Report NEP-ECM-2006-09-23

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:

• Serigne N. Lo & Elvezio Ronchetti, 2006. "Robust Small Sample Accurate Inference in Moment Condition Models," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2006.04, Institut d'Economie et Econométrie, Université de Genève.
• Serguei Zernov & Victoria Zindle-Walsh & John Galbraith, 2006. "Asymptotics For Estimation Of Truncated Infinite-Dimensional Quantile Regressions," Departmental Working Papers 2006-16, McGill University, Department of Economics.
• Baltagi, Badi H., 2006. "Forecasting with panel data," Discussion Paper Series 1: Economic Studies 2006,25, Deutsche Bundesbank.
• Trenkler, Carsten & Saikkonen, Pentti & Lütkepohl, Helmut, 2006. "Testing for the cointegrating rank of a VAR process with level shift and trend break," SFB 649 Discussion Papers 2006-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 0674, European Central Bank.
• Francisco Alvarez-Cuadrado, 2006. "Improving The Efficiency And Robustness Of The Smoothed Maximum Score Estimator," Departmental Working Papers 2004-01, McGill University, Department of Economics.
• Yulia Kotlyarova & Victoria Zinde-Walsh, 2006. "Non And Semi-Parametric Estimation In Models With Unknown Smoothness," Departmental Working Papers 2006-15, McGill University, Department of Economics.
• Ahlgren, Niklas & Antell, Jan, 2006. "Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series," Working Papers 519, Hanken School of Economics.
• George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," Working Papers 569, Queen Mary University of London, School of Economics and Finance.
• John G. Galbraith & Greg Tkacz, 2006. "How Far Can We Forecast? Forecast Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2006-13, McGill University, Department of Economics.
• Yulia Kotlyarova & Victoria Zinde-Walsh, 2006. "Robust Kernel Estimator For Densities Of Unknown," Departmental Working Papers 2005-05, McGill University, Department of Economics.
• George Kapetanios & Vincent Labhard & Simon Price, 2006. "Forecasting Using Predictive Likelihood Model Averaging," Working Papers 567, Queen Mary University of London, School of Economics and Finance.
• Richard T. Baillie & George Kapetanios, 2006. "Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates," Working Papers 570, Queen Mary University of London, School of Economics and Finance.
• Lewis, Kurt F. & Whiteman, Charles H., 2006. "Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era," Discussion Paper Series 1: Economic Studies 2006,28, Deutsche Bundesbank.
• George Kapetanios & Vincent Labhard & Simon Price, 2006. "Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation," Working Papers 566, Queen Mary University of London, School of Economics and Finance.
• John Galbraith & Victoria Zinde-Walsh, 2006. "Reduced-Dimension Control Regression," Departmental Working Papers 2006-17, McGill University, Department of Economics.
• George Kapetanios & Elias Tzavalis, 2006. "Stochastic Volatility Driven by Large Shocks," Working Papers 568, Queen Mary University of London, School of Economics and Finance.
• Kiesl, Hans & Rässler, Susanne, 2006. "How valid can data fusion be?," IAB-Discussion Paper 200615, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
• Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising, 2006. "Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia," Working Papers 565, Queen Mary University of London, School of Economics and Finance.