Report NEP-ECM-2014-12-19

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.

Other reports in NEP-ECM

The following items were announced in this report:

• Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.
• Julia Polak & Maxwell L. King & Xibin Zhang, 2014. "A Model Validation Procedure," Monash Econometrics and Business Statistics Working Papers 21/14, Monash University, Department of Econometrics and Business Statistics.
• Azam, Kazim & Pitt, Michael, 2014. "Bayesian Inference for a Semi-Parametric Copula-based Markov Chain," The Warwick Economics Research Paper Series (TWERPS) 1051, University of Warwick, Department of Economics.
• Hisayuki Tsukuma & Tatsuya Kubokawa, 2014. "Unified Improvements in Estimation of a Normal Covariance Matrix in High and Low Dimesions," CIRJE F-Series CIRJE-F-937, CIRJE, Faculty of Economics, University of Tokyo.
• Tatsuya Kubokawa & Éric Marchand & William E. Strawderman, 2014. "On Improved Shrinkage Estimators for Concave Loss," CIRJE F-Series CIRJE-F-936, CIRJE, Faculty of Economics, University of Tokyo.
• Gian P. Cervellera & Marco P. Tucci, 2014. "A note on the estimation of a Gamma-Variance process: Learning from a failure," Department of Economics University of Siena 702, Department of Economics, University of Siena.
• Joo, Joonhwi & LaLonde, Robert J., 2014. "Testing for Selection Bias," IZA Discussion Papers 8455, Institute of Labor Economics (IZA).
• Matteo Barigozzi & Marc Hallin, 2014. "Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks," Working Papers ECARES ECARES 2014-52, ULB -- Universite Libre de Bruxelles.
• Qin, Duo, 2014. "Resurgence of instrument variable estimation and fallacy of endogeneity," Economics Discussion Papers 2014-42, Kiel Institute for the World Economy (IfW Kiel).
• C. Marsilli, 2014. "Variable Selection in Predictive MIDAS Models," Working papers 520, Banque de France.