Report NEP-ECM-2011-09-22

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:ner:ucllon:http://discovery.ucl.ac.uk/1318085/ is not listed on IDEAS anymore

• Paulo M.M. Rodrigues & Tomás del Barrio Castro, 2011. "The Impact of Persistent Cycles on Zero Frequency Unit Root Tests," Working Papers w201124, Banco de Portugal, Economics and Research Department.
• Daniel Bartz & Kerr Hatrick & Christian W. Hesse & Klaus-Robert Muller & Steven Lemm, 2011. "Directional Variance Adjustment: improving covariance estimates for high-dimensional portfolio optimization," Papers 1109.3069, arXiv.org, revised Mar 2012.
• Raffaella Calabrese & Silvia Angela Osmetti, 2011. "Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults," Working Papers 201120, Geary Institute, University College Dublin.
• Biørn, Erik & R. Wangen, Knut, 2011. "Models of Truncation, Sample Selection, and Limited Dependent Variables: Suggestions for a Common Language," Memorandum 18/2011, Oslo University, Department of Economics.
• Maria Elvira Mancino & Simona Sanfelici, 2011. "Estimation of Quarticity with High Frequency Data," Working Papers - Mathematical Economics 2011-06, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Jan 2012.
• Max Köhler & Anja Schindler & Stefan Sperlich, 2011. "A Review and Comparison of Bandwidth Selection Methods for Kernel Regression," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 95, Courant Research Centre PEG.
• Paul S. Clarke & Tom M. Palmer & Frank Windmeijer, 2011. "Estimating structural mean models with multiple instrumental variables using the generalised method of moments," CeMMAP working papers CWP28/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Steffen Andersen & Glenn W. Harrison & Morten Lau & Elisabet E. Rutstroem, 2011. "Non-Linear Mixed Logit," Department of Economics Working Papers 2011_04, Durham University, Department of Economics.
• Bai, Jushan & Wang, Peng, 2011. "Conditional Markov chain and its application in economic time series analysis," MPRA Paper 33369, University Library of Munich, Germany.
• Tomás del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2011. "On Augmented HEGY Tests for Seasonal Unit Roots," Economics Discussion Paper Series 1121, Economics, The University of Manchester.