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Report NEP-ECM-2017-09-17
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:
- Degui Li & Peter CB Phillips & Jiti Gao, 2017, "Kernel-based inference in time-varying coefficient models with multiple integrated regressors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/17.
- Jiti Gao & Oliver Linton & Bin Peng, 2017, "Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/17.
- Moundigbaye, Mantobaye & Rea, William S. & Reed, W. Robert, 2017, "Which panel data estimator should I use? A corrigendum and extension," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-58.
- Tingting Cheng & Jiti Gao & Oliver Linton, 2017, "Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/17.
- Item repec:cwl:cwldpp:3007 is not listed on IDEAS anymore
- Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017, "A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities," Working Papers, University of California at Riverside, Department of Economics, number 201709, Jul.
- Simon Clinet & Yoann Potiron, 2017, "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Papers, arXiv.org, number 1709.02502, Sep, revised Feb 2019.
- Katerina Petrova & George Kapetanios & Riccardo Masolo & Matthew Waldron, 2017, "A time varying parameter structural model of the UK economy," Bank of England working papers, Bank of England, number 677, Sep.
- E. Otranto & M. Mucciardi, 2017, "Clustering Space-Time Series: A Flexible STAR Approach," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201707.
- Mawuli Segnon & Mark Trede, 2017, "Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 6617, Sep.
- Sebastian Fossati, 2017, "Testing for State-Dependent Predictive Ability," Working Papers, University of Alberta, Department of Economics, number 2017-09, Sep.
- David Harris & Gael M. Martin & Indeewara Perera & Don S. Poskitt, 2017, "Construction and visualization of optimal confidence sets for frequentist distributional forecasts," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/17.
- Christopher J. Rook, 2017, "Multivariate Density Modeling for Retirement Finance," Papers, arXiv.org, number 1709.04070, Sep.
- Item repec:cwl:cwldpp:3008 is not listed on IDEAS anymore
- Brunner, Daniel & Heiss, Florian & Romahn, André & Weiser, Constantin, 2017, "Reliable estimation of random coefficient logit demand models," DICE Discussion Papers, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE), number 267.
- Zaka Ratsimalahelo, 2017, "Generalised Wald type Test of nonlinear restrictions," Working Papers, CRESE, number 2017-13, Sep, DOI: https://doi.org/10.4236/oalib.11039.
- Alho, Juha & Müller, Gerrit & Pflieger, Verena & Rendtel, Ulrich, 2017, "The fade away of an initial bias in longitudinal surveys," Discussion Papers, Free University Berlin, School of Business & Economics, number 2017/25.
- Michael mcAleer, 2017, "Stationarity and Invertibility of a Dynamic Correlation Matrix," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-082/III, Sep.