Report NEP-ECM-2010-09-03

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:

• Morten Ørregaard Nielsen & Per Frederiksen, 2010. "Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration," CREATES Research Papers 2010-31, Department of Economics and Business Economics, Aarhus University.
• Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2010-43, Department of Economics and Business Economics, Aarhus University.
• Mogens Bladt & Michael Sørensen, 2010. "Simple simulation of diffusion bridges with application to likelihood inference for diffusions," CREATES Research Papers 2010-32, Department of Economics and Business Economics, Aarhus University.
• Naoto Kunitomo & Seisho Sato, 2010. "On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise," CIRJE F-Series CIRJE-F-758, CIRJE, Faculty of Economics, University of Tokyo.
• Fernando Baltazar-Larios & Michael Sørensen, 2010. "Maximum likelihood estimation for integrated diffusion processes," CREATES Research Papers 2010-33, Department of Economics and Business Economics, Aarhus University.
• Rasmus Tangsgaard Varneskov & Valeri Voev, 2010. "The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts," CREATES Research Papers 2010-45, Department of Economics and Business Economics, Aarhus University.
• Robinson Kruse & Rickard Sandberg, 2010. "Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency," CREATES Research Papers 2010-36, Department of Economics and Business Economics, Aarhus University.
• Stefano Grassi & Tommaso Proietti, 2010. "Characterizing economic trends by Bayesian stochastic model specification search," EERI Research Paper Series EERI_RP_2010_25, Economics and Econometrics Research Institute (EERI), Brussels.
• Robinson Kruse & Philipp Sibbertsen, 2010. "Long memory and changing persistence," CREATES Research Papers 2010-42, Department of Economics and Business Economics, Aarhus University.
• Item repec:dgr:eureri:1765019669 is not listed on IDEAS anymore

• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2010. "Jump-robust volatility estimation using nearest neighbor truncation," Staff Reports 465, Federal Reserve Bank of New York.
• Andrle, Michal, 2010. "A note on identification patterns in DSGE models," Working Paper Series 1235, European Central Bank.
• Rasmus Tangsgaard Varneskov, 2010. "The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data," CREATES Research Papers 2010-39, Department of Economics and Business Economics, Aarhus University.
• Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers 2010-44, Department of Economics and Business Economics, Aarhus University.
• Christian M. Dahl & Emma M. Iglesias, 2010. "Asymptotic normality of the QMLE in the level-effect ARCH model," CREATES Research Papers 2010-48, Department of Economics and Business Economics, Aarhus University.
• Thomas Q. Pedersen, 2010. "Predictable return distributions," CREATES Research Papers 2010-38, Department of Economics and Business Economics, Aarhus University.
• Judith A. Clarke & Nilanjana Roy, 2010. "On Statistical Inference for Inequality Measures Calculated from Complex Survey Data," Econometrics Working Papers 1002, Department of Economics, University of Victoria.
• Ivan Savin, 2010. "A comparative study of the Lasso-type and heuristic model selection methods," Working Papers 042, COMISEF.
• Renee Fry & Adrian Pagan, 2010. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," CAMA Working Papers 2010-22, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Shuangzhe Liu & Wolfgang Polasek & Richard Sellner, 2010. "Sensitivity Analysis of SAR Estimators: A Simulation Study," Working Paper series 22_10, Rimini Centre for Economic Analysis, revised Nov 2011.
• Jarociński, Marek, 2010. "Imposing parsimony in cross-country growth regressions," Working Paper Series 1234, European Central Bank.
• Coen N. Teulings & Nick Zubanov, 2010. "Is Economic Recovery a Myth? Robust Estimation of Impulse Responses," Tinbergen Institute Discussion Papers 10-040/3, Tinbergen Institute, revised 07 Jul 2011.