Report NEP-ECM-2013-01-07

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:

• Deepa Dhume Datta & Wenxin Du, 2012. "Nonparametric HAC estimation for time series data with missing observations," International Finance Discussion Papers 1060, Board of Governors of the Federal Reserve System (U.S.).
• Stephen G. Donald & Yu-Chin Hsu & Robert P. Lieli, 2012. "Testing the Unconfoundedness Assumption via Inverse Probability Weighted Estimators of (L)ATT," IEAS Working Paper : academic research 12-A017, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• James B. McDonald & Hieu Nguyen, 2012. "Heteroskedasticity and Distributional Assumptions in the Censored Regression Model," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-09, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
• Jean Jacod & Mark Podolskij, 2012. "A test for the rank of the volatility process: the random perturbation approach," CREATES Research Papers 2012-57, Department of Economics and Business Economics, Aarhus University.
• Pavlyuk, Dmitry, 2012. "Maximum Likelihood Estimator for Spatial Stochastic Frontier Models," MPRA Paper 43390, University Library of Munich, Germany.
• Badi H. Baltagi & Chihwa Kao & Long Liu, 2012. "On The Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments," Center for Policy Research Working Papers 143, Center for Policy Research, Maxwell School, Syracuse University.
• Jan F. KIVIET & Garry D.A. PHILLIPS, 2012. "Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models," Economic Growth Centre Working Paper Series 1206, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Badi H. Baltagi & Qu Feng & Chihwa Kao, 2012. "A Lagrange Multiplier Test for Cross-Sectional Dependence in a Fixed Effects Panel Data Model," Center for Policy Research Working Papers 137, Center for Policy Research, Maxwell School, Syracuse University.
• Stefan Hoderlein & Robert Sherman, 2012. "Identification and estimation in a correlated random coefficients binary response model," CeMMAP working papers CWP42/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2012. "Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study," Economics Series 294, Institute for Advanced Studies.
• Badi H. Baltagi & Long Liu, 2012. "Estimation and Prediction in the Random Effects Model with AR(p) Remainder Disturbances," Center for Policy Research Working Papers 138, Center for Policy Research, Maxwell School, Syracuse University.
• Badi H. Baltagi & Long Liu, 2012. "Testing for Spatial Lag and Spatial Error Dependence Using Double Length Artificial Regressions," Center for Policy Research Working Papers 147, Center for Policy Research, Maxwell School, Syracuse University.
• Badi H. Baltagi & Ying Deng, 2012. "EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects," Center for Policy Research Working Papers 146, Center for Policy Research, Maxwell School, Syracuse University.
• Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2012. "Small Sample Properties and Pretest Estimation of A Spatial Hausman-Taylor Model," Center for Policy Research Working Papers 141, Center for Policy Research, Maxwell School, Syracuse University.
• Harvey, A. & Luati, A., 2012. "Filtering with heavy tails," Cambridge Working Papers in Economics 1255, Faculty of Economics, University of Cambridge.
• Guo, Mengmeng & Zhou, Lhan & Huang, Jianhua Z. & Härdle, Wolfgang Karl, 2013. "Functional data analysis of generalized quantile regressions," SFB 649 Discussion Papers 2013-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Arthur Lewbel & Xun Lu & Liangjun Su, 2012. "Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models," Boston College Working Papers in Economics 817, Boston College Department of Economics, revised 01 May 2013.
• Christophe Ley & Yvik Swan & Thomas Verdebout, 2013. "Efficient ANOVA for Directional Data," Working Papers ECARES ECARES 2012-48, ULB -- Universite Libre de Bruxelles.
• Liao, Yuan & Simoni, Anna, 2012. "Semi-parametric Bayesian Partially Identified Models based on Support Function," MPRA Paper 43262, University Library of Munich, Germany.
• Badi H. Baltagi & Long Liu, 2012. "The Hausman-Taylor Panel Data Model with Serial Correlation," Center for Policy Research Working Papers 136, Center for Policy Research, Maxwell School, Syracuse University.
• Item repec:dgr:uvatin:20120133 is not listed on IDEAS anymore

• Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Instability in Covariance Structures," Center for Policy Research Working Papers 131, Center for Policy Research, Maxwell School, Syracuse University.
• Jan F. KIVIET & Milan PLEUS, 2012. "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Economic Growth Centre Working Paper Series 1208, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Arun Chandrasekhar & Victor Chernozhukov & Francesca Molinari & Paul Schrimpf, 2012. "Inference for best linear approximations to set identified functions," CeMMAP working papers CWP43/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Prosper Dovonon & Eric Renault, 2012. "Testing for Common GARCH Factors," CIRANO Working Papers 2012s-34, CIRANO.
• Huber, Martin & Lechner, Michael & Steinmayr, Andreas, 2012. "Radius matching on the propensity score with bias adjustment: finite sample behaviour, tuning parameters and software implementation," Economics Working Paper Series 1226, University of St. Gallen, School of Economics and Political Science.
• Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," AMSE Working Papers 1240, Aix-Marseille School of Economics, France, revised Dec 2012.
• Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers 135, Center for Policy Research, Maxwell School, Syracuse University.
• Dominique Guegan & Bertrand K. Hassani, 2012. "An Autocorrelated Loss Distribution Approach: back to the time series," Documents de travail du Centre d'Economie de la Sorbonne 12091, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Ginters Buss, 2012. "Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach," Working Papers 2012/06, Latvijas Banka.
• Gordon J. Ross, 2012. "Modeling Financial Volatility in the Presence of Abrupt Changes," Papers 1212.6016, arXiv.org.
• Enrique Moral-Benito, 2012. "Growth Empirics in Panel Data under Model Uncertainty and Weak Exogeneity," Working Papers 1243, Banco de España.
• Politis, Dimitris, 2012. "On The Behavior Of Nonparametric Density And Spectral Density Estimators At Zero Points Of Their Support," University of California at San Diego, Economics Working Paper Series qt40g0z0tz, Department of Economics, UC San Diego.
• Badi H. Baltagi & Georges Bresson, 2012. "A Robust Hausman-Taylor Estimator," Center for Policy Research Working Papers 140, Center for Policy Research, Maxwell School, Syracuse University.
• Raffaello Morales & T. Di Matteo & Tomaso Aste, 2012. "Non stationary multifractality in stock returns," Papers 1212.3195, arXiv.org, revised May 2013.
• Kociecki, Andrzej & Rubaszek, Michał & Ca' Zorzi, Michele, 2012. "Bayesian analysis of recursive SVAR models with overidentifying restrictions," Working Paper Series 1492, European Central Bank.
• Ari, Yakup, 2012. "Volatility modelling of foreign exchange rate: discrete GARCH family versus continuous GARCH," MPRA Paper 43330, University Library of Munich, Germany.
• Ilaria Lucrezia Amerise & Agostino Tarsitano, 2012. "Weighting Distance Matrices Using Rank Correlations," Working Papers 201209, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF.
• Michael W. McCracken & Tucker S. McElroy, 2012. "Multi-step ahead forecasting of vector time series," Working Papers 2012-060, Federal Reserve Bank of St. Louis.
• Grech Dariusz & Mazur Zygmunt, 2012. "On the scaling range of power-laws originated from fluctuation analysis," Papers 1212.5070, arXiv.org.
• Makram El-Shagi & Gregor von Schweinitz, 2012. "Qual VAR Revisited: Good Forecast, Bad Story," IWH Discussion Papers 12, Halle Institute for Economic Research.
• Sean C. Kerman & James B. McDonald, 2012. "Skewness-kurtosis bounds for the skewed generalized T and related distributions," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-10, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
• Andrea Stella & James H. Stock, 2012. "A state-dependent model for inflation forecasting," International Finance Discussion Papers 1062, Board of Governors of the Federal Reserve System (U.S.).
• Christopher Heiberger & Torben Klarl & Alfred Maussner, 2012. "System Reduction and the Accuracy of Solutions of DSGE Models: A Note," Discussion Paper Series 320, Universitaet Augsburg, Institute for Economics.