Report NEP-ECM-2012-03-08

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:

• Stefano Favaro & Antonio Lijoi & Igor Prunster, 2011, "Asymptotics for a Bayesian nonparametric estimator of species richness," Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods, number 144, May.
• Rothe, Christoph & Wied, Dominik, 2012, "Misspecification Testing in a Class of Conditional Distributional Models," IZA Discussion Papers, Institute of Labor Economics (IZA), number 6364, Feb.
• Maheu, John & Song, Yong, 2012, "A new structural break model with application to Canadian inflation forecasting," MPRA Paper, University Library of Munich, Germany, number 36870, Feb.
• G. Pan & J. Gao & Y. Yang & M. Guo, 2012, "Independence Test for High Dimensional Random Vectors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/12, Jan.
• Song Li & Mervyn J. Silvapulle & Param Silvapulle & Xibin Zhang, 2012, "Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/12, Jan.
• Mantalos, Panagiotis, 2012, "Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation," Working Papers, Örebro University, School of Business, number 2012:2, Feb.
• Gimeno, Ricardo & Gonzalez, Clara I., 2012, "An automatic procedure for the estimation of the tail index," MPRA Paper, University Library of Munich, Germany, number 37023.
• Item repec:ner:maastr:urn:nbn:nl:ui:27-28190 is not listed on IDEAS anymore

• Eiji Kurozumi, 2012, "Testing for Multiple Structural Changes with Non-Homogeneous Regressors," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-227, Feb.
• Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012, "Non-linearity Induced Weak Instrumentation," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 02-2012, Jan.
• Rong Zhang & Brett A. Inder & Xibin Zhang, 2012, "Parameter estimation for a discrete-response model with double rules of sample selection: A Bayesian approach," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/12, Feb.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012, "Multivariate Rotated ARCH models," Economics Series Working Papers, University of Oxford, Department of Economics, number 594, Feb.
• Chaohua Dong & Jiti Gao, 2012, "Expansion of Lévy Process Functionals and Its Application in Statistical Estimation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/12, Jan.
• Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012, "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Working Papers, HAL, number halshs-00671658, Feb.
• Item repec:hum:wpaper:sfb649dp2012-012 is not listed on IDEAS anymore

• Item repec:dgr:umamet:2012006 is not listed on IDEAS anymore

• Ola L{o}vsletten & Martin Rypdal, 2012, "A multifractal approach towards inference in finance," Papers, arXiv.org, number 1202.5376, Feb.
• Yingying Dong, 2012, "Regression Discontinuity Applications with Rounding Errors in the Running Variable," Working Papers, University of California-Irvine, Department of Economics, number 111206, Jan.
• Darwin Ugarte Ontiveros & Vincenzo Verardi, 2012, "Supposedly Strong Instruments and Good Leverage Points," Working Papers, University of Namur, Department of Economics, number 1203, Feb.
• Item repec:acb:camaaa:2012-08 is not listed on IDEAS anymore

• Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012, "A General to Specific Approach for Constructing Composite Business Cycle Indicators," CEIS Research Paper, Tor Vergata University, CEIS, number 224, Feb, revised 27 Feb 2012.
• Jakob Sohl & Mathias Trabs, 2012, "Option calibration of exponential L\'evy models: Confidence intervals and empirical results," Papers, arXiv.org, number 1202.5983, Feb, revised Oct 2012.
• Neil Shephard & Kevin Sheppard, 2012, "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Series Working Papers, University of Oxford, Department of Economics, number 593, Feb.
• Item repec:rcr:wpaper:02_12 is not listed on IDEAS anymore

• Michael Wolf & Dan Wunderli, 2012, "Bootstrap joint prediction regions," ECON - Working Papers, Department of Economics - University of Zurich, number 064, Feb, revised May 2013.
• Peter Arcidiacono & Patrick Bayer & Federico A. Bugni & Jonathan James, 2012, "Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration," NBER Working Papers, National Bureau of Economic Research, Inc, number 17890, Mar.
• Pesaran, M. H., 2012, "Testing Weak Cross-Sectional Dependence in Large Panels," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1208, Feb.
• Item repec:hum:wpaper:sfb649dp2012-006 is not listed on IDEAS anymore

Report NEP-ECM-2012-03-08

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: