Report NEP-ECM-2005-08-13

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:

• Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," Cowles Foundation Discussion Papers 1530, Cowles Foundation for Research in Economics, Yale University.
• Paulo M. M. Rodrigues, 2004. "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers ECO2004/31, European University Institute.
• Stephen Bond & Céline Nauges & Frank Windmeijer, 2005. "Unit roots: identification and testing in micro panels," CeMMAP working papers CWP07/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004. "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers ECO2004/29, European University Institute.
• Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Economics Working Papers ECO2005/05, European University Institute.
• Dietmar Bauer & Martin Wagner, 2005. "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Working Papers ECO2005/09, European University Institute.
• Rodney W. Strachan, 2005. "Bayesian Inference in Cointegrated I (2) Systems: a Generalisation of the Triangular Model," Discussion Papers in Economics 05/14, Division of Economics, School of Business, University of Leicester.
• Gary Koop & Roberto León-González & Rodney W. Strachan, 2005. "Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space," Discussion Papers in Economics 05/13, Division of Economics, School of Business, University of Leicester, revised Apr 2006.
• Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute.
• Helmut Luetkepohl, 2005. "Structural Vector Autoregressive Analysis for Cointegrated Variables," Economics Working Papers ECO2005/02, European University Institute.
• Item repec:fiu:wpaper:0413 is not listed on IDEAS anymore

• N. Vijayamohanan Pillai, 2004. "Causality and error correction in Markov chain: Inflation in India revisited," Centre for Development Studies, Trivendrum Working Papers 366, Centre for Development Studies, Trivendrum, India.
• Catalin Starica & Stefano Herzel & Tomas Nord, 2005. "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics 0508003, University Library of Munich, Germany.
• Peter A. Zadrozny, 2005. "Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(p,q) Process," CESifo Working Paper Series 1505, CESifo.
• David E. Giles, 2005. "The Bias of Inequality Measures in Very Small Samples: Some Analytic Results," Econometrics Working Papers 0514, Department of Economics, University of Victoria.
• Muñoz, Alberto & Moguerza, Javier M., 2005. "On the combination of kernels for support vector classifiers," DES - Working Papers. Statistics and Econometrics. WS ws054508, Universidad Carlos III de Madrid. Departamento de Estadística.
• Elena Tchernykh & William H. Branson, 2005. "Regime-Switching Behavior of the Term Structure of Forward Markets," NBER Working Papers 11517, National Bureau of Economic Research, Inc.
• Patrick Marsh, "undated". "Goodness of Fit Tests via Exponential Series Density Estimation," Discussion Papers 05/24, Department of Economics, University of York.
• Patrick Marsh, "undated". "A Two-Sample Non-Parametric Likelihood Ratio Test," Discussion Papers 05/25, Department of Economics, University of York.
• Viktor Winschel, 2005. "Solving, Estimating and Selecting Nonlinear Dynamic Economic Models without the Curse of Dimensionality," GE, Growth, Math methods 0507014, University Library of Munich, Germany.
• Item repec:fiu:wpaper:0406 is not listed on IDEAS anymore

• Item repec:fiu:wpaper:0412 is not listed on IDEAS anymore

• Isabel Proenca & Joao Santos Silva, 2005. "Parametric and semiparametric specification tests for binary choice models: a comparative simulation study," Econometrics 0508008, University Library of Munich, Germany.
• Uppal, Raman & Wang, Tan & Garlappi, Lorenzo, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers 5148, C.E.P.R. Discussion Papers.
• Wolfgang Haerdle & Enno MAMMEN & Isabel Proenca, 2005. "A Bootstrap Test for Single Index Models," Econometrics 0508007, University Library of Munich, Germany.
• Roger Klein & Francis Vella, 2005. "Estimating a class of triangular simultaneous equations models without exclusion restrictions," CeMMAP working papers CWP08/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Matthias Mohr, 2005. "A Trend-Cycle(-Season) Filter," Econometrics 0508004, University Library of Munich, Germany.