Report NEP-ECM-2007-03-17

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:

• Donald W.K. Andrews & Patrik Guggenberger, 2007. "Asymptotics for Stationary Very Nearly Unit Root Processes," Cowles Foundation Discussion Papers 1607, Cowles Foundation for Research in Economics, Yale University.
• Item repec:dgr:kubcen:200712 is not listed on IDEAS anymore

• Donald W.K. Andrews & Patrik Guggenberger, 2007. "The Limit of Finite-Sample Size and a Problem with Subsampling," Cowles Foundation Discussion Papers 1605, Cowles Foundation for Research in Economics, Yale University.
• Mueller, Ulrich & Petalas, Philippe-Emmanuel, 2007. "Efficient Estimation of the Parameter Path in Unstable Time Series Models," MPRA Paper 2260, University Library of Munich, Germany.
• Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers 1606, Cowles Foundation for Research in Economics, Yale University.
• Alastair R. Hall & Denis Pelletier, 2007. "Non-Nested Testing in Models Estimated via Generalized Method of Moments," Working Paper Series 011, North Carolina State University, Department of Economics, revised Mar 2007.
• Li, Hong & Mueller, Ulrich, 2006. "Valid Inference in Partially Unstable GMM Models," MPRA Paper 2261, University Library of Munich, Germany.
• Christoph Hartz & Stefan Mittnik & Marc S. Paolella, 2006. "Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model," CFS Working Paper Series 2006/23, Center for Financial Studies.
• Wladimir Raymond & Pierre Mohnen & Franz Palm & Sybrand Schim van der Loeff, 2007. "The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models," CIRANO Working Papers 2007s-06, CIRANO.
• Zsolt Darvas, 2007. "Estimation Bias and Inference in Overlapping Autoregressions: Implications for the Target Zone Literature," Working Papers 0701, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
• G. Everaert, 2007. "Estimating Long-Run Relationships between Observed Integrated Variables by Unobserved Component Methods," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/452, Ghent University, Faculty of Economics and Business Administration.
• Devereux, Paul J., 2007. "Improved Errors-in-Variables Estimators for Grouped Data," CEPR Discussion Papers 6167, C.E.P.R. Discussion Papers.
• Item repec:dgr:kubcen:200713 is not listed on IDEAS anymore

• Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute.
• Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006. "Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels," Cahiers de recherche 06-16, HEC Montréal, Institut d'économie appliquée.
• McCauley, Joseph L. & Gunaratne, Gemunu H. & Bassler, Kevin E., 2006. "Hurst exponents, Markov processes, and fractional Brownian motion," MPRA Paper 2154, University Library of Munich, Germany.
• Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2006. "An interpolated periodogram-based metric for comparison of time series with unequal lengths," MPRA Paper 2075, University Library of Munich, Germany.
• Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L., 2005. "Hurst exponents, Markov processes, and nonlinear diffusion equations," MPRA Paper 2152, University Library of Munich, Germany.
• A. Prinzie & D. Van Den Poel, 2007. "Predicting home-appliance acquisition sequences: Markov/Markov for Discrimination and survival analysis for modeling sequential information in NPTB models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/442, Ghent University, Faculty of Economics and Business Administration.
• Caiado, Jorge & Crato, Nuno, 2007. "A GARCH-based method for clustering of financial time series: International stock markets evidence," MPRA Paper 2074, University Library of Munich, Germany.