Report NEP-ECM-2011-04-23

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• David Dubois, 2011, "A Monte Carlo Analysis of the VAR-Based Indirect Inference Estimation of DSGE Models," CREPP Working Papers, Centre de Recherche en Economie Publique et de la Population (CREPP) (Research Center on Public and Population Economics) HEC-Management School, University of Liège, number 1104.
• Chun, So Yeon & Shapiro, Alexander & Uryasev, Stan, 2011, "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," MPRA Paper, University Library of Munich, Germany, number 30132, Apr.
• Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011, "Multiplicative Error Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2011_03, Feb, revised Apr 2011.
• Francisco J. Eransus & Alfonso Novales Cinca, 2011, "A statistical test for forecast evaluation under a discrete loss function," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-07.
• Eduardo Rossi & Paolo Santucci de Magistris, 2011, "Estimation of long memory in integrated variance," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-11, Apr.
• Leandro M. Magnusson & Sophocles Mavroeidis, 2011, "Identification Using Stability Restrictions," Working Papers, Tulane University, Department of Economics, number 1116, Jan.
• Koop, Gary & Pesaran, M. Hashem & Smith, Ron P., 2011, "On Identification of Bayesian DSGE Models," IZA Discussion Papers, Institute of Labor Economics (IZA), number 5638, Apr.
• Yong Song, 2011, "Modelling Regime Switching and Structural Breaks with an Infinite Dimension Markov Switching Model," Working Papers, University of Toronto, Department of Economics, number tecipa-427, Apr.
• Heckman, James J. & Pinto, Rodrigo & Shaikh, Azeem M. & Yavitz, Adam, 2011, "Inference with Imperfect Randomization: The Case of the Perry Preschool Program," IZA Discussion Papers, Institute of Labor Economics (IZA), number 5625, Apr.
• Alan Barreca & Melanie Guldi & Jason M. Lindo & Glen R. Waddell, 2010, "Running and Jumping Variables in RD Designs," Working Papers, Tulane University, Department of Economics, number 1001, Sep.
• Orth, Walter, 2010, "The predictive accuracy of credit ratings: Measurement and statistical inference," MPRA Paper, University Library of Munich, Germany, number 30148, Mar, revised 16 Feb 2011.
• Pablo Pincheira, 2011, "A Bunch of Models, a Bunch of Nulls and Inference About Predictive Ability," Working Papers Central Bank of Chile, Central Bank of Chile, number 607, Jan.
• Bruzda, Joanna, 2011, "On some problems in discrete wavelet analysis of bivariate spectra with an application to business cycle synchronization in the euro zone," Economics Discussion Papers, Kiel Institute for the World Economy, number 2011-5.
• Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano, 2011, "Classical time-varying FAVAR models - estimation, forecasting and structural analysis," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2011,04.
• Antonio Merlo & Xun Tang, 2010, "Identification and Estimation of Stochastic Bargaining Models, Third Version," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 11-008, Mar, revised 11 Mar 2011.
• Stephen Hall & P. A. V. B. Swamy & George S. Tavlas, 2011, "Generalized Cointegration: A New Concept with an Application to Health Expenditure and Health Outcomes," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 11/22, Mar.
• Modugno, Michele, 2011, "Nowcasting inflation using high frequency data," Working Paper Series, European Central Bank, number 1324, Apr.
• Torrado Robles, Nuria & Lillo Rodríguez, Rosa Elvira & Wiper, Michael Peter, 2011, "On stochastic properties between some ordered random variables," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws110603, Apr.
• Miguel A. Segoviano & Charles Goodhart, 2010, "Distress Dependence and Financial Stability," Working Papers Central Bank of Chile, Central Bank of Chile, number 569, Apr.
• Fuchs, Andreas, 2011, "Methodische Aspekte linearer Strukturgleichungsmodelle. Ein Vergleich von kovarianz- und varianzbasierten Kausalanalyseverfahren," Research Papers on Marketing Strategy, Julius-Maximilians-Universität Würzburg, Lehrstuhl für BWL und Marketing, number 2/2011.
• Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2011, "How Prediction Markets Can Save Event Studies," IZA Discussion Papers, Institute of Labor Economics (IZA), number 5640, Apr.

Report NEP-ECM-2011-04-23

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: