Report NEP-ECM-2011-05-24

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:

• Taisuke Otsu & Ke-Li Xu, 2011. "Empirical Likelihood for Regression Discontinuity Design," Cowles Foundation Discussion Papers 1799, Cowles Foundation for Research in Economics, Yale University.
• Eiji Kurozumi & Khashbaatar Dashtseren, 2011. "Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes," Global COE Hi-Stat Discussion Paper Series gd11-187, Institute of Economic Research, Hitotsubashi University.
• Stefano Grassi & Paolo Santucci de Magistris, 2011. "When Long Memory Meets the Kalman Filter: A Comparative Study," CREATES Research Papers 2011-14, Department of Economics and Business Economics, Aarhus University.
• Adolfson, Malin & Lindé, Jesper, 2011. "Parameter Identification in a Estimated New Keynesian Open Economy Model," Working Paper Series 251, Sveriges Riksbank (Central Bank of Sweden).
• Toru Kitagawa, 2011. "Inference and decision for set identified parameters using posterior lower and upper probabilities," CeMMAP working papers CWP16/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Zhu, Ying & Ghosh, Sujit K., 2011. "A Robust Study of Regression Methods for Crop Yield Data," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103426, Agricultural and Applied Economics Association.
• Eric Gautier & Christiern Rose, 2021. "High-dimensional instrumental variables regression and confidence sets," Working Papers hal-00591732, HAL.
• Storm, Hugo & Heckelei, Thomas, 2011. "Bayesian estimation of non-stationary Markov models combining micro and macro data," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103645, Agricultural and Applied Economics Association.
• Holger Dette & Stefan Hoderlein & Natalie Neumeyer, 2011. "Testing multivariate economic restrictions using quantiles: the example of Slutsky negative semidefiniteness," CeMMAP working papers CWP14/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Lance Lochner & Enrico Moretti, 2011. "Estimating and Testing Models with Many Treatment Levels and Limited Instruments," NBER Working Papers 17039, National Bureau of Economic Research, Inc.
• Tom Engsted & Thomas Q. Pedersen, 2011. "Bias-correction in vector autoregressive models: A simulation study," CREATES Research Papers 2011-18, Department of Economics and Business Economics, Aarhus University.
• Deb, P & Trivedi, P, 2011. "Finite Mixture for Panels with Fixed Effects," Health, Econometrics and Data Group (HEDG) Working Papers 11/03, HEDG, c/o Department of Economics, University of York.
• Massimiliano Caporin & Gabriel G. Velo, 2011. "Modeling and forecasting realized range volatility," "Marco Fanno" Working Papers 0128, Dipartimento di Scienze Economiche "Marco Fanno".
• Cristina Amado & Timo Teräsvirta, 2011. "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," NIPE Working Papers 15/2011, NIPE - Universidade do Minho.
• Goodwin, Barry K. & Holt, Matthew T. & Onel, Gulcan & Prestemon, Jeffrey P., 2011. "Copula-Based Nonlinear Models of Spatial Market Linkages," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103715, Agricultural and Applied Economics Association.
• Søren Johansen & Theis Lange, 2011. "Some econometric results for the Blanchard-Watson bubble model," CREATES Research Papers 2011-17, Department of Economics and Business Economics, Aarhus University.
• Nicoletti, Cheti & G. Best, Nicky, 2011. "Quantile regression with aggregated data," ISER Working Paper Series 2011-12, Institute for Social and Economic Research.
• Miguel, Victor de & Nogales, Francisco J., 2011. "Calibration of shrinkage estimators for portfolio optimization," DES - Working Papers. Statistics and Econometrics. WS ws111510, Universidad Carlos III de Madrid. Departamento de Estadística.
• Bergtold, Jason S. & Yeager, Elizabeth A. & Featherstone, Allen M., 2011. "Sample Size and Robustness of Inferences from Logistic Regression in the Presence of Nonlinearity and Multicollinearity," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103771, Agricultural and Applied Economics Association.
• Stefan Hoderlein & Yuya Sasaki, 2011. "On the role of time in nonseparable panel data models," CeMMAP working papers CWP15/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Shigeru Iwata & Han Li, 2011. "Why are Trend Cycle Decompositions of Alternative Models So Different?," Global COE Hi-Stat Discussion Paper Series gd10-171, Institute of Economic Research, Hitotsubashi University.
• Mayo, Iván, 2012. "Forecasting aggregates and disaggregates with common features," DES - Working Papers. Statistics and Econometrics. WS ws110805, Universidad Carlos III de Madrid. Departamento de Estadística.
• Donald W.K. Andrews, 2011. "Examples of L^2-Complete and Boundedly-Complete Distributions," Cowles Foundation Discussion Papers 1801, Cowles Foundation for Research in Economics, Yale University.
• Ghosh, Somali & Woodard, Joshua D. & Vedenov, Dmitry V., 2011. "Efficient Estimation of Copula Mixture Model: An Application to the Rating of Crop Revenue Insurance," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103738, Agricultural and Applied Economics Association.
• Chen, Xuan & Goodwin, Barry K., 2011. "Spatio-Temporal Modeling of Southern Pine Beetle Outbreaks with a Block Bootstrapping Approach," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103668, Agricultural and Applied Economics Association.
• Yang, Tsung Yu, 2011. "Measurement of Yield distribution: A Time-Varying Distribution Model," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103422, Agricultural and Applied Economics Association.
• Gibson, Fiona L. & Burton, Michael P., 2011. "Determining the change in welfare estimates from introducing measurement error in non-linear choice models," Working Papers 103428, University of Western Australia, School of Agricultural and Resource Economics.
• Franke, Reiner & Westerhoff, Frank, 2011. "Structural stochastic volatility in asset pricing dynamics: Estimation and model contest," BERG Working Paper Series 78, Bamberg University, Bamberg Economic Research Group.
• Johnston, Robert J. & Ramachandran, Mahesh & Schultz, Eric T. & Segerson, Kathleen & Besedin, Elena Y., 2011. "Characterizing Spatial Pattern in Ecosystem Service Values when Distance Decay Doesn’t Apply: Choice Experiments and Local Indicators of Spatial Association," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103374, Agricultural and Applied Economics Association.
• Yoshitsugu Kitazawa, 2011. "Average elasticity in the framework of the fixed effects logit model," Discussion Papers 49, Kyushu Sangyo University, Faculty of Economics.
• Ryota Yabe, 2011. "Limiting Distribution of the Score Statistic under Moderate Deviation from a Unit Root in MA(1)," Global COE Hi-Stat Discussion Paper Series gd10-170, Institute of Economic Research, Hitotsubashi University.
• Pudney, Stephen & Hernandez, Monica, 2011. "What you don’t see can’t hurt you? Panel data analysis and the dynamics of unobservable factors," ISER Working Paper Series 2011-13, Institute for Social and Economic Research.
• Luís Francisco Aguiar & Maria Joana Soares, 2011. "The Continuous Wavelet Transform: A Primer," NIPE Working Papers 16/2011, NIPE - Universidade do Minho.
• Chen, Min & Lupi, Frank, 2011. "First in Class? The Performance of Latent Class Model," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103449, Agricultural and Applied Economics Association.