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Report NEP-ECM-2011-03-05
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:
- Jean-Marie Dufour & Tarek Jouini, 2011, "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers, CIRANO, number 2011s-25, Feb.
- Elise Coudin & Jean-Marie Dufour, 2011, "Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors," CIRANO Working Papers, CIRANO, number 2011s-24, Feb.
- Rainer Dyckerhoff & Christophe Ley & Davy Paindaveine, 2014, "Depth-Based Runs Tests for bivariate Central Symmetry," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-03.
- Chafik Bouhaddioui & Jean-Marie Dufour, 2011, "Semiparametric Innovation-Based Tests of Orthogonality and Causality Between Two Infinite-Order Cointegrated Ceries with Application to Canada/US Monetary Interactions," CIRANO Working Papers, CIRANO, number 2011s-23, Feb.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011, "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 533, Feb.
- Taisuke Otsu, 2011, "Large Deviations of Generalized Method of Moments and Empirical Likelihood Estimators," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1783, Feb.
- Taisuke Otsu, 2011, "Moderate Deviations of Generalized Method of Moments and Empirical Likelihood Estimators," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1785, Feb.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2011, "An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices," CIRANO Working Papers, CIRANO, number 2011s-22, Feb.
- Sirkku Pauliina Ilmonen & Davy Paindaveine, 2011, "Semiparametrically Efficient Inference Based on Signed Ranks in Symmetric Independent Component Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011-003, Feb.
- Russo, Carlo & Sabbatini, Massimo, 2010, "Modelling Pricing Behavior with Weak A‐Priori Information: Exploratory Approach," 2010 International European Forum, February 8-12, 2010, Innsbruck-Igls, Austria, International European Forum on System Dynamics and Innovation in Food Networks, number 100478, Oct, DOI: 10.22004/ag.econ.100478.
- Livan, Giacomo & Alfarano, Simone & Scalas, Enrico, 2011, "The fine structure of spectral properties for random correlation matrices: an application to financial markets," MPRA Paper, University Library of Munich, Germany, number 28964, Feb.
- Knoth, Sven & Frisén, Marianne, 2011, "Minimax Optimality of CUSUM for an Autoregressive Model," Research Reports, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law, number 2011:4, Feb.
- Jennifer Castle & David Hendry & Nicholas W.P. Fawcett, 2011, "Forecasting breaks and forecasting during breaks," Economics Series Working Papers, University of Oxford, Department of Economics, number 535, Feb.
- Mario Forni & Luca Gambetti, 2011, "Testing for Sufficient Information in Structural VARs," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 863.11, Feb.
- Huffaker, Ray G., 2010, "Phase Space Reconstruction from Time Series Data: Where History Meets Theory," 2010 International European Forum, February 8-12, 2010, Innsbruck-Igls, Austria, International European Forum on System Dynamics and Innovation in Food Networks, number 100455, Oct, DOI: 10.22004/ag.econ.100455.
- Silvio M. Duarte Queiros & Evaldo M. F. Curado & Fernando D. Nobre, 2011, "Minding impacting events in a model of stochastic variance," Papers, arXiv.org, number 1102.4819, Feb, revised Feb 2011.
- Mazzeu, Joao & Otuki, Thiago & Da Silva, Sergio, 2011, "The canonical econophysics approach to the flash crash of May 6, 2010," MPRA Paper, University Library of Munich, Germany, number 29138.
- Xavier De Scheemaekere & Ariane Szafarz, 2011, "The Inference Fallacy From Bernoulli to Kolmogorov," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 11-006, Feb.
- Nicola Barban & Francesco Billari, 2011, "Classifying life course trajectories: A comparison of latent class and sequence analysis," Working Papers, "Carlo F. Dondena" Centre for Research on Social Dynamics (DONDENA), Università Commerciale Luigi Bocconi, number 041, Feb.
- Brissimis, Sophocles & Migiakis, Petros, 2010, "Inflation persistence and the rationality of inflation expectations," MPRA Paper, University Library of Munich, Germany, number 29052, Dec.
- Mario Forni & Luca Gambetti & Luca Sala, 2011, "No News in Business Cycles," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 862.11, Feb.