Report NEP-ECM-2015-10-04

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:

• Min Seong Kim & Yixiao Sun & Jingjing Yang, 2015, "A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data," Working Papers, Toronto Metropolitan University, Department of Economics, number 049, Sep.
• Ilze KALNINA & Kokouvi TEWOU, 2015, "Cross-sectional Dependence in Idiosyncratic Volatility," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 08-2015.
• Lars Josef Hook & Erik Lindstrom, 2015, "Efficient Computation of the Quasi Likelihood function for Discretely Observed Diffusion Processes," Papers, arXiv.org, number 1509.07751, Sep.
• Kim Christensen & Mark Podolskij & Nopporn Thamrongrat & Bezirgen Veliyev, 2015, "Inference from high-frequency data: A subsampling approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-45, Aug.
• Ricardo Quineche Uribe & Gabriel Rodríguez, 2015, "Data-Dependent Methods for the Lag Length Selection in Unit Root Tests with Structural Change," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2015-404.
• Rasmus Søndergaard Pedersen, 2015, "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Discussion Papers, University of Copenhagen. Department of Economics, number 15-10, Sep.
• Fady Barsoum, 2015, "Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2015-19, Sep.
• Zhu, Ke, 2015, "Hausman tests for the error distribution in conditionally heteroskedastic models," MPRA Paper, University Library of Munich, Germany, number 66991, Sep.
• Carlomagno, Guillermo & Espasa, Antoni, 2016, "Discovering common trends in a large set of disaggregates: statistical procedures and their properties," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1519, Aug.
• Trenkler, Carsten & Weber, Enzo, 2015, "On the identification of multivariate correlated unobserved components models," Working Papers, University of Mannheim, Department of Economics, number 15-12.
• Daniel J. Graham, 2014, "Causal Influence for Ex-post Evaluation of Transport Interventions," International Transport Forum Discussion Papers, OECD Publishing, number 2014/13, Oct, DOI: 10.1787/5jrw2z02frjk-en.
• Peter A. Bebbington & Reimer Kuehn, 2015, "Optimal trading strategies - a time series approach," Papers, arXiv.org, number 1509.07953, Sep, revised Mar 2016.
• Luke Hartigan, 2015, "Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?," Discussion Papers, School of Economics, The University of New South Wales, number 2015-17, Sep.
• John Mullahy, 2015, "Estimation of Multivariate Probit Models via Bivariate Probit," NBER Working Papers, National Bureau of Economic Research, Inc, number 21593, Sep.
• Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2015, "Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model," Papers, arXiv.org, number 1509.08869, Sep, revised May 2018.
• Yacine Aït-Sahalia & Dacheng Xiu, 2015, "Principal Component Analysis of High Frequency Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 21584, Sep.
• Paolo Giudici & Laura Parisi, 2015, "Dynamic models for monetary transmission," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 106, Sep.
• Carlomagno, Guillermo & Espasa, Antoni, 2015, "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1518, Sep.
• Gabor Bekes & Peter Harasztosi, 2015, "Grid and shake - Spatial aggregation and robustness of regionally estimated elasticities," CERS-IE WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1526, Jun.
• Charles F. Manski & Aleksey Tetenov, 2015, "Clinical trial design enabling epsilon-optimal treatment rules," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 430.
• Mikkel Bennedsen, 2015, "Rough electricity: a new fractal multi-factor model of electricity spot prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-42, Sep.
• Hautsch, Nikolaus & Herrera, Rodrigo, 2015, "Multivariate dynamic intensity peaks-over-threshold models," CFS Working Paper Series, Center for Financial Studies (CFS), number 516.
• Roger Klein & Chan Shen, 2015, "Semiparametric Instrumental Variable Estimation in an Endogenous Treatment Model," Departmental Working Papers, Rutgers University, Department of Economics, number 201511, Sep.
• Schober, Dominik & Woll, Oliver, 2015, "Disentangling irregular cycles in economic time series," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 15-067.
• Eo, Yunjong, 2015, "Structural Changes in Inflation Dynamics: Multiple Breaks at Different Dates for Different Parameters," Working Papers, University of Sydney, School of Economics, number 2015-18, Oct, revised Nov 2015.

Report NEP-ECM-2015-10-04

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: