Report NEP-ECM-2007-01-23

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers 06-101/4, Tinbergen Institute.
• Chuan Goh, 2007. "Nonparametric Inferences on Conditional Quantile Processes," Working Papers tecipa-277, University of Toronto, Department of Economics.
• Cheng Hsiao & Siyan Wang, 2006. "Lag-Augmented Two- and Three-Stage Least Squares Estimators for Integrated Structural Dynamic Models," IEPR Working Papers 06.55, Institute of Economic Policy Research (IEPR).
• Item repec:awi:wpaper:0417 is not listed on IDEAS anymore

• Prof. Dr. Walter Krämer & Dr. Christoph Hanck, "undated". "OLS-based estimation of the disturbance variance under spatial autocorrelation," Working Papers 7, Business and Social Statistics Department, Technische Universität Dortmund, revised Oct 2006.
• Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University.
• Badi H. Baltagi, 2006. "Random effects and Spatial Autocorrelations with Equal Weights," Center for Policy Research Working Papers 89, Center for Policy Research, Maxwell School, Syracuse University.
• Hyungsik Roger Moon & Frank Schorfheide, 2006. "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," IEPR Working Papers 06.56, Institute of Economic Policy Research (IEPR).
• Caporin Massimiliano & Paruolo Paolo, 2005. "Multivariate ARCH with spatial effects for stock sector and size," Economics and Quantitative Methods qf0509, Department of Economics, University of Insubria.
• Guido W. Imbens & Whitney Newey & Geert Ridder, 2006. "Mean-squared-error Calculations for Average Treatment Effects," IEPR Working Papers 06.57, Institute of Economic Policy Research (IEPR).
• Bertocco Giancarlo, 2006. "Are banks special? A note on Tobin’s theory of financial intermediaries," Economics and Quantitative Methods qf0605, Department of Economics, University of Insubria.
• Paruolo Paolo, 2005. "Design of vector autoregressive processes for invariant statistics," Economics and Quantitative Methods qf0504, Department of Economics, University of Insubria.
• Seung C. Ahn & Young H. Lee & Peter Schmidt, 2007. "Panel Data Models with Multiple Time-Varying Individual Effects," Working Papers 0702, University of Crete, Department of Economics.
• Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 0712, European Central Bank.
• Secchi Davide & Zatti Andrea, 2005. "Pursuing the “Public Good:” Sustainable Development as a Common Goal for Social and Environmental Management," Economics and Quantitative Methods qf0609, Department of Economics, University of Insubria.
• Myungsup Kim & Yangseon Kim & Peter Schmidt, 2007. "On the Accuracy of Bootstrap Confidence Intervals for Efficiency Levels in Stochastic Frontier Models with Panel Data," Working Papers 0704, University of Crete, Department of Economics.
• Ulrich Fritsche & Joerg Doepke, 2006. "Forecast errors and the macroeconomy — a non-linear relationship?," Macroeconomics and Finance Series 200602, University of Hamburg, Department of Socioeconomics.
• Item repec:hum:wpaper:sfb649dp2007-002 is not listed on IDEAS anymore

• Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
• Urbain, J.R.Y.J. & Westerlund, J., 2006. "Spurious regression in nonstationary panels with cross-unit cointegration," Research Memorandum 057, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
• Prof. Dr. Walter Krämer, "undated". "Long memory with Markov-Switching GARCH," Working Papers 6, Business and Social Statistics Department, Technische Universität Dortmund, revised Oct 2006.
• Justin McCrary, 2007. "Manipulation of the Running Variable in the Regression Discontinuity Design: A Density Test," NBER Technical Working Papers 0334, National Bureau of Economic Research, Inc.
• Fonseca Giovanni, 2005. "On the stability of nonlinear ARMA models," Economics and Quantitative Methods qf0503, Department of Economics, University of Insubria.
• Martin Fukac & Adrian Pagan, 2006. "Issues in Adopting DSGE Models for Use in the Policy Process," Working Papers 2006/6, Czech National Bank.
• Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007. "Regional employment forecasts with spatial interdependencies," IAB-Discussion Paper 200702, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
• Prof. Dr. Walter Krämer & Baudouin Tameze Azamo, "undated". "Structural change and estimated persistence in the GARCH(1,1)-model," Working Papers 5, Business and Social Statistics Department, Technische Universität Dortmund, revised May 2006.
• Petr Kadeřábek, 2006. "Correcting Predictive ModelCorrecting Models of Chaotic Reality," Working Papers IES 2006/31, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2006.
• Item repec:ins:quaeco:qf06010 is not listed on IDEAS anymore

• Lubos Pastor & Robert F. Stambaugh, 2007. "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers 12814, National Bureau of Economic Research, Inc.