Report NEP-ECM-2010-10-23

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:

• Dennis Kristensen & Anders Rahbek, 2010, "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-68, Jan.
• Shin Kanaya & Dennis Kristensen, 2010, "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-67, Jan.
• D. F. Benoit & D. Van Den Poel, 2010, "Binary quantile regression: A Bayesian approach based on the asymmetric Laplace density," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 10/662, Aug.
• Olivier Ledoit & Michael Wolf, 2010, "Robust performance hypothesis testing with the variance," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 516, Oct.
• Landajo, Manuel & Presno, María José, 2010, "Nonparametric pseudo-Lagrange multiplier stationarity testing," MPRA Paper, University Library of Munich, Germany, number 25659, Oct.
• Olivier Ledoit & Michael Wolf, 2011, "Nonlinear shrinkage estimation of large-dimensional covariance matrices," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 515, Dec.
• Leslie G. Godrey, 2010, "Robust Nonnested Testing for Ordinary Least Squares Regression When Some of the Regressors are Lagged Dependent Variables," Discussion Papers, Department of Economics, University of York, number 10/22, Oct.
• Baltagi, Badi H. & Bresson, Georges, 2010, "Maximum Likelihood Estimation and Lagrange Multiplier Tests for Panel Seemingly Unrelated Regressions with Spatial Lag and Spatial Errors: An Application to Hedonic Housing Prices in Paris," IZA Discussion Papers, Institute of Labor Economics (IZA), number 5227, Sep.
• Item repec:hum:wpaper:sfb649dp2010-050 is not listed on IDEAS anymore

• Tatiana V. Komarova & Thomas A. Severini & Elie Tamer, 2010, "Quantile uncorrelation and instrumental regressions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP26/10, Sep.
• Shimotsu, Katsumi & 下津, 克己, 2010, "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2010-11, Sep.
• Arie Beresteanu & Ilya Molchanov & Francesca Molinari, 2010, "Sharp identification regions in models with convex moment predictions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP25/10, Sep.
• Item repec:hal:wpaper:hal-00525740_v1 is not listed on IDEAS anymore

• Item repec:dgr:kubcen:2010107 is not listed on IDEAS anymore

• R. Kruse & M. Fr Mmel & L. Menkhoff & P. Sibbertsen, 2010, "What do we know about real exchange rate nonlinearities?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 10/667, Sep.
• Andrzej Jarosz, 2010, "Hermitian and non-Hermitian covariance estimators for multivariate Gaussian and non-Gaussian assets from random matrix theory," Papers, arXiv.org, number 1010.2981, Oct, revised May 2012.
• Item repec:vpi:wpaper:e07-23 is not listed on IDEAS anymore

• Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese, 2009, "Estimating Value-at-Risk (VaR) using TiVEx-POT Models," MPRA Paper, University Library of Munich, Germany, number 25772, Dec.
• Fornari, Fabio & Lemke, Wolfgang, 2010, "Predicting recession probabilities with financial variables over multiple horizons," Working Paper Series, European Central Bank, number 1255, Oct.
• Nikolai Dokuchaev, 2010, "On detecting the dependence of time series," Papers, arXiv.org, number 1010.2576, Oct.
• K. De Witte & M. Verschelde, 2010, "Estimating and explaining efficiency in a multilevel setting: A robust two-stage approach," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 10/657, Jul.
• Antonio Bassanetti & Michele Caivano & Alberto Locarno, 2010, "Modelling Italian potential output and the output gap," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 771, Sep.
• Marina Theodosiou, 2010, "Calendar Time Sampling of High Frequency Financial Asset Price and the Verdict on Jumps," Working Papers, Central Bank of Cyprus, number 2010-7, Sep.
• Item repec:dgr:eureir:1765020937 is not listed on IDEAS anymore

• Item repec:hal:wpaper:hal-00526295_v1 is not listed on IDEAS anymore

• Richard Blundell & Rosa Matzkin, 2010, "Conditions for the existence of control functions in nonseparable simultaneous equations models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP28/10, Sep.
• Hanming Fang & Yang Wang, 2010, "Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting, with an Application to Mammography Decisions," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 10-033, Oct.
• Steven F. Koch, 2010, "Fractional Multinomial Response Models With An Application To Expenditure Shares," Working Papers, University of Pretoria, Department of Economics, number 201021, Oct.
• L. Spadafora & G. P. Berman & F. Borgonovi, 2010, "Do your volatility smiles take care of extreme events?," Papers, arXiv.org, number 1010.2184, Oct.
• Carolyn Heinrich & Alessandro Maffioli & Gonzalo Vázquez, 2010, "A Primer for Applying Propensity-Score Matching," SPD Working Papers, Inter-American Development Bank, Office of Strategic Planning and Development Effectiveness (SPD), number 1005, Aug.

Report NEP-ECM-2010-10-23

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: