Report NEP-ECM-2015-12-28

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:

• Ilze KALNINA, 2015, "Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 13-2015.
• Su Liangjun & Zhang Yonghui, 2015, "Semiparametric Estimation of Partially Linear Dynamic Panel Data Models with Fixed Effects," Working Papers, Singapore Management University, School of Economics, number 06-2015, Sep.
• Chong, Terence Tai Leung & Chen, Haiqiang & Wong, Tsz Nga & Yan, Isabel K., 2015, "Estimation and Inference of Threshold Regression Models with Measurement Errors," MPRA Paper, University Library of Munich, Germany, number 68457, Nov.
• Su Liangjun & Xi Qu, 2015, "Specification Test for Spatial Autoregressive Models," Working Papers, Singapore Management University, School of Economics, number 10-2015, Sep.
• Cubadda, G. & Guardabascio, B. & Hecq, A.W., 2015, "A Vector Heterogeneous Autoregressive Index model for realized volatility measures," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 033, Jan, DOI: 10.26481/umagsb.2015033.
• Jan F. Kiviet, 2015, "When is it really justifiable to ignore explanatory variable endogeneity in a regression model?," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 15-05, Dec.
• Zhenlin Yang & Jihai Yu & Shew Fan Liu, 2015, "Bias correction for fixed effects spatial panel data models," Working Papers, Singapore Management University, School of Economics, number 04-2015, Mar.
• Andrew Adrian Yu Pua, 2015, "On IV estimation of a dynamic linear probability model with fixed effects," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 15-01, Sep.
• Su Liangjun & Junhui Qian, 2015, "Shrinkage Estimation of Common Breaks in Panel Data Models via Adaptive Group Fused Lasso," Working Papers, Singapore Management University, School of Economics, number 07-2015, Sep.
• Su Liangjun & Xia Wang, 2015, "On Time-Varying Factor Models: Estimation and Testing," Working Papers, Singapore Management University, School of Economics, number 08-2015, Jul.
• Item repec:qmw:qmwecw:wp770 is not listed on IDEAS anymore

• Richard Y. Chen & Per A. Mykland, 2015, "Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data," Papers, arXiv.org, number 1512.06159, Dec, revised Oct 2018.
• Degui Li & Junhui Qian & Su Liangjun, 2015, "Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks," Working Papers, Singapore Management University, School of Economics, number 12-2015, Sep.
• Andrew Meldrum & Matt Roberts-Sklar, 2015, "Long-run priors for term structure models," Bank of England working papers, Bank of England, number 575, Dec.
• Ilze KALNINA & Dacheng XIU, 2015, "Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 09-2015.
• Item repec:qmw:qmwecw:wp767 is not listed on IDEAS anymore

• Peter C. B. Phillips & Ye Chen & Jun Yu, 2015, "Limit Theory for Continuous Time Systems with Mildly Explosive Regressors," Working Papers, Singapore Management University, School of Economics, number 03-2015, Mar.
• Bart Cockx & Stijn Baert & Matteo Picchio, 2015, "Modeling the Effects of Grade Retention in High School," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2015023, Dec.
• Jan F. Kiviet, 2015, "Discriminating between (in)valid external instruments and (in)valid exclusion restrictions," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 15-04, Nov.
• Item repec:qmw:qmwecw:wp766 is not listed on IDEAS anymore

• Bin Chen & Jinho Choi & Juan Carlos Escanciano, 2015, "Testing for Fundamental Vector Moving Average Representations," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2015-022, Dec.
• Pooyan Amir Ahmadi & Harald Uhlig, 2015, "Sign Restrictions in Bayesian FaVARs with an Application to Monetary Policy Shocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 21738, Nov.
• Sarisoy, Cisil, 2015, "Efficiency gains, bounds, and risk in finance," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2ca53ace-152e-467b-8469-1.
• Arturas Juodis, 2015, "Iterative Bias Correction Procedures Revisited: A Small Scale Monte Carlo Study," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 15-02, Oct.
• Yongchen Zhao, 2015, "Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms," Working Papers, Towson University, Department of Economics, number 2015-04, Dec, revised Mar 2020.
• Francisco Barillas & Jay Shanken, 2015, "Comparing Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 21771, Dec.