Report NEP-ECM-2010-01-16

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:

• Zaichao Du, 2009. "Nonparametric Bootstrap Tests for Independence of Generalized Errors," Caepr Working Papers 2009-023, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
• J. Carlos Escanciano, 2009. "Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models," Caepr Working Papers 2009-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
• Jin Seo Cho & Chirok-Han & Peter C. B. Phillips, 2009. "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities," Discussion Paper Series 0917, Institute of Economic Research, Korea University.
• Item repec:hal:cesptp:halshs-00423871_v2 is not listed on IDEAS anymore

• David E. Giles & Hui Feng, 2009. "Almost Unbiased Estimation of the Poisson Regression Model," Econometrics Working Papers 0909, Department of Economics, University of Victoria.
• Mancino Maria Elvira & Simona Sanfelici, 2009. "Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology," Working Papers - Mathematical Economics 2009-09, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• Duchesne, Pierre & Francq, Christian, 2010. "On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses," MPRA Paper 19740, University Library of Munich, Germany.
• Ramses H. Mena & Matteo Ruggiero & Stephen G. Walker, 2009. "Geometric Stick-Breaking Processes for Continuous-Time Nonparametric Modeling," ICER Working Papers - Applied Mathematics Series 26-2009, ICER - International Centre for Economic Research.
• Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
• Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
• Jouchi Nakajima & Yasuhiro Omori, 2009. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution," CIRJE F-Series CIRJE-F-701, CIRJE, Faculty of Economics, University of Tokyo.
• Kasahara, Hiroyuki & 笠原, 博幸 & Shimotsu, Katsumi & 下津, 克己, 2009. "Sequential Estimation of Structural Models with a Fixed Point Constraint," Discussion Papers 2009-18, Graduate School of Economics, Hitotsubashi University.
• Russell Davidson, 2009. "Size distortion of bootstrap tests: application to a unit root test," Working Papers halshs-00443561, HAL.
• Item repec:hal:wpaper:halshs-00442713_v1 is not listed on IDEAS anymore

• Toshio Honda, 2009. "Nonparametric regression for dependent data in the errors-in-variables problem," Global COE Hi-Stat Discussion Paper Series gd09-092, Institute of Economic Research, Hitotsubashi University.
• Item repec:bep:unimip:1084 is not listed on IDEAS anymore

• Tsunehiro Ishihara & Yasuhiro Omori, 2009. "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors," CIRJE F-Series CIRJE-F-700, CIRJE, Faculty of Economics, University of Tokyo.
• Russell Davidson & James Mackinnon, 2009. "Wild bootstrap tests for IV regression," Working Papers halshs-00443550, HAL.
• Jean-Philippe Cayen & Marc-André Gosselin & Sharon Kozicki, 2009. "Estimating DSGE-Model-Consistent Trends for Use in Forecasting," Staff Working Papers 09-35, Bank of Canada.
• Molina, Isabel & Pérez, Betsabé, 2009. "Robust estimation in linear regression models with fixed effects," DES - Working Papers. Statistics and Econometrics. WS ws098827, Universidad Carlos III de Madrid. Departamento de Estadística.
• Härdle, Wolfgang Karl & Ritov, Ya'acov & Song, Song, 2010. "Partial linear quantile regression and bootstrap confidence bands," SFB 649 Discussion Papers 2010-002, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Franz Buscha & Anna Conte, 2009. "A Bivariate Ordered Probit Estimator with Mixed Effects," Jena Economics Research Papers 2009-103, Friedrich-Schiller-University Jena.
• Ramses H. Mena & Stephen G. Walker, 2009. "On a Construction of Markov Models in Continuous Time," ICER Working Papers - Applied Mathematics Series 25-2009, ICER - International Centre for Economic Research.
• Item repec:hal:wpaper:halshs-00443553_v1 is not listed on IDEAS anymore

• Tatsuya Kubokawa, 2009. "A Review of Linear Mixed Models and Small Area Estimation," CIRJE F-Series CIRJE-F-702, CIRJE, Faculty of Economics, University of Tokyo.
• Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2009. "Some problems in the testing of DSGE models," Cardiff Economics Working Papers E2009/31, Cardiff University, Cardiff Business School, Economics Section.
• James G. MacKinnon, 2010. "Critical Values For Cointegration Tests," Working Paper 1227, Economics Department, Queen's University.
• Härdle, Wolfgang Karl & Okhrin, Yarema & Wang, Weining, 2010. "Uniform confidence bands for pricing kernels," SFB 649 Discussion Papers 2010-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Stefan Boes, 2009. "Bounds on Counterfactual Distributions Under Semi-Monotonicity Constraints," SOI - Working Papers 0920, Socioeconomic Institute - University of Zurich.
• Daniel Berkowitz & Mehmet Caner & Ying Fang, 2009. "The Validity of Instruments Revisited," Working Paper 386, Department of Economics, University of Pittsburgh, revised Dec 2009.
• Russell Davidson, 2009. "Bootstraping econometric models," Working Papers halshs-00442693, HAL.
• Item repec:hal:wpaper:halshs-00443564_v1 is not listed on IDEAS anymore

• Item repec:cte:werepe:we09448 is not listed on IDEAS anymore

• Russell Davidson & Jean-Yves Duclos, 2009. "Testing for restricted stochastic dominance," Working Papers halshs-00443560, HAL.
• Tetsuya Takaishi, 2009. "Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo," Papers 1001.0024, arXiv.org.
• Russell Davidson, 2009. "Testing for restricted stochastic dominance: some further results," Working Papers halshs-00443556, HAL.
• Zisimos Koustas & Jean-Francois Lamarche, 2009. "Instrumental variable estimation of a nonlinear Taylor rule," Working Papers 0909, Brock University, Department of Economics, revised Jul 2010.
• Item repec:hal:wpaper:halshs-00442692_v1 is not listed on IDEAS anymore

• Maria Nieswand & Astrid Cullmann & Anne Neumann, 2009. "Overcoming Data Limitations in Nonparametric Benchmarking: Applying PCA-DEA to Natural Gas Transmission," Discussion Papers of DIW Berlin 962, DIW Berlin, German Institute for Economic Research.
• Russell Davidson, 2009. "Exploring the bootstrap discrepancy," Working Papers halshs-00443552, HAL.
• Arthur M. Berd, 2009. "Dynamic Estimation of Credit Rating Transition Probabilities," Papers 0912.4621, arXiv.org.
• Antonio Lijoi & Igor Pruenster, 2009. "Models beyond the Dirichlet process," ICER Working Papers - Applied Mathematics Series 23-2009, ICER - International Centre for Economic Research.
• Emanuel Moench & Serena Ng & Simon M. Potter, 2009. "Dynamic hierarchical factor models," Staff Reports 412, Federal Reserve Bank of New York.
• Michelle L. Barnes & Fabia Gumbau-Brisa & Denny Lie & Giovanni P. Olivei, 2009. "Closed-form estimates of the New Keynesian Phillips curve with time-varying trend inflation," Working Papers 09-15, Federal Reserve Bank of Boston.
• Antonio Lijoi & Igor Pruenster, 2009. "Distributional Properties of means of Random Probability Measures," ICER Working Papers - Applied Mathematics Series 22-2009, ICER - International Centre for Economic Research.
• Silvia Loriga & Paolo Naticchioni, 2010. "Short and long term evaluations of Public Employment Services in Italy," Working Papers - Dipartimento di Economia 10-DEISFOL, Dipartimento di Economia, Sapienza University of Rome, revised 2010.
• Patrizia Berti & Michele Gori & Pietro Rigo, 2009. "A note on the law of large numbers in economics," Working Papers - Mathematical Economics 2009-10, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Nov 2010.
• D. Sornette & A. Saichev & V. Filimonov, 2009. "Most Efficient Homogeneous Volatility Estimators," Working Papers CCSS-09-00007, ETH Zurich, Chair of Systems Design.
• Item repec:pra:mprapa:19485 is not listed on IDEAS anymore

• Albarrán, Pedro & Ortuño, Ignacio, 2009. "The measurement of low- and high-impact in citation distributions : technical results," UC3M Working papers. Economics we095735, Universidad Carlos III de Madrid. Departamento de Economía.