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 Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

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

• Luca RICCETTI, 2011, "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 355, Jan.
• Graziani, Rebecca & Keilman, Nico, 2010, "The sensitivity of the Scaled Model of Error with respect to the choice of the correlation parameters: A Simulation Study," Memorandum, Oslo University, Department of Economics, number 22/2010, Nov.
• David Stephen Pollock, 2010, "Statistical Signal Extraction and Filtering: Notes for the Ercim Tutorial, December 9th 2010," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 11/13, Dec.
• Pötscher, Benedikt M., 2011, "On the Order of Magnitude of Sums of Negative Powers of Integrated Processes," MPRA Paper, University Library of Munich, Germany, number 28287, Jan.

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 Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report: