Printed from https://ideas.repec.org/n/nep-ecm/2012-06-25.html
Report NEP-ECM-2012-06-25
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:
- Arnaud Doucet & Neil Shephard, 2012, "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2012-W05, Jun.
- Anders Rahbek & Heino Bohn Nielsen, 2012, "Unit Root Vector Autoregression with volatility Induced Stationarity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-29, Jun.
- Hayakawa, Kazuhiko & Pesaran, M. Hashem, 2012, "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models," IZA Discussion Papers, Institute of Labor Economics (IZA), number 6583, May.
- Paulo M.M. Rodrigues & Uwe Hassler, 2012, "Quantile regression for long memory testing: A case of realized volatility," Working Papers, Banco de Portugal, Economics and Research Department, number w201207.
- K.M. Abadir & W. Distaso & L. Giraitis & H.L. Koul, 2012, "Asymptotic Normality for Weighted Sums of Linear Processes," Working Paper series, Rimini Centre for Economic Analysis, number 23_12, Jun.
- Neil Shephard & Dacheng Xiu, 2012, "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2012-W04, Apr.
- Ioannis Ntzoufras & Claudia Tarantola, 2012, "Conjugate and Conditional Conjugate Bayesian Analysis of Discrete Graphical Models of Marginal Independence," Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods, number 178, Jun.
- 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, University Library of Munich, Germany, number 39444, Jun. - Claudia PIGINI, 2012, "Of Butterflies and Caterpillars: Bivariate Normality in the Sample Selection Model," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 377, Jun.
- 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, Agricultural and Applied Economics Association, number 124630, DOI: 10.22004/ag.econ.124630.
- García de la Fuente, Cristina & Galeano San Miguel, Pedro & Wiper, Michael Peter, 2012, "Modeling financial time series with the skew slash distribution," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws121108, Jun.
- 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, Department of Economics and Business Economics, Aarhus University, number 2012-28, Jun.
- 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, School of Economics, University of Queensland, Australia, number 466.
- Gedikoglu, Haluk & Parcell, Joseph L., , "Implications of Missing Data Imputation for Agricultural Household Surveys: An Application to Technology Adoption," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124333, DOI: 10.22004/ag.econ.124333.
- Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012, "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 08-2012, May.
- 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, University of Regensburg, Department of Economics, number 465, Jun.
- Qiu, Feng & Goodwin, Barry K., , "Asymmetric Price Transmission: A Copula Approach," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124906, DOI: 10.22004/ag.econ.124906.
- 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, Geary Institute, University College Dublin, number 201215, Jun.
- 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, Rimini Centre for Economic Analysis, number 24_12, Jun.
- 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, Dipartimento Scienze Economiche, Universita' di Bologna, number wp831, Jun.
- 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, Agricultural and Applied Economics Association, number 124548, DOI: 10.22004/ag.econ.124548.
- 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, Agricultural and Applied Economics Association, number 124530, DOI: 10.22004/ag.econ.124530.
- 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, Ohio State University, Department of Economics, number 12-03.
- 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, Agricultural and Applied Economics Association, number 124825, DOI: 10.22004/ag.econ.124825.
- Paris, Quirino, 2012, "The Dual of the Maximum Likelihood Method," Working Papers, University of California, Davis, Department of Agricultural and Resource Economics, number 124568, DOI: 10.22004/ag.econ.124568.
- Piotr Jelonek, 2012, "Generating Tempered Stable Random Variates from Mixture Representation," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 12/14, Jun.
- Guarino, Cassandra M. & Reckase, Mark D. & Wooldridge, Jeffrey M., 2012, "Can Value-Added Measures of Teacher Performance Be Trusted?," IZA Discussion Papers, Institute of Labor Economics (IZA), number 6602, May.
- Mathias REYNAERT & Frank VERBOVEN, 2012, "Improving the performance of random coefficients demand models: the role of optimal instruments," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces12.07, Jun.
- Simwaka, Kisu, 2012, "Time varying fractional cointegration," MPRA Paper, University Library of Munich, Germany, number 39505, Jun.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2012, "Basics of Levy processes," Economics Series Working Papers, University of Oxford, Department of Economics, number 610, Jun.
- 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, University of Cyprus Department of Economics, number 07-2012, May.