Report NEP-ECM-2006-01-24

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:

• Shiohama, Takayuki, 2006. "Asymptotically efficient estimation of the change point for semiparametric GARCH models," Discussion Paper Series a471, Institute of Economic Research, Hitotsubashi University.
• Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation for Research in Economics, Yale University.
• Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2006. "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing," Cowles Foundation Discussion Papers 1545, Cowles Foundation for Research in Economics, Yale University.
• Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2006. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," IBMEC RJ Economics Discussion Papers 2006-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Peter C. B. Phillips, 2006. "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Cowles Foundation Discussion Papers 1547, Cowles Foundation for Research in Economics, Yale University.
• Lobato, Ignacio N., 2005. "Efficient wald tests for fractional unit roots," UC3M Working papers. Economics we056935, Universidad Carlos III de Madrid. Departamento de Economía.
• George Athanasopoulos & Farshid Vahid, 2006. "VARMA versus VAR for Macroeconomic Forecasting," Monash Econometrics and Business Statistics Working Papers 4/06, Monash University, Department of Econometrics and Business Statistics.
• Jurgen A. Doornik & Marius Ooms, 2005. "Outlier Detection in GARCH Models," Tinbergen Institute Discussion Papers 05-092/4, Tinbergen Institute.
• George Athanasopoulos & Farshid Vahid, 2006. "A Complete VARMA Modelling Methodology Based on Scalar Components," Monash Econometrics and Business Statistics Working Papers 2/06, Monash University, Department of Econometrics and Business Statistics.
• Item repec:dgr:uvatin:20050076 is not listed on IDEAS anymore

• Peter C. B. Phillips & Chirok Han, 2006. "Gaussian Inference in AR(1) Time Series with or without a Unit Root," Cowles Foundation Discussion Papers 1546, Cowles Foundation for Research in Economics, Yale University.
• Borus Jungbacker & Siem Jan Koopman, 2005. "On Importance Sampling for State Space Models," Tinbergen Institute Discussion Papers 05-117/4, Tinbergen Institute.
• Ian Crawford, 2005. "A nonparametric test of stochastic dominance in multivariate distributions," School of Economics Discussion Papers 1205, School of Economics, University of Surrey.
• Joseph P & Romano & Azeem M. Shaikh & Michael Wolf, 2005. "Formalized Data Snooping Based on Generalized Error Rates," IEW - Working Papers 259, Institute for Empirical Research in Economics - University of Zurich.
• Skogsvik, Kenth, 2005. "On the Choice-Based Sample Bias in Probabilistic Business Failure Prediction," SSE/EFI Working Paper Series in Business Administration 2005:13, Stockholm School of Economics, revised 09 Jan 2006.
• Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers 2006-01, Department of Economics and Business Economics, Aarhus University.
• Offer Lieberman & Peter C. B. Phillips, 2006. "Refined Inference on Long Memory in Realized Volatility," Cowles Foundation Discussion Papers 1549, Cowles Foundation for Research in Economics, Yale University.
• Item repec:hal:papers:halshs-00007801_v1 is not listed on IDEAS anymore

• Jeroen Hinloopen & Charles van Marrewijk, 2005. "Comparing Distributions: The Harmonic Mass Index," Tinbergen Institute Discussion Papers 05-122/1, Tinbergen Institute, revised 30 Dec 2005.
• Item repec:dgr:uvatin:20050091 is not listed on IDEAS anymore

• Broto, Carmen, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de Estadística.
• Rob J Hyndman & Muhammad Akram, 2006. "Some Nonlinear Exponential Smoothing Models are Unstable," Monash Econometrics and Business Statistics Working Papers 3/06, Monash University, Department of Econometrics and Business Statistics.
• Jan F. Kiviet, 2005. "Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models," Tinbergen Institute Discussion Papers 05-112/4, Tinbergen Institute.
• Luis Alberiko Gil-Alana, 2005. "Structural Change and the Order of Integration in Univariate Time Series," Faculty Working Papers 20/05, School of Economics and Business Administration, University of Navarra.
• Item repec:dgr:kubcen:2005131 is not listed on IDEAS anymore

• Siem Jan Koopman & Kai Ming Lee, 2005. "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers 05-081/4, Tinbergen Institute.
• David Afshartous & Michael Wolf, 2005. "Avoiding Data Snooping in Multilevel and Mixed Effects Models," IEW - Working Papers 260, Institute for Empirical Research in Economics - University of Zurich.
• Marc Wildi & Bernd Schips, 2004. "Signal Extraction: How (In)efficient Are Model-Based Approaches? An Empirical Study Based on TRAMO/SEATS and Census X-12-ARIMA," KOF Working papers 04-96, KOF Swiss Economic Institute, ETH Zurich.
• Arup Bose, 2006. "Bootstrapping a linear estimator of the ARCH parameters," University of Cincinnati, Economics Working Papers Series 2006-03, University of Cincinnati, Department of Economics.
• Fairlie, Robert W., 2006. "An Extension of the Blinder-Oaxaca Decomposition Technique to Logit and Probit Models," IZA Discussion Papers 1917, Institute of Labor Economics (IZA).
• Item repec:dgr:kubcen:2005129 is not listed on IDEAS anymore

• Ingrid Lo, 2005. "An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate," Staff Working Papers 05-45, Bank of Canada.
• Riccardo LUCCHETTI, 2004. "Identification of Covariance Structures," Working Papers 214, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Kin Lam & May Chun Mei Wong & Wing-Keung Wong, 2005. "New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model," Departmental Working Papers wp0514, National University of Singapore, Department of Economics.
• Nicholas Z. Muller & Peter C. B. Phillips, 2006. "Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution," Cowles Foundation Discussion Papers 1548, Cowles Foundation for Research in Economics, Yale University.
• Satoru Kanoh, 2005. "A Further Extension of Duration Dependent Models," Hi-Stat Discussion Paper Series d05-127, Institute of Economic Research, Hitotsubashi University.
• Bernd Heidergott & Arie Hordijk & Miranda van Uitert, 2005. "Series Expansions for Finite-State Markov Chains," Tinbergen Institute Discussion Papers 05-086/4, Tinbergen Institute.
• Item repec:tud:ddpiec:157 is not listed on IDEAS anymore

• Michael Wolf, 2006. "Resampling vs. Shrinkage for Benchmarked Managers," IEW - Working Papers 263, Institute for Empirical Research in Economics - University of Zurich.
• Susan Athey & Guido Imbens, 2006. "Discrete Choice Models with Multiple Unobserved Choice Characteristics," Levine's Bibliography 122247000000001040, UCLA Department of Economics.
• Laura Blow & Martin Browning & Ian Crawford, 2005. "Revealed preference analysis of characteristics models," School of Economics Discussion Papers 0305, School of Economics, University of Surrey.