Report NEP-ECM-2012-06-25This 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.
The following items were announced in this report:
- Arnaud Doucet & Neil Shephard, 2012. "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Papers 2012-W05, Economics Group, Nuffield College, University of Oxford.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit Root Vector Autoregression with volatility Induced Stationarity," CREATES Research Papers 2012-29, Department of Economics and Business Economics, Aarhus University.
- Hayakawa, Kazuhiko & Pesaran, M. Hashem, 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models," IZA Discussion Papers 6583, Institute for the Study of Labor (IZA).
- Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2012. "Quantile regression for long memory testing: A case of realized volatility," Working Papers w201207, Banco de Portugal, Economics and Research Department.
- K.M. Abadir & W. Distaso & L. Giraitis & H.L. Koul, 2012. "Asymptotic Normality for Weighted Sums of Linear Processes," Working Paper Series 23_12, The Rimini Centre for Economic Analysis.
- Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Papers 2012-W04, Economics Group, Nuffield College, University of Oxford.
- Ioannis Ntzoufras & Claudia Tarantola, 2012. "Conjugate and Conditional Conjugate Bayesian Analysis of Discrete Graphical Models of Marginal Independence," Quaderni di Dipartimento 178, University of Pavia, Department of Economics and Quantitative Methods.
- Kuikeu, Oscar, 2012.
"Propriétés à distance finie d'estimateurs du modèle dynamique en données de panel à effets fixes lorsque N
[Finite sample properties of dynamic panel data estimators with fixed effects when N]," MPRA Paper 39444, University Library of Munich, Germany.
- Claudia PIGINI, 2012. "Of Butterflies and Caterpillars: Bivariate Normality in the Sample Selection Model," Working Papers 377, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Wu, Ximing & Zhang, Yu Yvette, 2012. "Nonparametric Estimation of Crop Yield Distributions: A Panel Data Approach," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124630, Agricultural and Applied Economics Association.
- Wiper, Michael P. & Galeano, Pedro & Fuente, Cristina G. de la, 2012. "Modeling financial time series with the skew slash distribution," DES - Working Papers. Statistics and Econometrics. WS ws121108, Universidad Carlos III de Madrid. Departamento de Estadística.
- Johannes Tang Kristensen, 2012. "Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?," CREATES Research Papers 2012-28, Department of Economics and Business Economics, Aarhus University.
- Phillip Wild & John Foster, 2012. "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series 466, School of Economics, University of Queensland, Australia.
- Gedikoglu, Haluk & Parcell, Joseph L., 2012. "Implications of Missing Data Imputation for Agricultural Household Surveys: An Application to Technology Adoption," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124333, Agricultural and Applied Economics Association.
- Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012. "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics 08-2012, University of Cyprus Department of Economics.
- Trenkler, Carsten & Weber, Enzo, 2012. "Codependent VAR Models and the Pseudo-Structural Form," University of Regensburg Working Papers in Business, Economics and Management Information Systems 465, University of Regensburg, Department of Economics.
- Qiu, Feng & Goodwin, Barry K., 2012. "Asymmetric Price Transmission: A Copula Approach," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124906, Agricultural and Applied Economics Association.
- Item repec:eca:wpaper:2013/119605 is not listed on IDEAS anymore
- Raffaella Calabrese & Johan A. Elkink, 2012. "Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study," Working Papers 201215, Geary Institute, University College Dublin.
- Item repec:ner:dauphi:urn:hdl:123456789/9451 is not listed on IDEAS anymore
- Karim M. Abadir & Rolf Larsson, 2012. "Biases of Correlograms and of AR Representations of Stationary Series," Working Paper Series 24_12, The Rimini Centre for Economic Analysis.
- A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewnessn and Kurtosis in an Exponential Weighted Moving Average Framework," Working Papers wp831, Dipartimento Scienze Economiche, Universita' di Bologna.
- Hendricks, Nathan P. & Smith, Aaron D., 2012. "Comparing the Bias of Dynamic Panel Estimators in Multilevel Panels: Individual versus Grouped Data," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124548, Agricultural and Applied Economics Association.
- Xiong, Bo & Chen, Sixia, 2012. "Estimating Gravity Equation Models in the Presence of Sample Selection and Heteroskedasticity," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124530, Agricultural and Applied Economics Association.
- Audrey Light & Yoshiaki Omori, 2012. "Fixed Effects Maximum Likelihood Estimation of a Flexibly Parametric Proportional Hazard Model with an Application to Job Exits," Working Papers 12-03, Ohio State University, Department of Economics.
- Zhao, Jieyuan & Goodwin, Barry K. & Pelletier, Denis, 2012. "A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124825, Agricultural and Applied Economics Association.
- Paris, Quirino, 2012. "The Dual of the Maximum Likelihood Method," Working Papers 124568, University of California, Davis, Department of Agricultural and Resource Economics.
- Piotr Jelonek, 2012. "Generating Tempered Stable Random Variates from Mixture Representation," Discussion Papers in Economics 12/14, Department of Economics, University of Leicester.
- Guarino, Cassandra M. & Reckase, Mark D. & Wooldridge, Jeffrey M., 2012. "Can Value-Added Measures of Teacher Performance Be Trusted?," IZA Discussion Papers 6602, Institute for the Study of Labor (IZA).
- Mathias REYNAERT & Frank VERBOVEN, 2012. "Improving the performance of random coefficients demand models: the role of optimal instruments," Working Papers Department of Economics ces12.07, KU Leuven, Faculty of Economics and Business, Department of Economics.
- Simwaka, Kisu, 2012. "Time varying fractional cointegration," MPRA Paper 39505, University Library of Munich, Germany.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2012. "Basics of Levy processes," Economics Series Working Papers 610, University of Oxford, Department of Economics.
- Item repec:ner:maastr:urn:nbn:nl:ui:27-29274 is not listed on IDEAS anymore
- Elena Andreou & Constantinos Kourouyiannis & Andros Kourtellos, 2012. "Volatility Forecast Combinations using Asymmetric Loss Functions," University of Cyprus Working Papers in Economics 07-2012, University of Cyprus Department of Economics.