Report NEP-ECM-2009-12-05

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:

• Tue Gørgens & Allan Würtz, 2009. "Testing a parametric function against a nonparametric alternative in IV and GMM settings," CREATES Research Papers 2009-54, Department of Economics and Business Economics, Aarhus University.
• Michael Jansson & Morten Ørregaard Nielsen, 2009. "Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots," CREATES Research Papers 2009-55, Department of Economics and Business Economics, Aarhus University.
• Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
• Francesco Battaglia & Mattheos Protopapas, 2009. "Time-varying Multi-regime Models Fitting by Genetic Algorithms," Working Papers 009, COMISEF.
• Zhongfang He & John M. Maheu, 2009. "Real Time Detection of Structural Breaks in GARCH Models," Staff Working Papers 09-31, Bank of Canada.
• Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009. "Forecasting long memory time series under a break in persistence," CREATES Research Papers 2009-53, Department of Economics and Business Economics, Aarhus University.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," CREATES Research Papers 2009-52, Department of Economics and Business Economics, Aarhus University.
• Karsten R. Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009. "Evaluating ensemble density combination - forecasting GDP and inflation," Working Paper 2009/19, Norges Bank.
• Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
• Marmer, Vadim & Shneyerov, Artyom, 2009. "Supplement to "Quantile-Based Nonparametric Inference for First-Price Auctions"," Microeconomics.ca working papers vadim_marmer-2009-61, Vancouver School of Economics, revised 09 Sep 2010.
• Padilla Alberto, 2009. "An Unbiased Estimator of the Variance of Simple Random Sampling Using Mixed Random-Systematic Sampling," Working Papers 2009-13, Banco de México.
• Sébastien Laurent & Jeroen Rombouts & Francesco Violente, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," CIRANO Working Papers 2009s-45, CIRANO.
• Sebastien TERRA, 2009. "Zipf's Law for Cities: On a New Testing Procedure," Working Papers 200920, CERDI.
• W. Robert Reed & Rachel S. Webb, 2009. "Estimating Standard Errors For The Parks Model: Can Jackknifing Help?," Working Papers in Economics 09/18, University of Canterbury, Department of Economics and Finance.
• Sergey S. Stepanov, 2009. "Resilience of Volatility," Papers 0911.5048, arXiv.org.
• Bago d'Uva T & Lindeboom M & O'Donnell O & van Doorslaer E, 2009. "Slipping Anchor? Testing the Vignettes Approach to Identification and Correction of Reporting Heterogeneity," Health, Econometrics and Data Group (HEDG) Working Papers 09/30, HEDG, c/o Department of Economics, University of York.