Report NEP-ECM-2011-11-14

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Badi H. Baltagi & Bernard Fingleton & Alain Pirotte, 2011. "Estimating and Forecasting with a Dynamic Spatial Panel Data Model," SERC Discussion Papers 0095, Centre for Economic Performance, LSE.
• Marc Hallin & Davy Paindaveine & Thomas Verdebout, 2011. "Optimal Rank-Based Tests for Common Principal Components," Working Papers ECARES ECARES 2011-032, ULB -- Universite Libre de Bruxelles.
• Huber, Martin & Mellace, Giovanni, 2011. "Testing instrument validity for LATE identification based on inequality moment constraints," Economics Working Paper Series 1143, University of St. Gallen, School of Economics and Political Science.
• Matthias Koch, 2011. "Parameter spaces for stationary DGPs in spatial econometric modelling," ERSA conference papers ersa11p1147, European Regional Science Association.
• Deschamps, Philippe J., 2011. "Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models," DQE Working Papers 16, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 09 Jun 2012.
• Item repec:ner:carlos:info:hdl:10016/12257 is not listed on IDEAS anymore

• Viktor Todorov & George Tauchen & Iaryna Grynkiv, 2011. "Volatility Activity: Specification and Estimation," Working Papers 11-23, Duke University, Department of Economics.
• Paul Viefers, 2011. "Bayesian Inference for the Mixed-Frequency VAR Model," Discussion Papers of DIW Berlin 1172, DIW Berlin, German Institute for Economic Research.
• Item repec:hum:wpaper:sfb649dp2011-073 is not listed on IDEAS anymore

• Jesus Mur & Marcos Herrera & Manuel Ruiz, 2011. "Selecting the W Matrix. Parametric vs Nonparametric Approaches," ERSA conference papers ersa11p1055, European Regional Science Association.
• Viktor Todorov & George Tauchen, 2011. "Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions," Working Papers 11-21, Duke University, Department of Economics.
• Xi Luo, 2011. "Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation," Papers 1111.1133, arXiv.org, revised Mar 2013.
• Rosa Bernardini Papalia, 2011. "An information theoretic approach to ecological inference in presence of spatial heterogeneity and dependence," ERSA conference papers ersa11p317, European Regional Science Association.
• Jesus Mur & Antonio Paez, 2011. "Local weighting or the necessity of flexibility," ERSA conference papers ersa11p942, European Regional Science Association.
• Tamás Krisztin & Matthias Koch, 2011. "Agent Teams and Evolutionary Computation: Optimizing Semi- Parametric Spatial Autoregressive Models," ERSA conference papers ersa11p1687, European Regional Science Association.
• Noureddine El Karoui & Andrew E. B. Lim & Gah-Yi Vahn, 2011. "Performance-based regularization in mean-CVaR portfolio optimization," Papers 1111.2091, arXiv.org, revised Mar 2012.
• Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
• Jeremy T. Fox & Amit Gandhi, 2011. "Identifying Demand with Multidimensional Unobservables: A Random Functions Approach," NBER Working Papers 17557, National Bureau of Economic Research, Inc.
• Ronayne, David, 2011. "Which Impulse Response Function?," The Warwick Economics Research Paper Series (TWERPS) 971, University of Warwick, Department of Economics.
• Paulo M.D.C. Parente & Joao M.C. Santos Silva, 2011. "A Cautionary Note on Tests for Overidentifying Restrictions," Discussion Papers 1111, University of Exeter, Department of Economics.
• Chris McDonald & Leif Anders Thorsrud, 2011. "Evaluating density forecasts: model combination strategies versus the RBNZ," Reserve Bank of New Zealand Discussion Paper Series DP2011/03, Reserve Bank of New Zealand.
• Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in real-time: A density combination approach," Working Paper 2011/11, Norges Bank.
• Stilianos Alexiadis & Matthias Koch & Tamás Krisztin, 2011. "Time series and spatial interaction: An alternative method to detect converging clusters," ERSA conference papers ersa11p1678, European Regional Science Association.
• Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
• Geoffrey Hewings & Jae Hong Kim, 2011. "An Application of the Disequilibrium Adjustment Framework to Small Area Forecasting and Impact Analysis," ERSA conference papers ersa11p1839, European Regional Science Association.