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Report NEP-ECM-2011-12-13
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:
- Cristina Fuentes-Albero & Leonardo Melosi, 2011, "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers, Rutgers University, Department of Economics, number 201131, Oct.
- Xiaohong Chen & Elie Tamer & Alexander Torgovitsky, 2011, "Sensitivity Analysis in Semiparametric Likelihood Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1836, Nov.
- Davy Paindaveine & Thomas Verdebout, 2011, "Rank Tests for Elliptical Graphical Modeling," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011-039, Dec.
- Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011, "Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity," Departmental Working Papers, Rutgers University, Department of Economics, number 201118, May.
- Isabel Mourifie & Marc Henry, 2011, "Set Inference in Latent Variables Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-820, Oct.
- Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011, "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments," Departmental Working Papers, Rutgers University, Department of Economics, number 201111, May.
- Xiangjin Shen & Hiroki Tsurumi, 2011, "Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models," Departmental Working Papers, Rutgers University, Department of Economics, number 201126, Jun.
- Flaminia Musella, 2011, "Learning a bayesian network from ordinal data," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0139, Oct.
- Friederike Greb & Stephan von Cramon-Taubadel & Tatyana Krivobokova & Axel Munk, 2011, "The estimation of threshold models in price transmission analysis," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 103, Dec, revised 08 Oct 2012.
- Robert A. Jones & Mohammad Zanganeh, 2011, "Estimation of Equicorrelated Diffusions from Incomplete Data," Discussion Papers, Department of Economics, Simon Fraser University, number dp11-03, Oct.
- Dominique Guegan & Pierre-André Maugis, 2011, "An econometric Study for Vine Copulas," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00645799.
- Ewa Syczewska, 2011, "Stability of Long-run Relationships for Countries in Transition: A Hansen Test Study," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 58, Dec.
- Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011, "Predictive Inference for Integrated Volatility," Departmental Working Papers, Rutgers University, Department of Economics, number 201109, May.
- Klein, Ingo & Tinkl, Fabian, 2011, "Some critical remarks on Zhang's gamma test for independence," Discussion Papers, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics, number 87/2010.
- Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011, "Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments," Departmental Working Papers, Rutgers University, Department of Economics, number 201110, May.
- Amaresh Tiwari & Franz Palm, 2011, "Nonlinear Panel Data Models with Expected a Posteriori Values of Correlated Random Effects," 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 1113.
- Ola L{o}vsletten & Martin Rypdal, 2011, "Approximated maximum likelihood estimation in multifractal random walks," Papers, arXiv.org, number 1112.0105, Dec, revised Feb 2012.
- Diep Duong & Norman R. Swanson, 2011, "Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps," Departmental Working Papers, Rutgers University, Department of Economics, number 201117, May.
- Masanori Mitsutsune & Takanori Adachi, 2011, "Estimating Noncooperative and Cooperative Models of Bargaining: An Empirical Comparison," KIER Working Papers, Kyoto University, Institute of Economic Research, number 799, Dec.
- Vladimir Soloviev & Vladimir Saptsin & Dmitry Chabanenko, 2011, "Markov Chains application to the financial-economic time series prediction," Papers, arXiv.org, number 1111.5254, Nov.
- Cuevas Rumín, Ángel & Quilis, Enrique M. & Espasa, Antoni, 2011, "Combining benchmarking and chain-linking for short-term regional forecasting," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws114130, Dec.
- Puzanova, Natalia, 2011, "A hierarchical Archimedean copula for portfolio credit risk modelling," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2011,14.
- Hüttner, Frank & Sunder, Marco, 2011, "Decomposing R2 with the Owen value," Working Papers, University of Leipzig, Faculty of Economics and Management Science, number 100.
- Breitung, Jörg & Schmeling, Maik, 2011, "Quantifying survey expectations: What's wrong with the probability approach?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-485, Dec.
- In Choi & Jorg Breitung, 2011, "Factor models," Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), number 1121, Dec, revised Dec 2011.