Report NEP-ECM-2011-02-05

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:

• Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Bayesian Model Averaging in the Instrumental Variable Regression Model," Working Paper series 09_11, Rimini Centre for Economic Analysis, revised Aug 2012.
• Pierre-Andre Chiappori & Ivana Komunjer & Dennis Kristensen, 2011. "Nonparametric Identification and Estimation of Transformation Models," CAM Working Papers 2011-01, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
• Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
• Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts, 2011. "A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models," CIRANO Working Papers 2011s-13, CIRANO.
• Stefan Hoderlein & Anne Vanhems, 2011. "Welfare analysis using nonseparable models," CeMMAP working papers CWP01/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Candelon, B. & Hurlin, C. & Tokpavi, S., 2011. "Sampling error and double shrinkage estimation of minimum variance portfolios," Research Memorandum 002, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
• Luisa Corrado & Bernard Fingleton, 2011. "Where is the Economics in Spatial Econometrics?," Working Papers 1101, University of Strathclyde Business School, Department of Economics.
• Item repec:dgr:umamet:2011003 is not listed on IDEAS anymore

• Tatsuya Kubokawa & William E. Strawderman, 2011. "A Unified Approach to Non-minimaxity of Sets of Linear Combinations of Restricted Location Estimators," CIRJE F-Series CIRJE-F-786, CIRJE, Faculty of Economics, University of Tokyo.
• Christian Kleiber & Achim Zeileis, 2011. "Reproducible Econometric Simulations," Working Papers 2011-02, Faculty of Economics and Statistics, Universität Innsbruck.
• Sessi Topkavi, 2011. "Asset Allocation with Aversion to Parameter Uncertainty: A Minimax Regression Approach," EconomiX Working Papers 2011-1, University of Paris Nanterre, EconomiX.
• St'ephane Chr'etien & Juan-Pablo Ortega, 2011. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Papers 1101.5475, arXiv.org.
• Ivan Savin & Peter Winker, 2011. "Heuristic model selection for leading indicators in Russia and Germany," Working Papers 046, COMISEF.
• Carolin Strobl & Julia Kopf & Achim Zeileis, 2011. "A new method for detecting differential item functioning in the Rasch model," Working Papers 2011-01, Faculty of Economics and Statistics, Universität Innsbruck.
• Gerrit Reher & Bernd Wilfling, 2011. "Markov-switching GARCH models in finance: a unifying framework with an application to the German stock market," CQE Working Papers 1711, Center for Quantitative Economics (CQE), University of Muenster.
• Trifon I. Missov & Maxim S. Finkelstein, 2011. "Admissible mixing distributions for a general class of mixture survival models with known asymptotics," MPIDR Working Papers WP-2011-004, Max Planck Institute for Demographic Research, Rostock, Germany.
• Edward P. Herbst & Frank Schorfheide, 2011. "Evaluating DSGE model forecasts of comovements," Working Papers 11-5, Federal Reserve Bank of Philadelphia.
• Rodrigo Peñaloza, 2011. "Dissimilarities between categorical variables," Working papers - Textos para Discussao do Departamento de Economia da Universidade de Brasilia 351, Departamento de Economia da Universidade de Brasilia.