Report NEP-ECM-2010-10-23

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:

• Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," CREATES Research Papers 2010-68, Department of Economics and Business Economics, Aarhus University.
• Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, Department of Economics and Business Economics, Aarhus University.
• D. F. Benoit & D. Van Den Poel, 2010. "Binary quantile regression: A Bayesian approach based on the asymmetric Laplace density," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 10/662, Ghent University, Faculty of Economics and Business Administration.
• Olivier Ledoit & Michael Wolf, 2010. "Robust performance hypothesis testing with the variance," IEW - Working Papers 516, Institute for Empirical Research in Economics - University of Zurich.
• Landajo, Manuel & Presno, María José, 2010. "Nonparametric pseudo-Lagrange multiplier stationarity testing," MPRA Paper 25659, University Library of Munich, Germany.
• Olivier Ledoit & Michael Wolf, 2011. "Nonlinear shrinkage estimation of large-dimensional covariance matrices," IEW - Working Papers 515, Institute for Empirical Research in Economics - University of Zurich.
• Leslie G. Godrey, 2010. "Robust Nonnested Testing for Ordinary Least Squares Regression When Some of the Regressors are Lagged Dependent Variables," Discussion Papers 10/22, Department of Economics, University of York.
• Baltagi, Badi H. & Bresson, Georges, 2010. "Maximum Likelihood Estimation and Lagrange Multiplier Tests for Panel Seemingly Unrelated Regressions with Spatial Lag and Spatial Errors: An Application to Hedonic Housing Prices in Paris," IZA Discussion Papers 5227, Institute of Labor Economics (IZA).
• Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Tatiana V. Komarova & Thomas A. Severini & Elie Tamer, 2010. "Quantile uncorrelation and instrumental regressions," CeMMAP working papers CWP26/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Shimotsu, Katsumi & 下津, 克己, 2010. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Discussion Papers 2010-11, Graduate School of Economics, Hitotsubashi University.
• Arie Beresteanu & Ilya Molchanov & Francesca Molinari, 2010. "Sharp identification regions in models with convex moment predictions," CeMMAP working papers CWP25/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Item repec:hal:wpaper:hal-00525740_v1 is not listed on IDEAS anymore

• Item repec:dgr:kubcen:2010107 is not listed on IDEAS anymore

• R. Kruse & M. Frömmel & L. Menkhoff & P. Sibbertsen, 2010. "What do we know about real exchange rate nonlinearities?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 10/667, Ghent University, Faculty of Economics and Business Administration.
• Andrzej Jarosz, 2010. "Hermitian and non-Hermitian covariance estimators for multivariate Gaussian and non-Gaussian assets from random matrix theory," Papers 1010.2981, arXiv.org, revised May 2012.
• Richard Ashley, 2010. "On the Origins of Conditional Heteroscedasticity in Time Series," Working Papers e07-23, Virginia Polytechnic Institute and State University, Department of Economics.
• Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese, 2009. "Estimating Value-at-Risk (VaR) using TiVEx-POT Models," MPRA Paper 25772, University Library of Munich, Germany.
• Fornari, Fabio & Lemke, Wolfgang, 2010. "Predicting recession probabilities with financial variables over multiple horizons," Working Paper Series 1255, European Central Bank.
• Nikolai Dokuchaev, 2010. "On detecting the dependence of time series," Papers 1010.2576, arXiv.org.
• K. De Witte & M. Verschelde, 2010. "Estimating and explaining efficiency in a multilevel setting: A robust two-stage approach," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 10/657, Ghent University, Faculty of Economics and Business Administration.
• Antonio Bassanetti & Michele Caivano & Alberto Locarno, 2010. "Modelling Italian potential output and the output gap," Temi di discussione (Economic working papers) 771, Bank of Italy, Economic Research and International Relations Area.
• Marina Theodosiou, 2010. "Calendar Time Sampling of High Frequency Financial Asset Price and the Verdict on Jumps," Working Papers 2010-7, Central Bank of Cyprus.
• Lam, K.Y. & Koning, A.J. & Franses, Ph.H.B.F., 2010. "Ranking Models in Conjoint Analysis," Econometric Institute Research Papers EI 2010-51, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Item repec:hal:wpaper:hal-00526295_v1 is not listed on IDEAS anymore

• Richard Blundell & Rosa Matzkin, 2010. "Conditions for the existence of control functions in nonseparable simultaneous equations models," CeMMAP working papers CWP28/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Hanming Fang & Yang Wang, 2010. "Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting, with an Application to Mammography Decisions," PIER Working Paper Archive 10-033, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Steven F. Koch, 2010. "Fractional Multinomial Response Models With An Application To Expenditure Shares," Working Papers 201021, University of Pretoria, Department of Economics.
• L. Spadafora & G. P. Berman & F. Borgonovi, 2010. "Do your volatility smiles take care of extreme events?," Papers 1010.2184, arXiv.org.
• Carolyn Heinrich & Alessandro Maffioli & Gonzalo Vázquez, 2010. "A Primer for Applying Propensity-Score Matching," SPD Working Papers 1005, Inter-American Development Bank, Office of Strategic Planning and Development Effectiveness (SPD).