Report NEP-ECM-2010-10-02

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:wvu:wpaper:10-09 is not listed on IDEAS anymore

• Item repec:wvu:wpaper:10-11 is not listed on IDEAS anymore

• Johannes, Jan & Van Bellegem, Sébastien & Vanhems, Anne, 2010. "Iterative Regularization in Nonparametric Instrumental Regression," TSE Working Papers 10-184, Toulouse School of Economics (TSE).
• Galeano, Pedro & Ghosh, Pulak, 2010. "A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation," DES - Working Papers. Statistics and Econometrics. WS ws103822, Universidad Carlos III de Madrid. Departamento de Estadística.
• Florens, Jean-Pierre & Schwarz, Maik & Van Bellegem, Sébastien, 2010. "Nonparametric Frontier Estimation from Noisy Data," TSE Working Papers 10-179, Toulouse School of Economics (TSE).
• Florens, Jean-Pierre & Simoni, Anna, 2010. "Nonparametric Estimation of An Instrumental Regression: A Quasi-Bayesian Approach Based on Regularized Posterior," TSE Working Papers 10-176, Toulouse School of Economics (TSE).
• David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2010. "Unit root testing under a local break in trend," Discussion Papers 10/05, University of Nottingham, Granger Centre for Time Series Econometrics.
• Peter Fuleky & Eric Zivot, 2010. "Indirect Inference Based on the Score," Working Papers UWEC-2010-08, University of Washington, Department of Economics.
• Dong, Yingying, 2010. "Jumpy or Kinky? Regression Discontinuity without the Discontinuity," MPRA Paper 25461, University Library of Munich, Germany.
• Evarist Stoja & Arnold Polanski, 2009. "Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management," Bristol Economics Discussion Papers 09/617, School of Economics, University of Bristol, UK.
• Item repec:wvu:wpaper:10-10 is not listed on IDEAS anymore

• Ewa M. Syczewska, 2010. "Empirical power of the Kwiatkowski-Phillips-Schmidt-Shin test," Working Papers 45, Department of Applied Econometrics, Warsaw School of Economics.
• Florens, Jean-Pierre & Simoni, Anna, 2010. "Regularizing priors for linear inverse problems," TSE Working Papers 10-175, Toulouse School of Economics (TSE).
• Reed, W. Robert & Webb, Rachel S., 2010. "Estimating standard errors for the Parks model: Can jackknifing help?," Economics Discussion Papers 2010-23, Kiel Institute for the World Economy (IfW Kiel).
• Polasek, Wolfgang & Sellner, Richard, 2010. "Spatial Chow-Lin Methods for Data Completion in Econometric Flow Models," Economics Series 255, Institute for Advanced Studies.
• Item repec:pse:psecon:2010-22 is not listed on IDEAS anymore

• LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco, 2010. "On the forecasting accuracy of multivariate GARCH models," LIDAM Discussion Papers CORE 2010025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Chernobai, Anna & Menn, Christian & Rachev, Svetlozar T. & Trück, Stefan, 2010. "Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study," Working Paper Series in Economics 4, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Güner, Biliana & Rachev, Svetlozar T. & Edelman, Daniel & Fabozzi, Frank J., 2010. "Bayesian inference for hedge funds with stable distribution of returns," Working Paper Series in Economics 1, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• SBRANA, Giacomo & SILVESTRINI, Andrea, 2010. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," LIDAM Discussion Papers CORE 2010039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Florens, Jean-Pierre & Simon, Guillaume, 2010. "Endogeneity and Instrumental Variables in Dynamic Models," TSE Working Papers 10-178, Toulouse School of Economics (TSE).
• Cazals, Catherine & Dudley, Paul & Florens, Jean-Pierre & Jones, Michael, 2010. "The Effect of Unobserved Heterogeneity in Stochastic Frontier Estimation: Comparison of Cross Section and Panel with Simulated Data for The Postal Sector," TSE Working Papers 10-173, Toulouse School of Economics (TSE).
• Item repec:pse:psecon:2010-16 is not listed on IDEAS anymore

• Evarist Stoja & Richard D. F. Harris & Fatih Yilmaz, 2010. "A Cyclical Model of Exchange Rate Volatility," Bristol Economics Discussion Papers 10/618, School of Economics, University of Bristol, UK.
• Michael Lechner, 2010. "The Estimation of Causal Effects by Difference-in-Difference Methods," University of St. Gallen Department of Economics working paper series 2010 2010-28, Department of Economics, University of St. Gallen, revised Oct 2011.
• Kevin C Cheng, 2010. "A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices," IMF Working Papers 10/181, International Monetary Fund.