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Report NEP-ECM-2015-07-18
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:
- Xiaohong Chen & Zhipeng Liao, 2015, "Sieve Semiparametric Two-Step GMM under Weak Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2012, Jul.
- Dong Hwan Oh & Andrew J. Patton, 2015, "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-50, May, DOI: 10.17016/FEDS.2015.050.
- Peter C. B. Phillips, 2015, "Inference in Near Singular Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2009, Jul.
- David Harvey & Stephen Leybourne, 2014, "Confidence sets for the date of a break in level and trend when the order of integration is unknown," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 14/04, Apr.
- Donald W.K. Andrews & Xiaoxia Shi, 2015, "Inference Based on Many Conditional Moment Inequalities," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2010, Jul.
- Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015, "In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-083/III, Jul.
- Dong Hwan Oh & Andrew J. Patton, 2015, "Modelling Dependence in High Dimensions with Factor Copulas," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-51, May, DOI: 10.17016/FEDS.2015.051.
- Franco Peracchi & Samantha Leorato, 2015, "Shape Regressions," Working Papers, Georgetown University, Department of Economics, number gueconwpa~15-15-06, Jul.
- Conrad, Christian & Schienle, Melanie, 2015, "Misspecification Testing in GARCH-MIDAS Models," Working Papers, University of Heidelberg, Department of Economics, number 0597, Jul.
- Steven T. Berry & Philip A. Haile, 2015, "Identification of Nonparametric Simultaneous Equations Models with a Residual Index Structure," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2008, Jul.
- Ha-Hyun Jo & Yi Seul Eom, 2015, "The Empirical Study on the CDM projects in Korea: with PDD data of 2005¡2015," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2015rwp-80, Jun.
- Robert Novy-Marx, 2015, "Backtesting Strategies Based on Multiple Signals," NBER Working Papers, National Bureau of Economic Research, Inc, number 21329, Jul.
- Christophe Gouel & Nicolas Legrand, 2015, "Estimating the Competitive Storage Model with Trending Commodity Prices," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-15.
- Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2015, "Hybrid scheme for Brownian semistationary processes," Papers, arXiv.org, number 1507.03004, Jul, revised May 2017.
- Shibo Liu & Tom Weyman-Jones & Karligash Glass, 2015, "Statistical Inference and Efficient Portfolio Investment Performance," Discussion Paper Series, Department of Economics, Loughborough University, number 2015_01, Jan, revised Jan 2015.
- Biørn, Erik & Han, Xuehui, 2015, "Persistence, Signal-Noise Pattern and Heterogeneity in Panel Data: With an Application to the Impact of Foreign Direct Investment on GDP," Memorandum, Oslo University, Department of Economics, number 04/2015, Feb.
- Vassili Bazinas & Bent Nielsen, 2015, "Causal transmission in reduced-form models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2015-W07, Jul.
- Joshua B. Miller & Adam Sanjurjo, 2015, "Surprised by the Gambler’s and Hot Hand Fallacies? A Truth in the Law of Small Numbers," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 552.
- Fengler, Matthias R. & Herwartz, Helmut, 2015, "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1517, Jul.