Report NEP-ECM-2015-02-22

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Daniel J. Henderson & Christopher F. Parmeter, 2015. "Single-Step Estimation of a Partially Linear Model," Working Papers 2015-01, University of Miami, Department of Economics.
• Ndene Ka & Stephane Mussard, 2015. "l1 Regressions: Gini Estimators for Fixed Effects Panel Data," Cahiers de recherche 15-02, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
• Yuki Ikeda & Tatsuya Kubokawa, 2015. "Linear Shrinkage Estimation of Large Covariance Matrices with Use of Factor Models," CIRJE F-Series CIRJE-F-958, CIRJE, Faculty of Economics, University of Tokyo.
• Jan F. Kiviet & Milan Pleus & Rutger Poldermans, 2014. "Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models," Economic Growth Centre Working Paper Series 1415, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Tomasz Skoczylas, 2015. "Bivariate GARCH models for single asset returns," Working Papers 2015-03, Faculty of Economic Sciences, University of Warsaw.
• Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2014. "Testing for Panel Cointegration using Common Correlated Effects Estimators," Discussion Papers 15-02, Department of Economics, University of Birmingham.
• Wagner, Martin & Wied, Dominik, 2014. "Monitoring Stationarity and Cointegration," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100386, Verein für Socialpolitik / German Economic Association.
• Bibinger, Markus & Jirak, Moritz & Vetter, Mathias, 2015. "Nonparametric change-point analysis of volatility," SFB 649 Discussion Papers 2015-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Item repec:esx:essedp:761 is not listed on IDEAS anymore

• Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda, 2015. "Factor based identification-robust inference in IV regressions," CEPR Discussion Papers 10390, C.E.P.R. Discussion Papers.
• Christine Cutting & Davy Paindaveine & Thomas Verdebout, 2015. "Testing Uniformity on High-Dimensional Spheres against Contiguous Rotationally Symmetric Alternatives," Working Papers ECARES ECARES 2015-04, ULB -- Universite Libre de Bruxelles.
• Xun Lu & Su Liangjun, 2015. "Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects," Working Papers 02-2015, Singapore Management University, School of Economics.
• Patrick Bajari & Denis Nekipelov & Stephen P. Ryan & Miaoyu Yang, 2015. "Demand Estimation with Machine Learning and Model Combination," NBER Working Papers 20955, National Bureau of Economic Research, Inc.
• Biqing Cai & Jiti Gao & Dag Tjostheim, 2015. "A New Class of Bivariate Threshold Cointegration Models," Monash Econometrics and Business Statistics Working Papers 1/15, Monash University, Department of Econometrics and Business Statistics.
• Malefaki, Valia, 2015. "On Flexible Linear Factor Stochastic Volatility Models," MPRA Paper 62216, University Library of Munich, Germany.
• Davide Fiaschi & Lisa Gianmoena & Angela Parenti, 2015. "Local Directional Moran Scatter Plot - LDMS," Discussion Papers 2015/197, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
• David M. Kaplan & Matt Goldman, 2015. "Nonparametric inference on conditional quantile differences and linear combinations, using L-statistics," Working Papers 1503, Department of Economics, University of Missouri.
• Johan Dahlin & Fredrik Lindsten & Thomas B. Schon, 2015. "Quasi-Newton particle Metropolis-Hastings," Papers 1502.03656, arXiv.org, revised Sep 2015.
• Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, Department of Economics and Business Economics, Aarhus University.
• Gianluca Cassese, 2015. "Non Parametric Estimates of Option Prices Using Superhedging," Papers 1502.03978, arXiv.org.
• Schumacher, Christian, 2014. "MIDAS regressions with time-varying parameters: An application to corporate bond spreads and GDP in the Euro area," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100289, Verein für Socialpolitik / German Economic Association.
• Drepper, Bettina & Effraimidis, Georgios, 2015. "Identification of the Timing-of-Events Model with Multiple Competing Exit Risks from Single-Spell Data," IZA Discussion Papers 8839, Institute of Labor Economics (IZA).
• Gonzalo, Jesus & Pitarakis, Jean-Yves, 2015. "Inferring the predictability induced by a persistent regressor in a predictive threshold model," Discussion Paper Series In Economics And Econometrics 1518, Economics Division, School of Social Sciences, University of Southampton.
• Franck A. Cowell & Emmanuel Flachaire, 2015. "Statistical Methods for Distributional Analysis," AMSE Working Papers 1507, Aix-Marseille School of Economics, France.