Report NEP-ECM-2014-08-09This 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.
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 57794, University Library of Munich, Germany.
- Bertille Antoine & Eric Renault, 2014. "On the relevance of weaker instruments," Discussion Papers dp14-04, Department of Economics, Simon Fraser University, revised 10 Oct 2016.
- Marek Jarocinski & Albert Marcet, 2014. "Contrasting Bayesian and Frequentist Approaches to Autoregressions: the Role of the Initial Condition," Working Papers 776, Barcelona Graduate School of Economics.
- Joakim Westerlund & Paresh Kumar Narayan, "undated". "Testing for Predictability in Panels of Small Time Series Dimensions with an Application to Chinese Stock returns," Financial Econometics Series 2014_13, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Minford, Patrick & Xu, Yongdeng & Zhou, Peng, 2014. "How good are out of sample forecasting Tests on DSGE models?," Cardiff Economics Working Papers E2014/11, Cardiff University, Cardiff Business School, Economics Section.
- Christian Gouriéroux & Joann Jasiak, 2014. "Filtering and Prediction in Noncausal Processes," Working Papers 2014-15, Centre de Recherche en Economie et Statistique.
- Juodis, Arturas & Sarafidis, Vasilis, 2014. "Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors," MPRA Paper 57659, University Library of Munich, Germany.
- Grané, Aurea & Strzalkowska-Kominiak, Ewa, 2014. "Goodness-of-fit test for randomly censored data based on maximum correlation," DES - Working Papers. Statistics and Econometrics. WS ws142114, Universidad Carlos III de Madrid. Departamento de Estadística.
- Karine Bertin & Nicolas Klutchnikoff, 2014. "Adaptive Estimation of a Density Function using Beta Kernels," Working Papers 2014-08, Centre de Recherche en Economie et Statistique.
- P. Bertuccelli & M. Mucciardi & E. Otranto, 2014. "Spatial Effects in Dynamic Conditional Correlations," Working Paper CRENoS 201406, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Joakim Westerlund & Sagarika Mishra, "undated". "A Practical Note on the Determination of the Number of Factors Using Information Criteria with Data-Driven Penalty," Financial Econometics Series 2014_15, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Peter Martey Addo, 2014. "Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input," Papers 1407.7738, arXiv.org.
- Tetsuya Takaishi, 2014. "Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm," Papers 1408.0981, arXiv.org.
- Arnak S. Dalalyan & Mohamed Hebiri & Johannes Lederer, 2014. "On the Prediction Performance of the Lasso," Working Papers 2014-05, Centre de Recherche en Economie et Statistique.
- Joakim Westerlund, "undated". "A Random Coefficient Approach to the Predictability of Stock Returns in Panels," Financial Econometics Series 2014_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Joakim Westerlund & Milda Norkute & Paresh K Narayan, "undated". "A Factor Analytical Approach to the Efficient Futures Market Hypothesis," Financial Econometics Series 2014_12, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- 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 2014013, University of Antwerp, Faculty of Applied Economics.
- Chaisemartin, Clément de, 2014. "Tolerating defiance? Local average treatment effects without monotonicity," CAGE Online Working Paper Series 197, Competitive Advantage in the Global Economy (CAGE).