Report NEP-ECM-2010-05-29

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:

• Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics 10/21, University of Canterbury, Department of Economics and Finance.
• Item repec:ner:tilbur:urn:nbn:nl:ui:12-3969610 is not listed on IDEAS anymore

• Item repec:ner:ucllon:http://eprints.ucl.ac.uk/17152/ is not listed on IDEAS anymore

• Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18216/ is not listed on IDEAS anymore

• Parker, Thomas, 2010. "An exact, unified distributional characterization of statistics used to test linear hypotheses in simple regression models," MPRA Paper 22841, University Library of Munich, Germany.
• Michael McAleer & Marcelo C. Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Univariate Models," Working Papers in Economics 10/28, University of Canterbury, Department of Economics and Finance.
• Item repec:ner:dauphi:urn:hdl:123456789/3984 is not listed on IDEAS anymore

• Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2010. "Bootstrapping Density-Weighted Average Derivatives," CREATES Research Papers 2010-23, Department of Economics and Business Economics, Aarhus University.
• Guorui Bian & Michael McAleer & Wing-Keung Wong, 2010. "A Trinomial Test for Paired Data When There are Many Ties," Working Papers in Economics 10/20, University of Canterbury, Department of Economics and Finance.
• Kim P. Huynh & Luke Ignaczak & Marcel-Cristian Voia, 2010. "Stochastic Dominance, Estimation and Inference for Censored Distributions with Nuisance Parameter," Carleton Economic Papers 10-02, Carleton University, Department of Economics.
• Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18230/ is not listed on IDEAS anymore

• Morten Ø. Nielsen & S Johansen, 2010. "Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model," Working Paper 1237, Economics Department, Queen's University.
• Jin Zhang & Wing Long Ng, 2010. "Exact Maximum Likelihood Estimation for Copula Models," Working Papers 038, COMISEF.
• Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18215/ is not listed on IDEAS anymore

• Wegmann , Bertil & Villani, Mattias, 2010. "Bayesian Inference in Structural Second-Price common Value Auctions," Working Paper Series 242, Sveriges Riksbank (Central Bank of Sweden).
• Joshua C.C. Chan & Garry Koop & Roberto Leon Gonzales & Rodney W. Strachan, 2010. "Time Varying Dimension Models," ANU Working Papers in Economics and Econometrics 2010-523, Australian National University, College of Business and Economics, School of Economics.
• Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18904/ is not listed on IDEAS anymore

• Bańbura, Marta & Modugno, Michele, 2010. "Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data," Working Paper Series 1189, European Central Bank.
• Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18226/ is not listed on IDEAS anymore

• Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010. "Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 10/24, University of Canterbury, Department of Economics and Finance.
• Dayton M. Lambert & Jason P. Brown & Raymond J.G.M. Florax, 2010. "A Two-Step Estimator For A Spatial Lag Model Of Counts: Theory, Small Sample Performance And An Application," Working Papers 10-5, Purdue University, College of Agriculture, Department of Agricultural Economics.
• Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
• Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18261/ is not listed on IDEAS anymore

• Pesaran, Hashem & Chudik, Alexander, 2010. "Econometric analysis of high dimensional VARs featuring a dominant unit," Working Paper Series 1194, European Central Bank.
• Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010. "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche 1021, CIRPEE.
• Ivan Nourdin & Giovanni Peccati & Mark Podolskij, 2010. "Quantitative Breuer-Major Theorems," CREATES Research Papers 2010-22, Department of Economics and Business Economics, Aarhus University.
• Charles J. Romeo, 2010. "Filling Out the Instrument Set in Mixed Logit Demand Systems for Aggregate Data," EAG Discussions Papers 201003, Department of Justice, Antitrust Division.
• Massimiliano Bratti & Alfonso Miranda, 2010. "Endogenous Treatment Effects for Count Data Models with Sample Selection or Endogenous Participation," DoQSS Working Papers 10-05, Quantitative Social Science - UCL Social Research Institute, University College London, revised 10 Dec 2010.
• Item repec:ner:ucllon:http://eprints.ucl.ac.uk/18905/ is not listed on IDEAS anymore

• Razzak, Weshah, 2010. "Predicting Instability," MPRA Paper 22804, University Library of Munich, Germany.
• Item repec:stn:sotoec:1009 is not listed on IDEAS anymore

• Item repec:dgr:eureir:1765019359 is not listed on IDEAS anymore

• Item repec:ner:ucllon:http://eprints.ucl.ac.uk/19473/ is not listed on IDEAS anymore

• McArthur, David Philip & Kleppe, Gisle & Thorsen, Inge & Ubøe, Jan, 2010. "The spatial transferability of parameters in a gravity model of commuting flows," Discussion Papers 2010/3, Norwegian School of Economics, Department of Business and Management Science.
• Jin Zhang & Dietmar Maringer, 2010. "Asset Pair-Copula Selection with Downside Risk Minimization," Working Papers 037, COMISEF.
• Item repec:ner:maastr:urn:nbn:nl:ui:27-22415 is not listed on IDEAS anymore

• Rodney W. Strachan & Herman K. van Dijk, 2010. "Evidence on a Real Business Cycle model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging," ANU Working Papers in Economics and Econometrics 2010-522, Australian National University, College of Business and Economics, School of Economics.