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Report NEP-ECM-2011-10-09
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:
- Md Atikur Rahman Khan & D.S. Poskitt, 2011, "Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/11, Sep.
- Marmer, Vadim & Sakata, Shinichi, 2011, "Instrumental Variables Estimation and Weak-Identification-Robust Inference Based on a Conditional Quantile Restriction," Microeconomics.ca working papers, Vancouver School of Economics, number vadim_marmer-2011-26, Sep, revised 28 Sep 2011.
- Item repec:dgr:uvatin:20110137 is not listed on IDEAS anymore
- Wolfgang Rinnergschwentner & Gottfried Tappeiner & Janette Walde, 2011, "Multivariate Stochastic Volatility via Wishart Processes - A Continuation," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2011-19, Aug.
- Rasmus Tangsgaard Varneskov, 2011, "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-35, Sep.
- Todd E. Clark & Michael W. McCracken, 2011, "Tests of equal forecast accuracy for overlapping models," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1121.
- Orth, Walter, 2011, "Default probability estimation in small samples - with an application to sovereign bonds," MPRA Paper, University Library of Munich, Germany, number 33778, Sep.
- Markus Jochmann & Gary Koop, 2011, "Regime-Switching Cointegration," Working Paper series, Rimini Centre for Economic Analysis, number 40_11, Sep.
- Andrew Chesher, 2011, "Semiparametric structural models of binary response: shape restrictions and partial identification," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP31/11, Oct.
- Roger Klein & Chan Shen & Francis Vella, 2011, "Semiparametric selection models with binary outcomes," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP30/11, Sep.
- Joanna Janczura & Rafal Weron, 2011, "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/11/02.
- Li, Minqiang & Peng, Liang & Qi, Yongcheng, 2011, "Reduce computation in profile empirical likelihood method," MPRA Paper, University Library of Munich, Germany, number 33744.
- Shakeeb Khan & Denis Nekipelov, 2011, "Information Structure and Statistical Information in Discrete Response Models," Working Papers, Duke University, Department of Economics, number 11-19.
- Ronny Nilsson & Gyorgy Gyomai, 2011, "Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters," OECD Statistics Working Papers, OECD Publishing, number 2011/4, May, DOI: 10.1787/5kg9srt7f8g0-en.
- Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska, 2011, "Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/11/03.
- Todd E. Clark & Michael W. McCracken, 2011, "Advances in forecast evaluation," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1120.
- H Peyton Young & Dean P. Foster and Robert Stine, 2011, "A Markov Test for Alpha," Economics Series Working Papers, University of Oxford, Department of Economics, number 568, Sep.
- H Peyton Young & Dean P. Foster, 2011, "A Strategy-Proof Test of Portfolio Returns," Economics Series Working Papers, University of Oxford, Department of Economics, number 567, Sep.
- Barbara Rossi, 2011, "Advances in Forecasting Under Instability," Working Papers, Duke University, Department of Economics, number 11-20.
- Arne Risa Hole & Andy Dickerson & Luke Munford, 2011, "A review of estimators for the fixed-effects ordered logit model," United Kingdom Stata Users' Group Meetings 2011, Stata Users Group, number 05, Sep.
- Martin Fukac & Vladimir Havlena, 2011, "Note on the role of natural condition of control in the estimation of DSGE models," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 11-03.
- Item repec:rwi:repape:0282 is not listed on IDEAS anymore
- Peter Fuleky & Carl S. Bonham, 2011, "Forecasting Based on Common Trends in Mixed Frequency Samples," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201110, Jun.
- Audrino, Francesco & Hu, Yujia, 2011, "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1138, Sep.
- S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2011, "Improving GDP measurement: a forecast combination perspective," Working Papers, Federal Reserve Bank of Philadelphia, number 11-41.