Working Papers, CIRANO, number 2010s-38, Sep.
• Yingying Dong & Arthur Lewbel, 2010, "Identifying the Effect of Changing the Policy Threshold in Regression Discontinuity Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 759, Aug, revised 15 Dec 2012.
• Tom Engsted & Bent Nielsen, 2010, "Testing for rational bubbles in a co-explosive vector autoregression," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2010-W06, Jun.
• Eric French & Christopher Taber, 2010, "Identification of models of the labor market," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2010-08.
• Bent Jesper Christensen & Paolo Santucci de Magistris, 2010, "Level Shifts in Volatility and the Implied-Realized Volatility Relation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-60, Sep.
• Areal, Francisco J & Balcombe, Kelvin & Tiffin, R, 2010, "Integrating spatial dependence into stochastic frontier analysis," MPRA Paper, University Library of Munich, Germany, number 24961.
• Steffen Andersen & John Fountain & Glenn W. Harrison & Arne Risa Hole & E. Elisabet Rutström, 2010, "Inferring Beliefs as Subjectively Uncertain Probabilities," Experimental Economics Center Working Paper Series, Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University, number 2010-14, Sep.
• Peter C. B. Phillips, 2010, "The Mysteries of Trend," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1771, Sep.

Report NEP-ECM-2010-09-25

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: