## Report NEP-ECM-2011-01-30

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 Twitter.

Other reports in NEP-ECM

The following items were announced in this report:

- Vogelsang, Timothy J. & Wagner, Martin, 2011.
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**Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions**," Economics Series 263, Institute for Advanced Studies. - Baetschmann, Gregori & Staub, Kevin E. & Winkelmann, Rainer, 2011.
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**Consistent Estimation of the Fixed Effects Ordered Logit Model**," IZA Discussion Papers 5443, Institute for the Study of Labor (IZA). - Roxana Halbleib & Valeri Voev, 2011.
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**Forecasting Covariance Matrices: A Mixed Frequency Approach**," CREATES Research Papers 2011-03, Department of Economics and Business Economics, Aarhus University. - Ulrich K. Müller & James H. Stock, 2011.
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**Forecasts in a Slightly Misspecified Finite Order VAR**," NBER Working Papers 16714, National Bureau of Economic Research, Inc. - Morten Ã˜rregaard Nielsen, 2011.
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**Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models**," Working Papers 1259, Queen's University, Department of Economics. - Michael Sørensen, 2011.
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**Prediction-based estimating functions: review and new developments**," CREATES Research Papers 2011-05, Department of Economics and Business Economics, Aarhus University. - Roxana Halbleib, 2010.
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**A Note on Estimating Wishart Autoagressive Model**," Working Papers ECARES ECARES 2010-043, ULB -- Universite Libre de Bruxelles. - Buss, Ginters, 2011.
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**Asymmetric Baxter-King filter**," MPRA Paper 28176, University Library of Munich, Germany. - Chen, Pu, 2010.
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**A Grouped Factor Model**," MPRA Paper 28083, University Library of Munich, Germany, revised 11 Jan 2011. - David Stephen Pollock, 2011.
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**The Discrete–Continuous Correspondence for Frequency-Limited Arma Models and the Hazards of Oversampling**," Discussion Papers in Economics 11/14, Department of Economics, University of Leicester. - Liu, Shuangzhe & Polasek, Wolfgang & Sellner, Richard, 2011.
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**Sensitivity Analysis of SAR Estimators**," Economics Series 262, Institute for Advanced Studies. - Gianluca Cubadda & Umberto Triacca, 2011.
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**An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis**," CEIS Research Paper 184, Tor Vergata University, CEIS, revised 24 Jan 2011. - Mark Podolskij & Mathieu Rosenbaum, 2011.
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**Testing the local volatility assumption: a statistical approach**," CREATES Research Papers 2011-04, Department of Economics and Business Economics, Aarhus University. - Chao & Swanson & Hausman & Newey & Woutersen, 2010.
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**Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments**," Economics Working Paper Archive 567, The Johns Hopkins University,Department of Economics. - David Stephen Pollock, 2011.
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**Band-Limited Stochastic Processes in Discrete and Continuous Time**," Discussion Papers in Economics 11/11, Department of Economics, University of Leicester. - Jennifer Castle & David Hendry, 2011.
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**A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations**," Economics Series Working Papers 523, University of Oxford, Department of Economics. - Biørn, Erik, 2010.
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**Identifying Trend and Age Effects in Sickness Absence from Individual Data: Some Econometric Problems**," Memorandum 20/2010, Oslo University, Department of Economics. - Heinen, Florian & Kaufmann, Hendrik & Sibbertsen, Philipp, 2011.
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**The dynamics of real exchange rates - A reconsideration**," Hannover Economic Papers (HEP) dp-463, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät. - Roxana Halbleib & Valerie Voev, 2010.
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**Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors**," Working Papers ECARES ECARES 2010-041, ULB -- Universite Libre de Bruxelles. - David Stephen Pollock & Emi Mise, 2011.
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**Alternative Methods of Seasonal Adjustment**," Discussion Papers in Economics 11/12, Department of Economics, University of Leicester. - Sumru Altug & Baris Tan & Gozde Gencer, 2011.
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**Cyclical Dynamics of Industrial Production and Employment: Markov Chain-based Estimates and Tests**," Koç University-TUSIAD Economic Research Forum Working Papers 1101, Koc University-TUSIAD Economic Research Forum. - David Stephen Pollock, 2011.
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**Transfer Functions**," Discussion Papers in Economics 11/15, Department of Economics, University of Leicester. - Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011.
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**Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates**," Working Papers in Economics 11/03, University of Canterbury, Department of Economics and Finance. - Item repec:pra:mprapa:28195 is not listed on IDEAS anymore
- Luca RICCETTI, 2011.
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**A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis**," Working Papers 355, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali. - Graziani, Rebecca & Keilman, Nico, 2010.
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**The sensitivity of the Scaled Model of Error with respect to the choice of the correlation parameters: A Simulation Study**," Memorandum 22/2010, Oslo University, Department of Economics. - David Stephen Pollock, 2010.
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**Statistical Signal Extraction and Filtering: Notes for the Ercim Tutorial, December 9th 2010**," Discussion Papers in Economics 11/13, Department of Economics, University of Leicester. - Pötscher, Benedikt M., 2011.
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**On the Order of Magnitude of Sums of Negative Powers of Integrated Processes**," MPRA Paper 28287, University Library of Munich, Germany.