Report NEP-ECM-2007-03-10

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:

• Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics.
• Valentina Corradi & Norman Swanson & Geetesh Bhardwaj, 2006. "A Simulation Based Specification Test for Diffusion Processes," Departmental Working Papers 200614, Rutgers University, Department of Economics.
• George Kapetanios & Zacharias Psaradakis, 2007. "Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence," Working Papers 587, Queen Mary University of London, School of Economics and Finance.
• Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Inference for Integrated Volatility," Departmental Working Papers 200616, Rutgers University, Department of Economics.
• Norman Swanson & Nii Ayi Armah, 2006. "Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output," Departmental Working Papers 200619, Rutgers University, Department of Economics.
• Fabio Busetti & Andrew Harvey, 2007. "Testing for trend," Temi di discussione (Economic working papers) 614, Bank of Italy, Economic Research and International Relations Area.
• Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures," Departmental Working Papers 200620, Rutgers University, Department of Economics.
• Kakamu, Kazuhiko & Polasek, Wolfgang, 2007. "Cross-sectional Space-time Modeling Using ARNN(p, n) Processes," Economics Series 203, Institute for Advanced Studies.
• Yasuhiro Omori, 2007. "Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model," CIRJE F-Series CIRJE-F-481, CIRJE, Faculty of Economics, University of Tokyo.
• Jan R. Magnus, 2007. "The asymptotic variance of the pseudo maximum likelihood estimator," CIRJE F-Series CIRJE-F-479, CIRJE, Faculty of Economics, University of Tokyo.
• DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0702, Faculty of Economics, University of Cambridge.
• George Kapetanios & Andrew P. Blake, 2007. "Boosting Estimation of RBF Neural Networks for Dependent Data," Working Papers 588, Queen Mary University of London, School of Economics and Finance.
• John C. Frain, 2007. "Small sample power of tests of normality when the alternative is an alpha-stable distribution," Trinity Economics Papers tep0207, Trinity College Dublin, Department of Economics.
• Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0701, Faculty of Economics, University of Cambridge.
• Pagan, A. & Pesaran, M.H., 2007. "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables," Cambridge Working Papers in Economics 0704, Faculty of Economics, University of Cambridge.
• Timmermann, Allan & Elliott, Graham, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers.
• Heejoon Kang, 2006. "Inappropriate Detrending and Spurious Cointegration," Working Papers 2006-14, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
• Nicholas Longford, 2006. "An assessment of empirical Bayes and composite estimators for small areas," Economics Working Papers 995, Department of Economics and Business, Universitat Pompeu Fabra.
• Eric Rasmusen, 2006. "The BLP Method of Demand Curve Estimation in Industrial Organization," Working Papers 2006-04, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
• Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary University of London, School of Economics and Finance.
• Razzak, Weshah, 2003. "A Perspective on Unit Root and Cointegration in Applied Macroeconomics," MPRA Paper 1970, University Library of Munich, Germany, revised 2007.
• López, Fernando & Chasco, Coro, 2007. "Time-trend in spatial dependence: Specification strategy in the first-order spatial autoregressive model," MPRA Paper 1985, University Library of Munich, Germany.
• Sumon Kumar Bhaumik & Ira N. Gang & Myeong-Su Yun, 2006. "A Note on Decomposing Differences in Poverty Incidence Using Regression Estimates: Algorithm and Example," Departmental Working Papers 200633, Rutgers University, Department of Economics.
• Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006. "Characteristic function approach to the sum of stochastic variables," MPRA Paper 1984, University Library of Munich, Germany.
• Nicholas Longford & D. B. Rubin, 2006. "Performance assessment and league tables. Comparing like with like," Economics Working Papers 994, Department of Economics and Business, Universitat Pompeu Fabra.
• Doppelhofer, G. & Cuaresma, J.C., 2007. "Nonlinearities in Cross-Country Growth Regressions: A Bayesian Averaging of Thresholds (BAT) Approach," Cambridge Working Papers in Economics 0706, Faculty of Economics, University of Cambridge.
• Urzúa, Carlos M., 2007. "A Back-of-the-Envelope Rule to Identify Atheoretical VARs," EGAP Working Papers 2007-03, Tecnológico de Monterrey, Campus Ciudad de México.
• Bruce Mizrach, 2007. "Recovering Probabilistic Information From Options Prices and the Underlying," Departmental Working Papers 200702, Rutgers University, Department of Economics.
• Everts, Martin, 2006. "Band-Pass Filters," MPRA Paper 2049, University Library of Munich, Germany.