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Report NEP-ECM-2016-12-11
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:
- Olivier Ledoit & Michael Wolf & Zhao Zhao, 2016, "Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies," ECON - Working Papers, Department of Economics - University of Zurich, number 238, Dec, revised May 2018.
- Byrne, Joseph & Fu, Rong, 2016, "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper, University Library of Munich, Germany, number 75366, Nov.
- Didier Nibbering & Richard Paap & Michel van der Wel, 2016, "A Bayesian Infinite Hidden Markov Vector Autoregressive Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-107/III, Dec, revised 13 Oct 2017.
- Takaki Hayashi & Yuta Koike, 2016, "Wavelet-based methods for high-frequency lead-lag analysis," Papers, arXiv.org, number 1612.01232, Dec, revised Nov 2018.
- Nikolaos Mitianoudis & Theologos Dergiades, 2016, "Stock Prices Predictability at Long-horizons: Two Tales from the Time-Frequency Domain," Discussion Paper Series, Department of Economics, University of Macedonia, number 2016_04, Dec, revised Dec 2016.
- Kurz-Kim, Jeong-Ryeol, 2016, "Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators," Discussion Papers, Deutsche Bundesbank, number 47/2016.
- Griffith, Rachel & Crawford, Gregory & Iaria, Alessandro, 2016, "Preference Estimation with Unobserved Choice Set Heterogeneity using Sufficient Sets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11675, Dec.
- Kaeding, Matthias, 2016, "Fast, approximate MCMC for Bayesian analysis of large data sets: A design based approach," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 660, DOI: 10.4419/86788766.
- Matthieu Garcin, 2016, "Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates," Working Papers, HAL, number hal-01399570, Nov.
- Marinho Bertanha & Marcelo J. Moreira, 2016, "Impossible Inference in Econometrics: Theory and Applications," Papers, arXiv.org, number 1612.02024, Dec, revised Feb 2020.
- Takashi Kamihigashi & Hiroyuki Watanabe, 2016, "A Multiple-Try Extension of the Particle Marginal Metropolis-Hastings (PMMH) Algorithm with an Independent Proposal," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number DP2016-36, Nov.