Report NEP-ECM-2009-04-18

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:

• Mohitosh Kejriwal & Pierre Perron, 2008. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Purdue University Economics Working Papers 1216, Purdue University, Department of Economics.
• Hiroaki Chigira & Tsunemasa Shiba, 2009. "Bayesian Estimation of Unknown Regression Error Heteroscedasticity," Global COE Hi-Stat Discussion Paper Series gd08-051, Institute of Economic Research, Hitotsubashi University.
• Hadri, Kaddour & Kurozumi, Eiji & 黒住, 英司, 2008. "A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence," CCES Discussion Paper Series 7, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University.
• Drew Creal & Siem Jan Koopman & Andre Lucas, 2009. "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series gd08-038, Institute of Economic Research, Hitotsubashi University.
• Item repec:pra:mprapa:13404 is not listed on IDEAS anymore

• Item repec:hum:wpaper:sfb649dp2009-007 is not listed on IDEAS anymore

• Hyungsik Roger Moon & Frank Schorfheide, 2009. "Bayesian and Frequentist Inference in Partially Identified Models," NBER Working Papers 14882, National Bureau of Economic Research, Inc.
• Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009. "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series gd08-037, Institute of Economic Research, Hitotsubashi University.
• Roy Cerqueti & Paolo Falbo & Cristian Pelizzari, 2009. "Optimal Dimension of Transition Probability Matrices for Markov Chain Bootstrapping," Working Papers 53-2009, Macerata University, Department of Finance and Economic Sciences, revised Apr 2009.
• Andrew Ching & Susumu Imai & Masakazu Ishihara & Neelam Jain, 2009. "A Practitioner's Guide To Bayesian Estimation Of Discrete Choice Dynamic Programming Models," Working Paper 1201, Economics Department, Queen's University.
• Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2009. "Properties of hierarchical Archimedean copulas," SFB 649 Discussion Papers 2009-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Choi, In & Kurozumi, Eiji & 黒住, 英司, 2008. "Model Selection Criteria for the Leads-and-Lags Cointegrating Regression," CCES Discussion Paper Series 6, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University.
• Peter C. B. Phillips & Jun Yu, 2009. "Information Loss in Volatility Measurement with Flat Price Trading," Global COE Hi-Stat Discussion Paper Series gd08-039, Institute of Economic Research, Hitotsubashi University.
• Örsal, Deniz Dilan Karaman & Droge, Bernd, 2009. "On the existence of the moments of the asymptotic trace statistic," SFB 649 Discussion Papers 2009-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Mendonca, Gui Pedro, 2008. "Structural Breaks, Regime Change and Asymmetric Adjustment: A Short and Long Run Global Approach to the Output/Unemployment Dynamics," MPRA Paper 14648, University Library of Munich, Germany.
• Cao, Ji & Härdle, Wolfgang Karl & Mungo, Julius, 2009. "A joint analysis of the KOSPI 200 option and ODAX option markets dynamics," SFB 649 Discussion Papers 2009-019, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Klein, A. & Urbig, D. & Kirn, S., 2008. "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper 14433, University Library of Munich, Germany.
• Stefan Laséen & Lars E.O. Svensson, 2009. "Anticipated Alternative Instrument-Rate Paths in Policy Simulations," NBER Working Papers 14902, National Bureau of Economic Research, Inc.
• Item repec:fip:fedlwp:2009-13 is not listed on IDEAS anymore

• Yann Bramoullé & Bernard Fortin, 2009. "The Econometrics of Social Networks," Cahiers de recherche 0913, CIRPEE.