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