Report NEP-ECM-2013-02-16

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:

• Candelon, Bertrand & Metiu, Norbert, 2013. "A distribution-free test for outliers," Discussion Papers 02/2013, Deutsche Bundesbank.
• Kunpeng Li & Degui Li & Zhongwen Lian & Cheng Hsiao, 2013. "Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors," Monash Econometrics and Business Statistics Working Papers 2/13, Monash University, Department of Econometrics and Business Statistics.
• Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.
• Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," KIER Working Papers 848, Kyoto University, Institute of Economic Research.
• Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013. "Risks of large portfolios," MPRA Paper 44206, University Library of Munich, Germany.
• Nils Herger, 2013. "On Discrete Location Choice Models," Working Papers 13.02, Swiss National Bank, Study Center Gerzensee.
• Michał Brzeziński, 2013. "Asymptotic and bootstrap inference for top income shares," Working Papers 2013-01, Faculty of Economic Sciences, University of Warsaw.
• Michał Brzeziński, 2013. "Variance estimation for richness measures," Working Papers 2013-03, Faculty of Economic Sciences, University of Warsaw.
• Cheng-Der Fuh & Huei-Wen Teng & Ren-Her Wang, 2013. "Efficient Importance Sampling for Rare Event Simulation with Applications," Papers 1302.0583, arXiv.org.
• Yu-Chin Hsu & Chung-Ming Kuan & Meng-Feng Yen, 2013. "A Generalized Stepwise Procedure with Improved Power for Multiple Inequalities Testing," IEAS Working Paper : academic research 13-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• Jianqing Fan & Yuan Liao & Xiaofeng Shi, 2013. "Risks of Large Portfolios," Papers 1302.0926, arXiv.org.
• Chaohua Dong & Jiti Gao, 2013. "Orthogonal Expansion of Levy Process Functionals: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 3/13, Monash University, Department of Econometrics and Business Statistics.
• Victor Aguirregabiria & Pedro Mira, 2013. "Identification of Games of Incomplete Information with Multiple Equilibria and Common Unobserved Heterogeneity," Working Papers tecipa-474, University of Toronto, Department of Economics.
• Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Working Paper 2013/06, Norges Bank.
• Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2013. "A Note on the Extent of US Regional Income Convergence," Working Paper series 10_13, Rimini Centre for Economic Analysis.
• Christopher Reicher, 2013. "A note on the identification of dynamic economic models with generalized shock processes," Kiel Working Papers 1821, Kiel Institute for the World Economy.
• Silvia Figini & Paolo Giudici, 2013. "Measuring risk with ordinal variables," DEM Working Papers Series 032, University of Pavia, Department of Economics and Management.
• Heather M. Anderson & Farshid Vahid, 2013. "Common non-linearities in multiple series of stock market volatility," Monash Econometrics and Business Statistics Working Papers 1/13, Monash University, Department of Econometrics and Business Statistics.
• Andini, Corrado, 2013. "Persistence Bias and the Wage-Schooling Model," IZA Discussion Papers 7186, Institute of Labor Economics (IZA).
• Winzer, Christian, 2013. "Measuring Energy Security," Cambridge Working Papers in Economics 1305, Faculty of Economics, University of Cambridge.
• Andre Kurmann & Elmar Mertens, 2013. "Stock prices, news, and economic fluctuations: comment," Finance and Economics Discussion Series 2013-08, Board of Governors of the Federal Reserve System (U.S.).
• Victor Aguirregabiria & Junichi Suzuki, 2013. "Identification and Counterfactuals in Dynamic Models of Market Entry and Exit," Working Papers tecipa-475, University of Toronto, Department of Economics.
• Michał Brzeziński, 2013. "Relative risk aversion and power-law distribution of macroeconomic disasters," Working Papers 2013-04, Faculty of Economic Sciences, University of Warsaw.
• Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank.