Report NEP-ECM-2016-12-18

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Offer Lieberman & Peter C.B. Phillips, 2016, "IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2061, Jun.
• Otneim, Håkon & Tjøstheim, Dag, 2016, "Non-parametric estimation of conditional densities: A new method," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2016/22, Dec.
• Timothy Neal, 2016, "Multidimensional Parameter Heterogeneity in Panel Data Models," Discussion Papers, School of Economics, The University of New South Wales, number 2016-15, Oct.
• Smeekes, Stephan & Wijler, Etiënne, 2016, "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 039, Jan, DOI: 10.26481/umagsb.2016039.
• Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016, "Testing part of a DSGE model by Indirect Inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2016/12, Dec.
• Badi H. Baltagi & Chihwa Kao & Fa Wang, 2016, "The Identification and Estimation of a Large Factor Model with Structural Instability," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 194, Nov.
• Joachim Lebovits & Mark Podolskij, 2016, "Estimation of the global regularity of a multifractional Brownian motion," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-33, Dec.
• Wayne Yuan Gao & Peter C.B. Phillips, 2016, "Structural Inference from Reduced Forms with Many Instruments," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2062, Oct.
• de Valk, Cees, 2016, "A large deviations approach to the statistics of extreme events," Other publications TiSEM, Tilburg University, School of Economics and Management, number 117b3ba0-0e40-4277-b25e-d.
• Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016, ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2058, Dec.
• He, Yi, 2016, "Multivariate extreme value statistics for risk assessment," Other publications TiSEM, Tilburg University, School of Economics and Management, number 119cc8b9-5198-41d6-a648-f.
• Thieu, Le Quyen, 2016, "Variance targeting estimation of the BEKK-X model," MPRA Paper, University Library of Munich, Germany, number 75572, Aug.
• Nathalie Gimenes & Emmanuel Guerre, 2016, "Quantile methods for first-price auction: A signal approach," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2016_23, Oct.
• Jos'e E. Figueroa-L'opez & Cheng Li, 2016, "Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations," Papers, arXiv.org, number 1612.04507, Dec.
• Beaudry, Paul & Fève, Patrick & Guay, Alain & Portier, Franck, 2016, "When is Nonfundamentalness in SVARs A Real Problem?," TSE Working Papers, Toulouse School of Economics (TSE), number 16-738, Nov.
• Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016, "A diagnostic criterion for approximate factor structure," Papers, arXiv.org, number 1612.04990, Dec, revised Aug 2017.
• Luke Hartigan, 2016, "Testing for Symmetry in Weakly Dependent Time Series," Discussion Papers, School of Economics, The University of New South Wales, number 2016-18, Nov.
• Thieu, Le Quyen, 2016, "Equation by equation estimation of the semi-diagonal BEKK model with covariates," MPRA Paper, University Library of Munich, Germany, number 75582, Sep.
• William C. Horrace & Ian A. Wright, 2016, "Stationary Points for Parametric Stochastic Frontier Models," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 196, Nov.
• Quang Vuong & Ayse Pehlivan, 2016, "Nonparametric Identification and Estimation of Productivity Distributions and Trade Costs," 2016 Meeting Papers, Society for Economic Dynamics, number 1618.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016, "Predictability Hidden by Anomalous Observations," Papers, arXiv.org, number 1612.05072, Dec.
• Davide Delle Monache & Ivan Petrella, 2016, "Adaptive models and heavy tails with an application to inflation forecasting," BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics, number 1603, Nov.