Report NEP-ECM-2013-11-16

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Item repec:dgr:kubcen:2013061 is not listed on IDEAS anymore

• Item repec:dgr:kubcen:2013062 is not listed on IDEAS anymore

• Monica Billio & Maddalena Cavicchioli, 2013, "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:24.
• Nadja Klein & Thomas Kneib & Stephan Klasen & Stefan Lang, 2013, "Bayesian Structured Additive Distributional Regression for Multivariate Responses," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2013-35, Nov.
• Item repec:ehu:biltok:10862 is not listed on IDEAS anymore

• Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2013, "Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/13.
• Ting Wang & Edgar C. Merkle & Achim Zeileis, 2013, "Score-Based Tests of Measurement Invariance: Use in Practice," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2013-33, Oct.
• Bent Jesper Christensen & Robinson Kruse & Philipp Sibbertsen, 2013, "A unified framework for testing in the linear regression model under unknown order of fractional integration," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-35, 05.
• Kim, Chang-Jin & Kim, Jaeho, 2013, "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper, University Library of Munich, Germany, number 51118, Oct.
• Item repec:dau:papers:123456789/11429 is not listed on IDEAS anymore

• Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013, "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1332, Nov.
• Jia Chen & Degui Li & Jiti Gao, 2013, "Non- and Semi-Parametric Panel Data Models: A Selective Review," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 18/13.
• Juan Carlos Escanciano & Lin Zhu, 2013, "Set inferences and sensitivity analysis in semiparametric conditionally identified models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP55/13, Oct.
• Xibin Zhang & Maxwell L. King, 2013, "Gaussian kernel GARCH models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/13.
• Xibin Zhang & Maxwell L. King & Han Lin Shang, 2013, "A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/13.
• Cinzia Daraio & Leopold Simar, 2013, "Directional Distances and their Robust versions. Computational and Testing Issues," DIAG Technical Reports, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza", number 2013-11, Nov.
• Ulrich Hounyo, 2013, "Bootstrapping realized volatility and realized beta under a local Gaussianity assumption," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-30, 09.
• Niels S. Hansen & Asger Lunde, 2013, "Analyzing Oil Futures with a Dynamic Nelson-Siegel Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-36, 10.
• Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013, "Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1321, Nov.
• Richard Blundell & Joel L. Horowitz & Matthias Parey, 2013, "Nonparametric estimation of a heterogeneous demand function under the Slutsky inequality restriction," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP54/13, Oct.
• Yuta Kurose & Yasuhiro Omori, 2013, "Dynamic Equicorrelation Stochastic Volatility," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-907, Nov.
• Mark Podolskij & Nakahiro Yoshida, 2013, "Edgeworth expansion for functionals of continuous diffusion processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-33, Oct.
• Kim, Chang-Jin & Kim, Jaeho, 2013, "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," MPRA Paper, University Library of Munich, Germany, number 51117, Aug.
• Lorenzo Frattarolo & Dominique Guegan, 2013, "Empirical Projected Copula Process and Conditional Independence an Extended Version," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 13068, Oct.
• Item repec:ner:tilbur:urn:nbn:nl:ui:12-5928130 is not listed on IDEAS anymore

• Andrew Gelman & Guido Imbens, 2013, "Why ask Why? Forward Causal Inference and Reverse Causal Questions," NBER Working Papers, National Bureau of Economic Research, Inc, number 19614, Nov.
• Yoosoon Chang & Yongok Choi & Chang Sik Kim & Joon Y. Park & J. Isaac Miller, 2013, "Disentangling Temporal Patterns in Elasticities: A Functional Coefficient Panel Analysis of Electricity Demand," Working Papers, Department of Economics, University of Missouri, number 1320, Nov.
• Jarociński, Marek & Maćkowiak, Bartosz, 2013, "Granger-causal-priority and choice of variables in vector autoregressions," Working Paper Series, European Central Bank, number 1600, Oct.
• Mittnik, Stefan, 2013, "VaR-implied tail-correlation matrices," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/05.

Report NEP-ECM-2013-11-16

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report: