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Report NEP-ECM-2014-03-30
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:
- Bin Peng & Giovanni Forchini, 2014, "Consistent Estimation of Panel Data Models with a Multifactor Error Structure when the Cross Section Dimension is Large," Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney, number 20, Mar.
- Susanne M. Schennach & Daniel Wilhelm, 2014, "A simple parametric model selection test," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP10/14, Mar.
- Chong, Terence Tai Leung & Yan, Isabel K., 2014, "Estimating and Testing Threshold Regression Models with Multiple Threshold Variables," MPRA Paper, University Library of Munich, Germany, number 54732, Mar.
- Donayre, Luiggi & Eo, Yunjong & Morley, James, 2014, "Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples," Working Papers, University of Sydney, School of Economics, number 2014-04, Mar.
- Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014, "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14022, Feb.
- Stéphane Bonhomme & Koen Jochmans & Jean-Marc Robin, 2014, "Nonparametric estimation of finite measures," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP11/14, Mar.
- Christophe Ley & Anouk Neven, 2013, "Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-26.
- Daniel Wilhelm, 2014, "Optimal bandwidth selection for robust generalized method of moments estimation," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP15/14, Mar.
- Giorgio Calzolari & Antonino Di Pino, 2014, "Self-Selection and Direct Estimation of Across-Regime Correlation Parameter," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2014_04, Mar.
- Jean-François Carpantier, 2014, "Specific Markov-switching behaviour for ARMA parameters," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 14-07.
- Tobias Kley & Stanislav Volgushev & Holger Dette & Marc Hallin, 2014, "Quantile Spectral Processes: Asymptotic Analysis and Inference," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-07, Feb.
- Item repec:ipg:wpaper:2014-162 is not listed on IDEAS anymore
- Davy Paindaveine & Thomas Verdebout, 2013, "Optimal Rank-Based Tests for the Location Parameter of a Rotationally Symmetric Distribution on the Hypersphere," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-36, Sep.
- Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014, "The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP06/14, Feb.
- McCAUSLAND, William & MARLEY, A. A. J., 2013, "Bayesian inference and model comparison for ramdom choice structures," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2013-06.
- Pan, Li & Politis, Dimitris N, 2014, "Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt67h5s74t, Jan.
- Richey, Jeremiah, 2013, "An Odd Couple: Monotone Instrumental Variables and Binary Treatments," MPRA Paper, University Library of Munich, Germany, number 54785, Jun, revised 06 Nov 2013.
- Davy Paindaveine & Thomas Verdebout, 2013, "Universal Asymptotics for High-Dimensional Sign Tests," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-40, Nov.
- Marc Hallin & Ramon van den Akker & Bas Werker, 2013, "On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-34, Sep.
- Paul E. Carrillo & Jonathan Rothbaum, 2014, "Counterfactual Spatial Distributions," Working Papers, The George Washington University, Institute for International Economic Policy, number 2014-05, Mar.
- Abdelkamel Alj & Rajae Azrak & Guy Melard, 2014, "On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-05, Jan.
- Leopold Simar & Ingrid Van Keilegom & Valentin Zelenyuk, 2014, "Nonparametric Least Squares Methods for Stochastic Frontier Models," CEPA Working Papers Series, School of Economics, University of Queensland, Australia, number WP032014, Mar.
- Stephen Pollock, 2014, "Econometric Filters," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 14/07, Mar.
- Bertrand Candelon & Christophe Hurlin & Elena Dumitnescu, 2014, "Currency Crisis Early Warning Systems: Why They should be Dynamic," Working Papers, Department of Research, Ipag Business School, number 2014-161, Jan.
- Davy Paindaveine & Germain Van Bever, 2013, "Inference on the Shape of Elliptical Distribution Based on the MCD," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-27, May.
- Marta Bañbura & Domenico Giannone & Michèle Lenza, 2014, "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-15, Mar.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014, "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-14, Feb.
- Demuynck, T., 2014, "Statistical inference for measures of predictive success," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 009, Jan, DOI: 10.26481/umagsb.2014009.
- Christophe Ley & Camille Sabbah & Thomas Verdebout, 2014, "A new concept of quantiles for directional data and the angular Mahalanobis depth," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-23.