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Report NEP-ECM-2015-03-05
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:
- Tingting Cheng & Jiti Gao & Xibin Zhang, 2015, "Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/15.
- Christine Cutting & Davy Paindaveine & Thomas Verdebout, 2015, "Tests of Concentration for Low-Dimensional and High-Dimensional Directional Data," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2015-05, Feb.
- Helmut Lütkepohl & George Milunovich, 2015, "Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1455.
- Gian Piero Aielli & Massimiliano Caporin, 2015, "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0193, Feb.
- Bellemare, Marc F. & Masaki, Takaaki & Pepinsky, Thomas B., 2015, "Lagged Explanatory Variables and the Estimation of Causal Effects," MPRA Paper, University Library of Munich, Germany, number 62350, Feb, revised 23 Feb 2015.
- Albarrán, Pedro & Carrasco, Raquel & Carro, Jesús M., 2015, "Estimation of Dynamic Nonlinear Random Effects Models with Unbalanced Panels," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number we1503, Feb.
- Moench, Emanuel & Adrian, Tobias & Crump, Richard K., 2015, "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10449, Mar.
- Christopher A. Hennessy & Ilya A. Strebulaev, 2015, "Beyond Random Assignment: Credible Inference of Causal Effects in Dynamic Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 20978, Feb.
- Maheu, John M & Yang, Qiao, 2015, "An Infinite Hidden Markov Model for Short-term Interest Rates," MPRA Paper, University Library of Munich, Germany, number 62408, Jan.
- Sentana, Enrique & MencÃa, Javier, 2015, "Volatility-related exchange traded assets: an econometric investigation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10444, Mar.
- Sentana, Enrique & Galesi, Alessandro, 2015, "Fast ML estimation of dynamic bifactor models: an application to European inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10461, Mar.
- Michael B. Gordy & Pawel J. Szerszen, 2015, "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-2, Jan, DOI: 10.17016/FEDS.2015.002.
- Ferrari, Stijn & Pirovano, Mara, 2015, "Early warning indicators for banking crises: a conditional moments approach," MPRA Paper, University Library of Munich, Germany, number 62406, Feb.
- Lee, Charles M. C. & So, Eric C. & Wang, Charles C. Y., 2017, "Evaluating Firm-Level Expected-Return Proxies," Research Papers, Stanford University, Graduate School of Business, number 3188, Jun.
- Aase, Knut K. & Lillestøl, Jostein, 2015, "Beyond the local mean-variance analysis in continuous time: The problem of non-normality," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2015/11, Feb.