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Report NEP-ECM-2015-06-13
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:
- Bent Jesper Christensen & Rasmus T. Varneskov, 2015, "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-25, May.
- Ulrich Hounyo & Rasmus T. Varneskov, 2015, "A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-26, May.
- esposito, francesco paolo & cummins, mark, 2015, "Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models," MPRA Paper, University Library of Munich, Germany, number 64987, May.
- W. Robert Reed, 2015, "Testing For Unit Roots With Cointegrated Data," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/11, May.
- Naoto Kunitomo & Seisho Sato, 2015, "Trend, Seasonality and Economic Time Series:the Nonstationary Errors-in-variables Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-977, Jun.
- Shonosuke Sugasawa & Tatsuya Kubokawa, 2015, "Heteroscedastic Nested Error Regression Models with Variance Functions," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-978, Jun.
- Bayai, Mohsen & Erdogdu, Murat A. & Montanari, Andrea, 2015, "Estimating LASSO Risk and Noise Level," Research Papers, Stanford University, Graduate School of Business, number 3284.
- Abdelkamel Alj & Christophe Ley & Guy Melard, 2015, "Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2015-21, Jun.
- Fuchun Li, 2015, "Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates," Staff Working Papers, Bank of Canada, number 15-17, DOI: 10.34989/swp-2015-17.
- Violetta Dalla & Javier Hidalgo, 2015, "Testing for Breaks in Regression Models with Dependent Data," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number /2015/584, Mar.
- Bertille Antoine & Otilia Boldea, 2015, "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers, Department of Economics, Simon Fraser University, number dp15-04, Jun, revised 25 Aug 2016.
- esposito, francesco paolo & cummins, mark, 2015, "Multiple hypothesis testing of market risk forecasting models," MPRA Paper, University Library of Munich, Germany, number 64986, Mar.
- Joshua C.C. Chan & Eric Eisenstat, 2015, "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-19, Jun.
- Farbmacher, Helmut & Kögel, Heinrich, 2015, "Inference Problems under a Special Form of Heteroskedasticity," MEA discussion paper series, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy, number 201503, Mar.
- Daniel Felix Ahelegbey, 2015, "The Econometrics of Networks: A Review," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2015:13.
- Laurent Callot & Johannes Tang Kristensen, 2015, "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-29, Jun.
- Nathaniel T. Wilcox, 2015, "Error and Generalization in Discrete Choice Under Risk," Working Papers, Chapman University, Economic Science Institute, number 15-11.
- Sayers, A. & Heron, J. & Smith, A. & Macdonald-Wallis, C. & Gilthorpe, M. & Steele, F. & Tilling, K., 2017, "Joint modelling compared with two stage methods for analysing longitudinal data and prospective outcomes: a simulation study of childhood growth and BP," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 62246, Feb.
- Goh, Joel & Bayati, Mohsen & Zenios, Stefanos A. & Singh, Sundeep & Moore, David, 2015, "Data Uncertainty in Markov Chains: Application to Cost-Effectiveness Analyses of Medical Innovations," Research Papers, Stanford University, Graduate School of Business, number 3283.
- Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015, "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1507, Jun.
- Christopher G. Gibbs, 2015, "Overcoming the Forecast Combination Puzzle: Lessons from the Time-Varying Effciency of Phillips Curve Forecasts of U.S. Inflation," Discussion Papers, School of Economics, The University of New South Wales, number 2015-09, Apr.
- Christopher F Baum & Hans Lööf & Pardis Nabavi & Andreas Stephan, 2015, "A New Approach to Estimation of the R&D-Innovation-Productivity Relationship," Boston College Working Papers in Economics, Boston College Department of Economics, number 876, May.