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Report NEP-ECM-2015-04-02
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:
- Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014, "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:29.
- Pierre Perron & Mototsugu Shintani & Tomoyoshi Yabu, 2015, "Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 15-00001, Feb.
- Xu Cheng & Zhipeng Liao & Ruoyao Shi, 2013, "Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspecification, Second Version," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 15-017, Aug, revised 25 Mar 2015.
- Joseph, Esdras & Galeano San Miguel, Pedro & Lillo Rodríguez, Rosa Elvira, 2015, "Two-sample Hotelling's T² statistics based on the functional Mahalanobis semi-distance," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws1503, Mar.
- Rinke, Saskia & Sibbertsen, Philipp, 2015, "Information Criteria for Nonlinear Time Series Models," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-548, Mar.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015, "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1516, Mar.
- YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS, 2015, "Testing Linearity Using Power Transforms of Regressors," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2015rwp-79, Mar.
- YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS, 2015, "We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors"," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2015rwp-79a, Mar.
- Prosper Donovon & Alastair R. Hall, 2015, "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series, Economics, The University of Manchester, number 1505.
- Nelson Ramírez-Rondán, 2015, "Maximum Likelihood Estimation of Dynamic Panel Threshold Models," Working Papers, Peruvian Economic Association, number 32, Mar.
- Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2015, "Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-14, Mar.
- Liusha Yang & Romain Couillet & Matthew R. McKay, 2015, "A Robust Statistics Approach to Minimum Variance Portfolio Optimization," Papers, arXiv.org, number 1503.08013, Mar.
- Michael P. Clements, 2015, "Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2015-02, Jan.
- Nikolas Mittag, 2015, "A Simple Method to Estimate Large Fixed Effects Models Applied to Wage Determinants and Matching," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp532, Mar.
- Jesus Crespo Cuaresma & Bettina Grün & Paul Hofmarcher & Stefan Humer & Mathias Moser, 2015, "A Comprehensive Approach to Posterior Jointness Analysis in Bayesian Model Averaging Applications," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp193, Mar.
- Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015, "The Asymptotic Behaviour of the Residual Sum of Squares in Models with Multiple Break Points," Economics Discussion Paper Series, Economics, The University of Manchester, number 1504.
- Fedor Iskhakov & Jinhyuk Lee & John Rust & Bertel Schjerning & Kyoungwon Seo, 2015, "Constrained Optimization Approaches to Estimation of Structural Models: Comment," Discussion Papers, University of Copenhagen. Department of Economics, number 15-05, Mar.