Report NEP-ECM-2010-07-17

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:

• Lanne, Markku & Saikkonen, Pentti, 2010. "Noncausal Vector Autoregression," MPRA Paper 23717, University Library of Munich, Germany.
• Lanne, Markku & Saikkonen, Pentti, 2009. "GMM Estimation with Noncausal Instruments," MPRA Paper 23649, University Library of Munich, Germany.
• Katarzyna Maciejowska, 2010. "Estimation methods comparison of SVAR model with the mixture of two normal distributions - Monte Carlo analysis," Economics Working Papers ECO2010/27, European University Institute.
• Lanne, Markku & Luoto, Jani & Saikkonen, Pentti, 2010. "Optimal Forecasting of Noncausal Autoregressive Time Series," MPRA Paper 23648, University Library of Munich, Germany.
• Tomás del Barrio Castro & Denise R. Osborn, 2010. "HEGY Tests in the Presence of Moving Averages," DEA Working Papers 42, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Lanne, Markku & Luoma, Arto & Luoto, Jani, 2009. "Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models," MPRA Paper 23646, University Library of Munich, Germany.
• Fulvio Corsi & Davide Pirino & Roberto Reno', 2010. "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting," LEM Papers Series 2010/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• L Godfrey & T Yamagata, 2010. "A robust test for error cross-section correlation in panel models," Discussion Papers 10/16, Department of Economics, University of York.
• Michael P. Keane & Robert M. Sauer, 2010. "A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables," Working Papers 1008, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 05 Jul 2010.
• Katarzyna Maciejowska, 2010. "Common factors in nonstationary panel data with a deterministic trend - estimation and distribution theory," Economics Working Papers ECO2010/28, European University Institute.
• Alexandre Repkine, 2010. "The Estimation of Meta-Frontiers by Constrained Maximum Likelihood," Discussion Paper Series 1011, Institute of Economic Research, Korea University.
• Rangan Gupta & Mampho P. Modise, 2010. "Valuation Ratios and Stock Price Predictability in South Africa: Is it there?," Working Papers 201016, University of Pretoria, Department of Economics.
• Domenico Giannone & Jérôme Henry & Magdalena Lalik & Michèle Modugno, 2010. "An Area Wide Real Time Data Base for the Euro Area," Working Papers ECARES ECARES 2010-026, ULB -- Universite Libre de Bruxelles.
• Gulseven, Osman & Wohlgenant, Michael K., 2010. "A Hedonic Metric Approach to Estimating the Demand for Differentiated Products: An Application to Retail Milk Demand," 84th Annual Conference, March 29-31, 2010, Edinburgh, Scotland 91675, Agricultural Economics Society.
• Nyberg, Henri, 2010. "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper 23724, University Library of Munich, Germany.