Printed from https://ideas.repec.org/n/nep-ecm/2015-11-21.html
Report NEP-ECM-2015-11-21
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:
- Hill, Jonathan B. & Prokhorov, Artem, 2015, "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-03, Sep.
- Valerio Scalone, 2015, "Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound," Working Papers, Sapienza University of Rome, DISS, number 6/15, Nov.
- Silvia BACCI & Francesco BARTOLUCCI & Silvia PANDOLFI, 2015, "A joint model for longitudinal and survival data based on an AR(1) latent process," Working papers of the Department of Economics - University of Perugia (IT), Università di Perugia, Dipartimento Economia, number 00014/2015, Oct.
- Gerlach, Richard & Wang, Chao, 2015, "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-07, Sep.
- Kohn, Robert & Tran, Minh-Ngoc, 2015, "Exact ABC using Importance Sampling," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-08, Sep.
- Tomás del Barrio Castro & Andrii Bodnar & Andreu Sansó Rosselló, 2015, "Numerical Distribution Functions for Seasonal Unit Root Tests with OLS and GLS Detrending," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 73.
- Tomás del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2015, "Semi-Parametric Seasonal Unit Root Tests," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 72.
- Bas van der Klaauw & Sandra Vriend, 2015, "A Nonparametric Method for Predicting Survival Probabilities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-126/V, Nov.
- Sofiene El Aoud & Frédéric Abergel, 2014, "Calibration of a stock's beta using options prices," Post-Print, HAL, number hal-01006405, Mar.
- Matyas Barczy & Balazs Nyul & Gyula Pap, 2015, "Least squares estimation for the subcritical Heston model based on continuous time observations," Papers, arXiv.org, number 1511.05948, Nov, revised Aug 2018.
- Fabian Dunker & Thorsten Hohage, 2014, "On parameter identification in stochastic differential equations by penalized maximum likelihood," Papers, arXiv.org, number 1404.0651, Apr.
- Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano, 2015, "A data-cleaning augmented Kalman filter for robust estimation of state space models," Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences, number 13-2015.
- Naoya Sueishi, 2015, "A Simple Derivation of the Efficiency Bound for Conditional Moment Restriction Models," Discussion Papers, Graduate School of Economics, Kobe University, number 1531, Sep.
- Boriss Siliverstovs, 2015, "Dissecting Models' Forecasting Performance," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 15-397, Nov, DOI: 10.3929/ethz-a-010692101.
- Tsagris, Michail, 2015, "Regression analysis with compositional data containing zero values," MPRA Paper, University Library of Munich, Germany, number 67868, Sep.
- Tamara Burdisso & Máximo Sangiácomo, 2015, "Panel Time Series. Review of the Methodological Evolution," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201568, Nov.
- Gerlach, R & Sutton, M & Vasnev, A, 2015, "Generalized Variance: A Robust Estimator of Stock Price Volatility," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-02, Apr.
- Hans Colonius, 2015, "An invitation to coupling and copulas: with applications to multisensory modeling," Papers, arXiv.org, number 1511.05303, Nov.
- Prokhorov, Artem & Schepsmeier, Ulf & Zhu, Yajing, 2015, "Generalized Information Matrix Tests for Copulas," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-05, Sep.
- David Pence Slichter, 2015, "The Employment Effects of the Minimum Wage: A Selection Ratio Approach to Measuring Treatment Effects," 2015 Papers, Job Market Papers, number psl76, Nov.
- Amsler, Christine & Artem, Prokhorov & Peter, Schmidt, 2015, "Endogeneity in Stochastic Frontier Models," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-01, Feb.
- Thor Pajhede, 2015, "Backtesting Value-at-Risk: A Generalized Markov Framework," Discussion Papers, University of Copenhagen. Department of Economics, number 15-18, Nov.
- David M. Kaplan, 2015, "Bayesian and frequentist tests of sign equality and other nonlinear inequalities," Working Papers, Department of Economics, University of Missouri, number 1516, Jul.
- Shin Kanaya, 2015, "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-50, Nov.
- , , "," IPEK Working Papers, Ipek University, Department of Economics, number 1509.
- Demuynck, T., 2015, "Bounding average treatment effects : a linear programming approach," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 027, Jan, DOI: 10.26481/umagsb.2015027.
- Willi Mutschler, 2015, "Higher-order statistics for DSGE models," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4315, Nov.