Report NEP-ECM-2009-08-22

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 & Wei Biao Wu Wu & Yanping Yi, 2009. "Efficient estimation of copula-based semiparametric Markov models," CeMMAP working papers CWP06/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2009. "Intersection Bounds: estimation and inference," CeMMAP working papers CWP19/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Pablo Guerrón-Quintana & Atsushi Inoue & Lutz Kilian, 2009. "Frequentist inference in weakly identified DSGE models," Working Papers 09-13, Federal Reserve Bank of Philadelphia.
• Xiaohong Chen & Demian Pouzo, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP20/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Victor Chernozhukov & Roberto Rigobon & Thomas M. Stoker, 2009. "Set identification with Tobin regressors," CeMMAP working papers CWP12/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Mohitosh Kejriwal & Pierre Perron & Jing Zhou, 2009. "Wald Tests for Detecting Multiple Structural Changes in Persistence," Purdue University Economics Working Papers 1223, Purdue University, Department of Economics.
• Joel L. Horowitz & Sokbae (Simon) Lee, 2009. "Uniform confidence bands for functions estimated nonparametrically with instrumental variables," CeMMAP working papers CWP18/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Manuel Arellano & Stéphane Bonhomme, 2009. "Identifying distributional characteristics in random coefficients panel data models," CeMMAP working papers CWP22/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Le-Yu Chen, 2009. "Identification of structural dynamic discrete choice models," CeMMAP working papers CWP08/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Steven T. Berry & Philip A. Haile, 2009. "Nonparametric Identification of Multinomial Choice Demand Models with Heterogeneous Consumers," NBER Working Papers 15276, National Bureau of Economic Research, Inc.
• Caner, Mehmet & Morrill, Melinda, 2009. "A New Paradigm: A Joint Test of Structural and Correlation Parameters in Instrumental Variables Regression When Perfect Exogeneity is Violated," MPRA Paper 16790, University Library of Munich, Germany.
• Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers CWP13/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Alexandre Belloni & Victor Chernozhukov, 2009. "L1-Penalized quantile regression in high-dimensional sparse models," CeMMAP working papers CWP10/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Kim, Hyeongwoo & Durmaz, Nazif, 2009. "Bias Correction and Out-of-Sample Forecast Accuracy," MPRA Paper 16780, University Library of Munich, Germany.
• Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," CIRJE F-Series CIRJE-F-638, CIRJE, Faculty of Economics, University of Tokyo.
• Xiaohong Chen & Lars Peter Hansen & Jose A. Scheinkman, 2009. "Principal components and the long run," CeMMAP working papers CWP07/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on counterfactual distributions," CeMMAP working papers CWP09/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Item repec:hal:journl:hal-00168716_v1 is not listed on IDEAS anymore

• Frank S. Nielsen & Morten Ø. Nielsen & Niels Haldrup, 2009. "A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching," Working Paper 1211, Economics Department, Queen's University.
• Yingyong Dong & Arthur Lewbel, 2009. "Nonparametric identification of a binary random factor in cross section data," CeMMAP working papers CWP16/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2009. "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," CIRJE F-Series CIRJE-F-637, CIRJE, Faculty of Economics, University of Tokyo.
• Walter Beckert, 2009. "Empirical analysis of buyer power," CeMMAP working papers CWP17/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Christelis, Dimitris & Sanz-de-Galdeano, Anna, 2009. "Smoking Persistence Across Countries: An Analysis Using Semi-Parametric Dynamic Panel Data Models with Selectivity," IZA Discussion Papers 4336, Institute of Labor Economics (IZA).
• Wolfgang Jagodzinski & Christof Wolf, 2009. "Access to and Documentation of Publicly Financed Survey Data," RatSWD Working Papers 84, German Data Forum (RatSWD).
• Richard Blundell & Joel L. Horowitz & Matthias Parey, 2009. "Measuring the price responsiveness of gasoline demand," CeMMAP working papers CWP11/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Sanghamitra Bandyopadhyay & Frank A. Cowell & Emmanual Flachaire, 2009. "Goodness-of-Fit: An Economic Approach," Economics Series Working Papers 444, University of Oxford, Department of Economics.