Report NEP-ECM-2006-11-25

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:

• Jönsson, Kristian, 2006. "Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated," Working Papers 2006:20, Lund University, Department of Economics, revised 09 Nov 2009.
• Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics.
• Frank Gerhard & Nikolaus Hautsch, 2006. "A Dynamic Semiparametric Proportional Hazard Model," FRU Working Papers 2006/05, University of Copenhagen. Department of Economics. Finance Research Unit.
• Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers 77, Center for Policy Research, Maxwell School, Syracuse University.
• Bunzel, Helle & Iglesias, Emma M., 2006. "Testing for Breaks Using Alternating Observations," Staff General Research Papers Archive 12694, Iowa State University, Department of Economics.
• Eiji Kurozumi & Yoichi Arai, 2006. "Test for the null hypothesis of cointegration with reduced size distortion," Hi-Stat Discussion Paper Series d06-190, Institute of Economic Research, Hitotsubashi University.
• Todd E. Clark & Michael W. McCracken, 2006. "Averaging forecasts from VARs with uncertain instabilities," Research Working Paper RWP 06-12, Federal Reserve Bank of Kansas City.
• Klein, Roger & Vella, Francis, 2006. "A Semiparametric Model for Binary Response and Continuous Outcomes Under Index Heteroscedasticity," IZA Discussion Papers 2383, Institute of Labor Economics (IZA).
• Matteo Pelagatti, 2003. "Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application," Working Papers 20051101, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised Nov 2005.
• Luc Bauwens & Jeroen V.K. Rombouts, 2006. "Bayesian inference for the mixed conditional heteroskedasticity model," Cahiers de recherche 06-07, HEC Montréal, Institut d'économie appliquée.
• Martina Nardon & Paolo Pianca, 2006. "Simulation techniques for generalized Gaussian densities," Working Papers 145, Department of Applied Mathematics, Università Ca' Foscari Venezia.
• Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," NBER Technical Working Papers 0331, National Bureau of Economic Research, Inc.
• David E. A. Giles, 2006. "The Exact Asymptotic Distribution Function of Watson's UN-Squared for Testing Goodness-of-Fit With Circular Discrete Data," Econometrics Working Papers 0607, Department of Economics, University of Victoria.
• Giacomini, Enzo & Härdle, Wolfgang Karl & Ignatieva, Ekaterina & Spokoiny, Vladimir, 2006. "Inhomogeneous dependency modelling with time varying copulae," SFB 649 Discussion Papers 2006-075, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Oya Celasun & Joong S Kang, 2006. "On the Properties of Various Estimators for Fiscal Reaction Functions," IMF Working Papers 06/182, International Monetary Fund.
• Vanessa Berenguer Rico & Josep Lluis Carrion Silvestre, 2006. "Testing for multicointegration in panel data with common factors," Working Papers in Economics 160, Universitat de Barcelona. Espai de Recerca en Economia.
• Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2006. "GHICA: Risk analysis with GH distributions and independent components," SFB 649 Discussion Papers 2006-078, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Joan Jasiak & R. Sufana & C. Gourieroux, 2005. "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers 2005_2, York University, Department of Economics.
• Albert E. DePrince, 2006. "A Technical Note on a Direct Estimate of the Significance of Bias in Forecasts," Working Papers 200602, Middle Tennessee State University, Department of Economics and Finance.
• Sullivan, Paul, 2006. "Interpolating Value Functions in Discrete Choice Dynamic Programming Models," MPRA Paper 864, University Library of Munich, Germany.
• Marco Del Negro & Frank Schorfheide, 2006. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," FRB Atlanta Working Paper 2006-16, Federal Reserve Bank of Atlanta.
• Juarez, Miguel A. & Steel, Mark F. J., 2006. "Model-based Clustering of non-Gaussian Panel Data," MPRA Paper 880, University Library of Munich, Germany.
• Francis Y Kumah, 2006. "The Role of Seasonality and Monetary Policy in Inflation Forecasting," IMF Working Papers 06/175, International Monetary Fund.
• Refik Soyer & Thomas A. Mazzuchi & Ehsan S. Soofi, 2006. "Bayes Estimate and Inference for Entropy and Information Index of Fit," Working Papers 0012, School of Business, The George Washington University.
• Mishra, SK, 2006. "Fitting an Origin-Displaced Logarithmic Spiral to Empirical Data by Differential Evolution Method of Global Optimization," MPRA Paper 881, University Library of Munich, Germany.
• Refik Soyer & Melinda Hock, 2006. "Bayesian Analysis of Pulse Trains With Hidden Missingness," Working Papers 0013, School of Business, The George Washington University.
• Chen, Shiyi & Härdle, Wolfgang Karl & Moro, Rouslan A., 2006. "Estimation of default probabilities with Support Vector Machines," SFB 649 Discussion Papers 2006-077, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.