Report NEP-ECM-2010-01-23

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:

• Item repec:brk:wpaper:0911 is not listed on IDEAS anymore

• Todd, Prono, 2009. "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper 20032, University Library of Munich, Germany.
• Ardelean, Vlad, 2009. "The impacts of outliers on different estimators for GARCH processes: an empirical study," FAU Discussion Papers in Economics 06/2009, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.
• Gulasekaran Rajaguru & Tilak Abeysinghe, 2009. "A Gaussian Test for Cointegration," SCAPE Policy Research Working Paper Series 0905, National University of Singapore, Department of Economics, SCAPE.
• Jan P.A.M. Jacobs & Jenny E. Ligthart & Hendrik Vrijburg, 2009. "Dynamic Panel Data Models Featuring Endogenous Interaction and Spatially Correlated Errors," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper0915, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.
• E. Otranto, 2009. "Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach," Working Paper CRENoS 200917, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• F. Crudu, 2009. "GMM, Generalized Empirical Likelihood, and Time Series," Working Paper CRENoS 200912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Hautsch, Nikolaus & Yang, Fuyu, 2010. "Bayesian inference in a stochastic volatility Nelson-Siegel Model," SFB 649 Discussion Papers 2010-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Ingo, Klein & Christian, Köck & Fabian, Tinkl, 2009. "Spatial-serial dependency in multivariate GARCH models and dynamic copulas: a simulation study," FAU Discussion Papers in Economics 11/2009, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Todd, Prono, 2009. "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper 20031, University Library of Munich, Germany.
• Thomas Steenburgh & Andrew Ainslie, 2010. "Substitution Patterns of the Random Coefficients Logit," Harvard Business School Working Papers 10-053, Harvard Business School.
• Martin Paldam & Laurent Callot, 2010. "Natural funnel asymmetries. A simulation analysis of the three basic tools of meta analysis," Economics Working Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
• Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2009. "Impact of Model Specification Decisions on Unit Root Tests," MPRA Paper 19963, University Library of Munich, Germany.
• Schlüter, Stephan, 2009. "Constructing a quasilinear moving average using the scaling function," FAU Discussion Papers in Economics 12/2009, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Herrmann, Klaus, 2009. "Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results," FAU Discussion Papers in Economics 07/2009, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Joan Paredes & Diego J. Pedregal & Javier J. Pérez, 2009. "A quarterly fiscal database for the euro area based on intra-annual fiscal information," Working Papers 0935, Banco de España.
• Gordon Anderson & Ian Crawford & Andrew Leicester, 2010. "Welfare Rankings From Multivariate Data, A Non-Parametric Approach," Working Papers tecipa-386, University of Toronto, Department of Economics.
• Schlüter, Stephan & Fischer, Matthias J., 2009. "A tail quantile approximation formula for the student t and the symmetric generalized hyperbolic distribution," FAU Discussion Papers in Economics 05/2009, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Cohen-Zada, Danny & Gradstein, Mark & Reuven, Ehud, 2009. "Class Size and the Regression Discontinuity Design: The Case of Public Schools," IZA Discussion Papers 4679, Institute of Labor Economics (IZA).