Report NEP-ECM-2013-01-07

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Deepa Dhume Datta & Wenxin Du, 2012, "Nonparametric HAC estimation for time series data with missing observations," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1060.
• Stephen G. Donald & Yu-Chin Hsu & Robert P. Lieli, 2012, "Testing the Unconfoundedness Assumption via Inverse Probability Weighted Estimators of (L)ATT," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 12-A017, Dec.
• James B. McDonald & Hieu Nguyen, 2012, "Heteroskedasticity and Distributional Assumptions in the Censored Regression Model," BYU Macroeconomics and Computational Laboratory Working Paper Series, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory, number 2012-09, Aug.
• Jean Jacod & Mark Podolskij, 2012, "A test for the rank of the volatility process: the random perturbation approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-57, Dec.
• Pavlyuk, Dmitry, 2012, "Maximum Likelihood Estimator for Spatial Stochastic Frontier Models," MPRA Paper, University Library of Munich, Germany, number 43390.
• Badi H. Baltagi & Chihwa Kao & Long Liu, 2012, "On The Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 143, Sep.
• Jan F. KIVIET & Garry D.A. PHILLIPS, 2012, "Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1206, Jun.
• Badi H. Baltagi & Qu Feng & Chihwa Kao, 2012, "A Lagrange Multiplier Test for Cross-Sectional Dependence in a Fixed Effects Panel Data Model," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 137, May.
• Stefan Hoderlein & Robert Sherman, 2012, "Identification and estimation in a correlated random coefficients binary response model," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP42/12, Dec.
• Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2012, "Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study," Economics Series, Institute for Advanced Studies, number 294, Dec.
• Badi H. Baltagi & Long Liu, 2012, "Estimation and Prediction in the Random Effects Model with AR(p) Remainder Disturbances," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 138, Jul.
• Badi H. Baltagi & Long Liu, 2012, "Testing for Spatial Lag and Spatial Error Dependence Using Double Length Artificial Regressions," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 147, Oct.
• Badi H. Baltagi & Ying Deng, 2012, "EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 146, Oct.
• Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2012, "Small Sample Properties and Pretest Estimation of A Spatial Hausman-Taylor Model," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 141, Aug.
• Harvey, A. & Luati, A., 2012, "Filtering with heavy tails," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1255, Dec.
• Item repec:hum:wpaper:sfb649dp2013-001 is not listed on IDEAS anymore

• Arthur Lewbel & Xun Lu & Liangjun Su, 2012, "Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 817, Dec, revised 01 May 2013.
• Christophe Ley & Yvik Swan & Thomas Verdebout, 2013, "Efficient ANOVA for Directional Data," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-48.
• Liao, Yuan & Simoni, Anna, 2012, "Semi-parametric Bayesian Partially Identified Models based on Support Function," MPRA Paper, University Library of Munich, Germany, number 43262, Dec.
• Badi H. Baltagi & Long Liu, 2012, "The Hausman-Taylor Panel Data Model with Serial Correlation," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 136, Mar.
• Item repec:dgr:uvatin:20120133 is not listed on IDEAS anymore

• Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012, "Testing for Instability in Covariance Structures," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 131, Apr.
• Jan F. KIVIET & Milan PLEUS, 2012, "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1208, Aug.
• Arun Chandrasekhar & Victor Chernozhukov & Francesca Molinari & Paul Schrimpf, 2012, "Inference for best linear approximations to set identified functions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP43/12, Dec.
• Prosper Dovonon & Eric Renault, 2012, "Testing for Common GARCH Factors," CIRANO Working Papers, CIRANO, number 2012s-34, Dec.
• Huber, Martin & Lechner, Michael & Steinmayr, Andreas, 2012, "Radius matching on the propensity score with bias adjustment: finite sample behaviour, tuning parameters and software implementation," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1226, Dec.
• Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012, "A Smooth Transition Long-Memory Model," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1240, Dec, revised Dec 2012.
• Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012, "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 135, Feb.
• Dominique Guegan & Bertrand K. Hassani, 2012, "An Autocorrelated Loss Distribution Approach: back to the time series," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12091, Dec.
• Ginters Buss, 2012, "Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach," Working Papers, Latvijas Banka, number 2012/06, Dec.
• Gordon J. Ross, 2012, "Modeling Financial Volatility in the Presence of Abrupt Changes," Papers, arXiv.org, number 1212.6016, Dec.
• Enrique Moral-Benito, 2012, "Growth Empirics in Panel Data under Model Uncertainty and Weak Exogeneity," Working Papers, Banco de España, number 1243, Dec.
• Politis, Dimitris, 2012, "On The Behavior Of Nonparametric Density And Spectral Density Estimators At Zero Points Of Their Support," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt40g0z0tz, Dec.
• Badi H. Baltagi & Georges Bresson, 2012, "A Robust Hausman-Taylor Estimator," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 140, Aug.
• Raffaello Morales & T. Di Matteo & Tomaso Aste, 2012, "Non stationary multifractality in stock returns," Papers, arXiv.org, number 1212.3195, Dec, revised May 2013.
• Kociecki, Andrzej & Rubaszek, Michał & Ca' Zorzi, Michele, 2012, "Bayesian analysis of recursive SVAR models with overidentifying restrictions," Working Paper Series, European Central Bank, number 1492, Nov.
• Ari, Yakup, 2012, "Volatility modelling of foreign exchange rate: discrete GARCH family versus continuous GARCH," MPRA Paper, University Library of Munich, Germany, number 43330, May.
• Ilaria Lucrezia Amerise & Agostino Tarsitano, 2012, "Weighting Distance Matrices Using Rank Correlations," Working Papers, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF, number 201209, Dec.
• Michael W. McCracken & Tucker S. McElroy, 2012, "Multi-step ahead forecasting of vector time series," Working Papers, Federal Reserve Bank of St. Louis, number 2012-060, DOI: 10.20955/wp.2012.060.
• Grech Dariusz & Mazur Zygmunt, 2012, "On the scaling range of power-laws originated from fluctuation analysis," Papers, arXiv.org, number 1212.5070, Dec.
• Item repec:iwh:dispap:12-12 is not listed on IDEAS anymore

• Sean C. Kerman & James B. McDonald, 2012, "Skewness-kurtosis bounds for the skewed generalized T and related distributions," BYU Macroeconomics and Computational Laboratory Working Paper Series, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory, number 2012-10, Nov.
• Andrea Stella & James H. Stock, 2012, "A state-dependent model for inflation forecasting," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1062.
• Christopher Heiberger & Torben Klarl & Alfred Maussner, 2012, "System Reduction and the Accuracy of Solutions of DSGE Models: A Note," Discussion Paper Series, Universitaet Augsburg, Institute for Economics, number 320, Dec.

Report NEP-ECM-2013-01-07

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: