Report NEP-ECM-2009-05-16

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:

• Boubacar Mainassara, Yacouba & Francq, Christian, 2009. "Estimating structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 15141, University Library of Munich, Germany.
• Esmeralda de Jesus Ratinho Lopes Arranhado Ramalho & Joaquim José dos Santos Ramalho, 2009. "Alternative estimating and testing empirical strategies for fractional regression models," CEFAGE-UE Working Papers 2009_08, University of Evora, CEFAGE-UE (Portugal).
• Francq, Christian & Zakoian, Jean-Michel, 2009. "Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models," MPRA Paper 15147, University Library of Munich, Germany.
• John Galbraith & Dongming Zhu, 2009. "A Generalized Asymmetric Student-T Distribution With Application To Financial Econometrics," Departmental Working Papers 2009-02, McGill University, Department of Economics.
• Amendola, Alessandra & Christian, Francq, 2009. "Concepts and tools for nonlinear time series modelling," MPRA Paper 15140, University Library of Munich, Germany.
• Bontemps, Christophe & Racine, Jeffrey S. & Simioni, Michel, 2009. "Nonparametric vs parametric binary choice models: An empirical investigation," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49286, Agricultural and Applied Economics Association.
• Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2009. "Merits and drawbacks of variance targeting in GARCH models," MPRA Paper 15143, University Library of Munich, Germany.
• Item repec:cte:wsrepe:ws092910 is not listed on IDEAS anymore

• Mynbaev, Kairat, 2009. "OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model: Extended Version," MPRA Paper 15153, University Library of Munich, Germany.
• Perevodchikov, Evgeniy V., 2009. "Information Theoretic Estimators of the First-Order Spatial Autoregressive Model," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49491, Agricultural and Applied Economics Association.
• Pedro Duarte Silva, 2009. "LINEAR DISCRIMINANT RULES for HIGH-DIMENSIONAL CORRELATED DATA: ASYMPTOTIC and FINITE SAMPLE RESULTS," Working Papers de Gestão (Management Working Papers) 09, Católica Porto Business School, Universidade Católica Portuguesa.
• Domanski, Adam, 2009. "Estimating Mixed Logit Recreation Demand Models With Large Choice Sets," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49413, Agricultural and Applied Economics Association.
• Brown, Zachary S. & Bellemare, Marc F., 2009. "The Structural Estimation of Principal-Agent Models by Least Squares: Evidence from Land Tenancy in Madagascar," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49368, Agricultural and Applied Economics Association.
• Luati, Alessandra & Proietti, Tommaso, 2009. "Hyper-spherical and Elliptical Stochastic Cycles," MPRA Paper 15169, University Library of Munich, Germany.
• Marco Bee & Roberto Benedetti & Giuseppe Espa, 2009. "A note on maximum likelihood estimation of a Pareto mixture," Department of Economics Working Papers 0903, Department of Economics, University of Trento, Italia.
• Jorge Caiado, 2009. "Performance of combined double seasonal univariate time series models for forecasting water demand," CEMAPRE Working Papers 0903, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
• Douglas James Hodgson, 2009. "A Test for the Presence of Central Bank Intervention in the Foreign Exchange Market With an Application to the Bank of Canada," CIRANO Working Papers 2009s-14, CIRANO.
• Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009. "Nonlinearity and Temporal Dependence," CIRANO Working Papers 2009s-17, CIRANO.
• Jorge Caiado & Nuno Crato, 2009. "Identifying common dynamic features in stock returns," CEMAPRE Working Papers 0902, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
• Marcin Owczarczuk, 2009. "Support vector machines with two support vectors," Working Papers 35, Department of Applied Econometrics, Warsaw School of Economics.
• Anders Bredahl Kock, 2009. "Forecasting with Universal Approximators and a Learning Algorithm," CREATES Research Papers 2009-18, Department of Economics and Business Economics, Aarhus University.
• Tejeda, Hernan A. & Goodwin, Barry K. & Pelletier, Denis, 2009. "A State Dependent Regime Switching Model of Dynamic Correlations," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49370, Agricultural and Applied Economics Association.
• Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, Department of Economics and Business Economics, Aarhus University.
• Kopecky, Karen A. & Suen, Richard M. H., 2009. "Finite State Markov-Chain Approximations to Highly Persistent Processes," MPRA Paper 15122, University Library of Munich, Germany.
• Paudel, Krishna P. & Poudel, Biswo N. & Dunn, Michael A. & Pandit, Mahesh, 2009. "An Analysis of Rank Ordered Data," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49518, Agricultural and Applied Economics Association.
• John Galbraith & Simon van Norden, 2008. "The Calibration Of Probabilistic Economic Forecasts," Departmental Working Papers 2008-05, McGill University, Department of Economics.
• Carrion-Flores, Carmen E. & Flores-Lagunes, Alfonso & Guci, Ledia, 2009. "Land Use Change: A Spatial Multinomial Choice Analysis," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49403, Agricultural and Applied Economics Association.
• Jeroen Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
• Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2009. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," CIRANO Working Papers 2009s-18, CIRANO.
• Klaiber, H. Allen & Smith, V. Kerry, 2009. "Sufficient Statistics for Measuring the Value of Changes in Local Public Goods: Does Chetty’s Framework Inform Lind?," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49596, Agricultural and Applied Economics Association.
• Holt, Matthew T. & Goodwin, Barry K., 2009. "The Almost Ideal and Translog Demand Systems," MPRA Paper 15092, University Library of Munich, Germany.
• Taylor, Mykel R. & Phaneuf, Daniel J., 2009. "Bayesian Estimation of The Impacts of Food Safety Information on Household Demand for Meat and Poultry," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49214, Agricultural and Applied Economics Association.
• Arnade, Carlos Anthony & Calvin, Linda & Kuchler, Fred, 2009. "Food Safety and Spinach Demand: A Shock Correction Model," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49208, Agricultural and Applied Economics Association.
• Keith R. McLaren & Xueyan Zhao, 2009. "The Econometric Specification of Input Demand Systems Implied by Cost Function Representations," Monash Econometrics and Business Statistics Working Papers 3/09, Monash University, Department of Econometrics and Business Statistics.