Report NEP-ECM-2008-03-08

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:

• Xiaohong Chen & Han Hong & Alessandro Tarozzi, 2008. "Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects," Cowles Foundation Discussion Papers 1644, Cowles Foundation for Research in Economics, Yale University.
• Jason Allen & Allan Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Working Paper 1156, Economics Department, Queen's University.
• Marco Bee & Giuseppe Espa, 2008. "A Monte Carlo EM Algorithm for the Estimation of a Logistic Auto-logistic Model with Missing Data," Department of Economics Working Papers 0801, Department of Economics, University of Trento, Italia.
• Oliver Linton1 & Kyungchul Song & Yoon-Jae Whang, 2008. "Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary," PIER Working Paper Archive 08-006, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Kyungchul Song, 2008. "Testing Distributional Inequalities and Asymptotic Bias," PIER Working Paper Archive 08-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Mohamed CHAOUCH & Ali GANNOUN & Jérôme SARACCO, 2008. "Conditional Spatial Quantile: Characterization and Nonparametric Estimation," Cahiers du GREThA (2007-2019) 2008-10, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
• Schlicht, Ekkehart, 2008. "Trend Extraction From Time Series With Structural Breaks and Missing Observations," Discussion Papers in Economics 2127, University of Munich, Department of Economics.
• Alain Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2008. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," BIS Working Papers 249, Bank for International Settlements.
• Jaap Abbring & James Heckman, 2008. "Dynamic policy analysis," CeMMAP working papers CWP05/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• M. Bigeco & E. Grosso & E. Otranto, 2008. "Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models," Working Paper CRENoS 200803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Andrew J. Patton & Kevin Sheppard, 2008. "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series 2008fe22, Oxford Financial Research Centre.
• Andrew J. Patton, 2008. "Copula-Based Models for Financial Time Series," OFRC Working Papers Series 2008fe21, Oxford Financial Research Centre.
• Alper, C. Emre & Fendoglu, Salih & Saltoglu, Burak, 2008. "Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets," MPRA Paper 7460, University Library of Munich, Germany.
• Grant Hillier & Raymond Kan & Xiaolu Wang, 2008. "Computationally efficient recursions for top-order invariant polynomials with applications," CeMMAP working papers CWP07/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Bo Honore & Aureo de Paula, 2008. "Interdependent Durations," PIER Working Paper Archive 08-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Michel, TENENHAUS, 2007. "Structural Equation Modelling for small samples," HEC Research Papers Series 885, HEC Paris.
• Harry Kelejian & Peter Murrell & Oleksandr Shepotylo, 2007. "Spatial Spillovers in the Development of Institutions," Electronic Working Papers 07-001, University of Maryland, Department of Economics.