Report NEP-ECM-2006-10-14

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:

• Pötscher, Benedikt M., 2006. "The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation," MPRA Paper 73, University Library of Munich, Germany, revised Jul 2006.
• Frank Windmeijer, 2006. "GMM for panel count data models," Bristol Economics Discussion Papers 06/591, School of Economics, University of Bristol, UK.
• Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Jun Yu & Renate Meyer, 2004. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers 23-2004, Singapore Management University, School of Economics.
• Jan F. Kiviet & Jerzy Niemczyk, 2006. "The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations," Tinbergen Institute Discussion Papers 06-078/4, Tinbergen Institute.
• Richard G. Anderson & Hailong Qian & Robert H. Rasche, 2006. "Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators," Working Papers 2006-050, Federal Reserve Bank of St. Louis.
• Fabio C. Bagliano & Claudio Morana, 2006. "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks 28, Collegio Carlo Alberto.
• A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2006. "Robust Inference with Multi-way Clustering," NBER Technical Working Papers 0327, National Bureau of Economic Research, Inc.
• Clive Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," Economics Papers 2006-W12, Economics Group, Nuffield College, University of Oxford.
• Jason Allen, 2005. "Size Matters: Covariance Matrix Estimation Under The Alternative," Working Paper 1091, Economics Department, Queen's University.
• Patrick Marsh, 2006. "Data Driven Likelihood Ratio Tests for Goodness-of-Fit with Estimated Parameters," Discussion Papers 06/20, Department of Economics, University of York.
• B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006.
• Soiliou Namoro & Wayne-Roy Gayle, 2006. "Estimation of a Nonlinear Panel Data Model with Predetermined Variables and Semiparametric Individual Effects," Working Paper 251, Department of Economics, University of Pittsburgh, revised Sep 2008.
• William T. Gavin & Kevin L. Kliesen, 2006. "Forecasting inflation and output: comparing data-rich models with simple rules," Working Papers 2006-054, Federal Reserve Bank of St. Louis.
• Woodcock, Simon & Benedetto, Gary, 2006. "Distribution-Preserving Statistical Disclosure Limitation," MPRA Paper 155, University Library of Munich, Germany.
• Mehmet Caner, 2006. "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Paper 212, Department of Economics, University of Pittsburgh, revised Jan 2006.
• Vargas, Gregorio A., 2006. "An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model," MPRA Paper 189, University Library of Munich, Germany, revised Aug 2006.
• Mehmet Caner, 2005. "Nearly Singular design in gmm and generalized empirical likelihood estimators," Working Paper 211, Department of Economics, University of Pittsburgh, revised Jan 2005.
• Patrick Marsh, 2006. "Constructing Optimal Tests on a Lagged Dependent Variable," Discussion Papers 06/19, Department of Economics, University of York.
• Mehmet Caner, 2006. "A lasso type gmm estimator," Working Paper 210, Department of Economics, University of Pittsburgh, revised Jan 2006.
• Item repec:pit:wpaper:252 is not listed on IDEAS anymore

• Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series 1811, CESifo.
• Stan du Plessis, 2006. "The miracle of the Septuagint and the promise of data mining in economics," Working Papers 15/2006, Stellenbosch University, Department of Economics.
• Mehmet Caner, 2005. "Exponential Tilting With Weak Instruments," Working Paper 208, Department of Economics, University of Pittsburgh, revised Jan 2005.
• Mehmet Caner, 2005. "Higher Order Expansions in GMM with Nearly Weak and Many Nearly Weak Instruments," Working Paper 209, Department of Economics, University of Pittsburgh, revised Jan 2005.
• Patrick J. Kehoe, 2006. "How to advance theory with structural VARs: use the Sims-Cogley-Nason approach," Staff Report 379, Federal Reserve Bank of Minneapolis.
• Mehmet Caner & Dan Berkowitz & Ying Fang, 2006. "Are Nearly Exogenous Instruments Reliable?," Working Paper 207, Department of Economics, University of Pittsburgh, revised Jan 2006.