Report NEP-ECM-2013-12-29

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:

• H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013, "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers, University of Copenhagen. Department of Economics, number 13-13, Nov.
• Michał Brzeziński, 2013, "Robust estimation of the Pareto index: A Monte Carlo Analysis," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2013-32.
• Mehmet Caner & Anders Bredahl Kock, 2013, "Oracle Inequalities for Convex Loss Functions with Non-Linear Targets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-51, Dec.
• Ivan Fernandez-Val & Martin Weidner, 2013, "Individual and time effects in nonlinear panel models with large N, T," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP60/13, Dec.
• Georgios Effraimidis & Christian M. Dahl, 2013, "Nonparametric Estimation of Cumulative Incidence Functions for Competing Risks Data with Missing Cause of Failure," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-50, 12.
• Toru Kitagawa & Chris Muris, 2013, "Covariate selection and model averaging in semiparametric estimation of treatment effects," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP61/13, Dec.
• Jia Li & Andrew J. Patton, 2013, "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-27.
• YAMAMOTO, Yohei & 山本, 庸平 & TANAKA, Shinya & 田中, 晋也, 2013, "Testing for Factor Loading Structural Change under Common Breaks," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2013-17, Dec.
• Laurent Davezies & Xavier d'Haultfoeuille, 2013, "Endogenous Attrition in Panels," Working Papers, Center for Research in Economics and Statistics, number 2013-17, Oct.
• Zhu, Ke & Li, Wai Keung, 2013, "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper, University Library of Munich, Germany, number 52344, Dec.
• Schröder, Anna Louise & Fryzlewicz, Piotr, 2013, "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper, University Library of Munich, Germany, number 52379.
• Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2013, "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 29/13.
• Alexandre Belloni & Victor Chernozhukov & Lie Wang, 2013, "Pivotal estimation via square-root lasso in nonparametric regression," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP62/13, Dec.
• Thum, Anna-Elisabeth, 2013, "Psychology in econometric models: conceptual and methodological foundations," MPRA Paper, University Library of Munich, Germany, number 52293, Dec.
• Degui Li & Peter C. B. Phillips & Jiti Gao, 2013, "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 27/13.
• Lee, Jinhyun, 2013, "Sharp Bounds on Heterogeneous Individual Treatment Responses," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-89.
• Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013, "Dynamic Copula Models and High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-28.
• Federico Carlini & Paolo Santucci de Magistris, 2013, "On the identification of fractionally cointegrated VAR models with the F(d) condition," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-44, Nov.
• Trojan, Sebastian, 2013, "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1341, Dec, revised Aug 2014.
• Roger Koenker & Samantha Leorato & Franco Peracchi, 2013, "Distributional vs. Quantile Regression," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1329, revised Dec 2013.
• Alexander Dokumentov & Rob J Hyndman, 2013, "Two-dimensional smoothing of mortality rates," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 26/13.
• Martin Andreasen & Andrew Meldrum, 2013, "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England working papers, Bank of England, number 481, Dec.
• Hans-Martin Krolzig & Reinhold Heinlein, 2013, "Symmetry and Separability in Two-Country Cointegrated VAR Models: Representation and Testing," Studies in Economics, School of Economics, University of Kent, number 1323, Dec.
• Miranda, Alfonso & Zhu, Yu, 2013, "The Causal Effect of Deficiency at English on Female Immigrants' Labor Market Outcomes in the UK," IZA Discussion Papers, Institute of Labor Economics (IZA), number 7841, Dec.
• Alberto Abadie & Matthew M. Chingos & Martin R. West, 2013, "Endogenous Stratification in Randomized Experiments," NBER Working Papers, National Bureau of Economic Research, Inc, number 19742, Dec.
• Christian Gourieroux & Yang Lu, 2013, "Long Term Care and Longevity," Working Papers, Center for Research in Economics and Statistics, number 2013-16, Oct.
• Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013, "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 28/13.
• Dong Hwan Oh & Andrew J. Patton, 2013, "Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads," Working Papers, Duke University, Department of Economics, number 13-30.
• Madsen, Edith & Mulalic, Ismir & Pilegaard, Ninette, 2013, "A model for estimation of the demand for on-street parking," MPRA Paper, University Library of Munich, Germany, number 52301, Dec.
• Guell, Maia & Mora, Jose V. Rodriguez & Telmer, Christopher I., 2013, "Intergenerational Mobility and the Informative Content of Surnames," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-75.
• Leo Krippner, 2013, "Efficient Jacobian Evaluations for Estimating Zero Lower Bound Term Structure Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-77, Dec.
• Jonas E. Arias & Juan Rubio-Ramirez & Daniel F. Waggoner, 2013, "Inference Based on SVARs Identied with Sign and Zero Restrictions: Theory and Applications," Working Papers, FEDEA, number 2013-24, Dec.
• Adam D. Bull, 2013, "Estimating time-changes in noisy L\'evy models," Papers, arXiv.org, number 1312.5911, Dec, revised Nov 2014.
• Ting Zhang & Hwai-Chung Ho & Martin Wendler & Wei Biao Wu, 2013, "Block Sampling under Strong Dependence," Papers, arXiv.org, number 1312.5807, Dec.
• Reinhold Heinlein & Hans-Martin Krolzig, 2013, "Monetary Policy and Exchange Rates: A Balanced Two-Country Cointegrated VAR Model Approach," Studies in Economics, School of Economics, University of Kent, number 1321, Dec.