Report NEP-ECM-2009-12-19

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, 2009. "Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 18990, University Library of Munich, Germany.
• Esmeralda de Jesus Ratinho Lopes Arranhado Ramalho, 2009. "Covariate Measurement Error: Bias Reduction under Response-based Sampling," CEFAGE-UE Working Papers 2009_15, University of Evora, CEFAGE-UE (Portugal).
• Deschamps, Philippe J., 2009. "Bayesian estimation of an extended local scale stochastic volatility model," DQE Working Papers 15, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 12 Nov 2011.
• Tim M Christensen & Stan Hurn & Adrian Pagan, 2009. "Detecting Common Dynamics in Transitory Components," NCER Working Paper Series 49, National Centre for Econometric Research.
• Wuertz, Diethelm & Katzgraber, Helmut, 2009. "Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test," MPRA Paper 19155, University Library of Munich, Germany.
• Emanuele Taufer & Nikolai Leonenko & Marco Bee, 2009. "Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models," DISA Working Papers 0907, Department of Computer and Management Sciences, University of Trento, Italy, revised 02 Dec 2009.
• Smeekes, S., 2009. "Detrending bootstrap unit root tests," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
•  Wen-Jen Tsay, 2009. "Monitoring Structural Changes in Regression with Long Memory Processes," IEAS Working Paper : academic research 09-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• Horny, G. & Picchio, M., 2009. "Identification of lagged duration dependence in multiple-spell competing risks models," Working papers 260, Banque de France.
• Gianluca Cubadda & Alain Hecq, 2009. "Testing for Common Autocorrelation in Data Rich Environments," CEIS Research Paper 153, Tor Vergata University, CEIS, revised 04 Dec 2009.
• Kosuke Oya, 2009. "Bias-Corrected Realized Variance under Dependent Microstructure Noise," Discussion Papers in Economics and Business 09-39, Osaka University, Graduate School of Economics.
• Mehrhoff, Jens, 2009. "A solution to the problem of too many instruments in dynamic panel data GMM," Discussion Paper Series 1: Economic Studies 2009,31, Deutsche Bundesbank.
• Wen-Jen Tsay & Peng-Hsuan Ke, 2009. "A Simple Approximation for Bivariate Normal Integral Based on Error Function and its Application on Probit Model with Binary Endogenous Regressor," IEAS Working Paper : academic research 09-A011, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Nov 2011.
• Wen-Jen Tsay & Cliff J. Huang & Tsu-Tan Fu & I-Lin Ho, 2009. "Maximum Likelihood Estimation of Censored Stochastic Frontier Models: An Application to the Three-Stage DEA Method," IEAS Working Paper : academic research 09-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• Ida Wolden Bache & Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2009. "Combining VAR and DSGE forecast densities," Working Paper 2009/23, Norges Bank.
• Hans Manner & Johan Segers, 2009. "Tails of correlation mixtures of elliptical copulas," Papers 0912.3516, arXiv.org.
• Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
• Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 200927, University of Pretoria, Department of Economics.
• Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
• Martin Fukac, 2009. "Impulse Response Identification in DSGE Models," Reserve Bank of New Zealand Discussion Paper Series DP2009/14, Reserve Bank of New Zealand.
• Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring output gap uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2009/15, Reserve Bank of New Zealand.
• Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
• Kolasa, Marcin & Rubaszek, Michał & Skrzypczyński, Paweł, 2009. "Putting the New Keynesian DSGE model to the real-time forecasting test," Working Paper Series 1110, European Central Bank.
• Brice Franke & Michael Stolz, 2009. "A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances," Papers 0912.1841, arXiv.org.
• Li-Chun Zhang, 2009. "A unit-error theory for register-based household statistics," Discussion Papers 598, Statistics Norway, Research Department.
• Ángel de la Fuente, 2009. "A mixed splicing procedure for economic time series," UFAE and IAE Working Papers 796.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
• Scott, David J & Würtz, Diethelm & Dong, Christine & Tran, Thanh Tam, 2009. "Moments of the generalized hyperbolic distribution," MPRA Paper 19081, University Library of Munich, Germany.
• Irmingard Eder & Claudia Kluppelberg, 2009. "The first passage event for sums of dependent L\'evy processes with applications to insurance risk," Papers 0912.1925, arXiv.org.
• Xiaoshan Chen & Terence C. Mills, 2009. "Measuring the Euro area output gap using multivariate unobserved components models containing phase shifts," Working Papers 2009_35, Business School - Economics, University of Glasgow, revised Jul 2010.
• Christian Meyer, 2009. "The Bivariate Normal Copula," Papers 0912.2816, arXiv.org.
• Engle Robert F. & Rangel José Gonzalo, 2009. "High and Low Frequency Correlations in Global Equity Markets," Working Papers 2009-17, Banco de México.