Report NEP-ECM-2008-01-12

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:

• Pesaran, M. Hashem & Smith, L. Vanessa & Yamagata, Takashi, 2007. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," IZA Discussion Papers 3254, Institute of Labor Economics (IZA).
• Keiko Yamaguchi, 2008. "Testing for the presence of noise in long memory processes [in Japanese]," Hi-Stat Discussion Paper Series d07-230, Institute of Economic Research, Hitotsubashi University.
• Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Comparison of time series with unequal length," MPRA Paper 6605, University Library of Munich, Germany.
• Jeong, Kiho & Härdle, Wolfgang Karl, 2008. "A consistent nonparametric test for causality in quantile," SFB 649 Discussion Papers 2008-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Item repec:pra:mprapa:6637 is not listed on IDEAS anymore

• Valle e Azevedo, João, 2007. "Exact Limit of the Expected Periodogram in the Unit-Root Case," MPRA Paper 6553, University Library of Munich, Germany.
• Härdle, Wolfgang Karl & Mungo, Julius, 2008. "Value-at-risk and expected shortfall when there is long range dependence," SFB 649 Discussion Papers 2008-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Rao, B. Bhaskara & Singh, Rup & Kumar, Saten, 2008. "Do we need time series econometrics?," MPRA Paper 6627, University Library of Munich, Germany.
• Item repec:hum:wpaper:sfb649dp2008-003 is not listed on IDEAS anymore

• Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.
• Chen, Ray-Bing & Guo, Meihui & Härdle, Wolfgang Karl & Huang, Shih-Feng, 2008. "Independent component analysis via copula techniques," SFB 649 Discussion Papers 2008-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Jose Luis Moraga-Gonzalez & Zsolt Sandor & Matthijs R. Wildenbeest, 2007. "Semi-Nonparametric Estimation of Consumer Search Costs," Working Papers 2007-20, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy, revised Jun 2010.
• Valle e Azevedo, João, 2008. "A Multivariate Band-Pass Filter," MPRA Paper 6555, University Library of Munich, Germany.
• Valle e Azevedo, João, 2007. "Interpretation of the Effects of Filtering Integrated Time Series," MPRA Paper 6574, University Library of Munich, Germany.
• Kourtellos, A. & Tan, C.M. & Stengos, T., 2008. "THRET: Threshold Regression with Endogenous Threshold Variables," Working Papers 0801, University of Guelph, Department of Economics and Finance.
• José M. R. Murteira & Óscar D. Lourenço, 2007. "Health Care Utilization and Self-Assessed Health Specification of Bivariate Models Using Copulas," Health, Econometrics and Data Group (HEDG) Working Papers 07/27, HEDG, c/o Department of Economics, University of York.
• Caiado, Jorge & Crato, Nuno, 2007. "Identifying common spectral and asymmetric features in stock returns," MPRA Paper 6607, University Library of Munich, Germany.
• Bruno, Randolph Luca & Stampini, Marco, 2007. "Joining Panel Data with Cross-Sections for Efficiency Gains: An Application to a Consumption Equation for Nicaragua," IZA Discussion Papers 3231, Institute of Labor Economics (IZA).
• Caiado, Jorge & Crato, Nuno, 2008. "Identifying the evolution of stock markets stochastic structure after the euro," MPRA Paper 6609, University Library of Munich, Germany.
• Ivano Azzini & Riccardo Girardi & Marco Ratto, 2007. "Parallelization of Matlab codes under Windows platform for Bayesian estimation: A Dynare application," Working Papers 1, Euro-area Economy Modelling Centre.