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Report NEP-ECM-2014-08-09
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:
- Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2014, "Variance targeting estimation of multivariate GARCH models," MPRA Paper, University Library of Munich, Germany, number 57794, Aug.
- Bertille Antoine & Eric Renault, 2014, "On the relevance of weaker instruments," Discussion Papers, Department of Economics, Simon Fraser University, number dp14-04, Jul, revised 10 Oct 2016.
- Marek Jarocinski & Albert Marcet, 2015, "Contrasting Bayesian and Frequentist Approaches to Autoregressions: the Role of the Initial Condition," Working Papers, Barcelona School of Economics, number 776, Sep.
- Westerlund, Joakim & Narayan, Paresh, 2014, "Testing for predictability in panels of small time series dimensions with an application to Chinese stock returns," Working Papers, Deakin University, Department of Economics, number fe_2014_13, Jan.
- Minford, Patrick & Xu, Yongdeng & Zhou, Peng, 2014, "How good are out of sample forecasting Tests on DSGE models?," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2014/11, Jul.
- Christian Gouriéroux & Joann Jasiak, 2014, "Filtering and Prediction in Noncausal Processes," Working Papers, Center for Research in Economics and Statistics, number 2014-15, Apr.
- Juodis, Arturas & Sarafidis, Vasilis, 2014, "Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors," MPRA Paper, University Library of Munich, Germany, number 57659, Jul.
- Strzalkowska-Kominiak, Ewa & Grané Chávez, Aurea, 2014, "Goodness-of-fit test for randomly censored data based on maximum correlation," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws142114, Jul.
- Karine Bertin & Nicolas Klutchnikoff, 2014, "Adaptive Estimation of a Density Function using Beta Kernels," Working Papers, Center for Research in Economics and Statistics, number 2014-08, Mar.
- P. Bertuccelli & M. Mucciardi & E. Otranto, 2014, "Spatial Effects in Dynamic Conditional Correlations," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201406.
- Westerlund, Joakim & Mishra, Sagarika, 2014, "A practical note on the determination of the number of factors using information criteria with data-driven penalty," Working Papers, Deakin University, Department of Economics, number fe_2014_15, Jan.
- Peter Martey Addo, 2014, "Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input," Papers, arXiv.org, number 1407.7738, Jul.
- Tetsuya Takaishi, 2014, "Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm," Papers, arXiv.org, number 1408.0981, Aug.
- Arnak S. Dalalyan & Mohamed Hebiri & Johannes Lederer, 2014, "On the Prediction Performance of the Lasso," Working Papers, Center for Research in Economics and Statistics, number 2014-05, Feb.
- Westerlund, Joakim & Narayan, Paresh, 2014, "A random coefficient approach to the predictability of stock returns in panels," Working Papers, Deakin University, Department of Economics, number fe_2014_10, Jan, DOI: 10.1093/jjfinec/nbu003.
- Westerlund, Joakim & Norkute, Milda & Narayan, Paresh Kumar, 2014, "A factor analytical approach to the efficient futures market hypothesis," Working Papers, Deakin University, Department of Economics, number fe_2014_12, Jan, DOI: 10.1002/fut.21687.
- KESSELS, Roselinde & ERREYGERS, Guido, 2014, "A unified structural equation modeling approach for the decomposition of rank-dependent indicators of socioeconomic inequality of health," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2014013, Jul.
- Chaisemartin, Clément de, 2014, "Tolerating defiance? Local average treatment effects without monotonicity," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE), number 197.