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Report NEP-ECM-2012-12-10
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:
- Giorgio Calzolari & Roxana Halbleib & Alessandro Parrini, 2012, "Indirect Estimation of α-Stable Garch Models," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-31, Nov.
- Govert Bijwaard & Geert Ridder & Tiemen Woutersen, 2012, "A Simple GMM Estimator for the Semiparametric Mixed Proportional Hazard Model," Norface Discussion Paper Series, Norface Research Programme on Migration, Department of Economics, University College London, number 2012035, Nov.
- Daniel J. Nordman & Helle Bunzel & Soumendra N. Lahiri, 2012, "A Non-standard Empirical Likelihood for Time Series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-55, Dec.
- Jonathan James, 2012, "A tractable estimator for general mixed multinomial logit models," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1219, DOI: 10.26509/frbc-wp-201219.
- Denis Chetverikov, 2012, "Testing regression monotonicity in econometric models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP35/12, Nov.
- Denis Chetverikov, 2012, "Adaptive test of conditional moment inequalities," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP36/12, Nov.
- Kociecki, Andrzej, 2012, "Orbital Priors for Time-Series Models," MPRA Paper, University Library of Munich, Germany, number 42804, Nov.
- Anton Skrobotov, 2012, "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Working Papers, Gaidar Institute for Economic Policy, number 0043, revised 2013.
- J. L. van Velsen, 2012, "Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling," Papers, arXiv.org, number 1212.0092, Dec.
- Audrino, Francesco & Knaus, Simon, 2012, "Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1224, Nov.
- Hern'an Larralde, 2012, "Maximum Entropy distributions of correlated variables with prespecified marginals," Papers, arXiv.org, number 1212.0440, Dec.
- Matthew T. Holt & Timo Teräsvirta, 2012, "Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-54, Nov.
- Moawia Alghalith, 2012, "A note on estimating stochastic volatility and its volatility: a new simple method," Papers, arXiv.org, number 1212.0380, Dec.
- Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti, 2012, "Modeling non-stationarities in high-frequency financial time series," Papers, arXiv.org, number 1212.0479, Dec, revised Feb 2017.
- P. O'swik{e}cimka & S. Dro.zd.z & J. Kwapie'n & A. Z. G'orski, 2012, "Effect of detrending on multifractal characteristics," Papers, arXiv.org, number 1212.0354, Dec.
- Philippe Andrade & Eric Ghysels & Julien Idier., 2012, "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers, Banque de France, number 407.