Report NEP-ECM-2011-06-04

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:

• Enrique Moral-Benito, 2011. "Dynamic panels with predetermined regressors: likelihood-based estimation and Bayesian averaging with an application to cross-country growth," Working Papers 1109, Banco de España.
• Mohamed Boutahar & Rabeh Khalfaoui2, 2011. "Estimation of the long memory parameter in non stationary models: A Simulation Study," Working Papers halshs-00595057, HAL.
• James G. MacKinnon, 2012. "Thirty Years Of Heteroskedasticity-robust Inference," Working Paper 1268, Economics Department, Queen's University.
• Winkelried, D. & Smith, R.J., 2011. "Principal Components Instrumental Variable Estimation," Cambridge Working Papers in Economics 1119, Faculty of Economics, University of Cambridge.
• Gian Piero Aielli & Massimiliano Caporin, 2011. "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers 0133, Dipartimento di Scienze Economiche "Marco Fanno".
• Corrado, L. & Weeks, M., 2011. "Tests for Convergence Clubs," Cambridge Working Papers in Economics 1110, Faculty of Economics, University of Cambridge.
• García-Ferrer, Antonio & González-Prieto, Ester, 2011. "Exploring ICA for time series decomposition," DES - Working Papers. Statistics and Econometrics. WS ws111611, Universidad Carlos III de Madrid. Departamento de Estadística.
• Tristani, Oreste & Amisano, Gianni, 2011. "Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations," Working Paper Series 1341, European Central Bank.
• Daniel J. Henderson & John A. List & Daniel L. Millimet & Christopher F. Parmeter & Michael K. Price, 2011. "Empirical Implementation of Nonparametric First-Price Auction Models," NBER Working Papers 17095, National Bureau of Economic Research, Inc.
• Kim Christensen & Roel Oomen & Mark Podolskij, 2011. "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers 2011-19, Department of Economics and Business Economics, Aarhus University.
• Pesaran, M. H. & Smith, R. P., 2011. "Beyond the DSGE straightjacket," Cambridge Working Papers in Economics 1138, Faculty of Economics, University of Cambridge.
• David Hendry, 2011. "Unpredictability in Economic Analyis, Econometric Modelling and Forecasting," Economics Series Working Papers 551, University of Oxford, Department of Economics.