Report NEP-ECM-2012-11-24

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:

• Tae-Hwan Kim & Christophe Muller, 2012. "A test for endogeneity in conditional quantile models," Working papers 2012rwp-49, Yonsei University, Yonsei Economics Research Institute.
• Arndt Reichert & Harald Tauchmann, 2012. "When Outcome Heterogeneously Matters for Selection – A Generalized Selection Correction Estimator," Ruhr Economic Papers 0372, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
• Paulo Parente & Richard Smith, 2012. "Exogeneity in semiparametric moment condition models," CeMMAP working papers CWP30/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012. "The Selection of ARIMA Models with or without Regressors," CREATES Research Papers 2012-46, Department of Economics and Business Economics, Aarhus University.
• Xiaohong Chen & Jinyong Hahn, 2012. "Asymptotic efficiency of semiparametric two-step GMM," CeMMAP working papers CWP31/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers 2012-45, Department of Economics and Business Economics, Aarhus University.
• Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.
• Habert white & Tae-Hwan Kim & Simone Manganelli, 2012. "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers 2012rwp-45, Yonsei University, Yonsei Economics Research Institute.
• Andrew Chesher & Adam Rosen, 2012. "An instrumental variable random coefficients model for binary outcomes," CeMMAP working papers CWP34/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," CREATES Research Papers 2012-44, Department of Economics and Business Economics, Aarhus University.
• Jingzhao Qi & Huijie Yang, 2012. "Hurst Exponents For Short Time Series," Papers 1211.2862, arXiv.org.
• Item repec:qut:auncer:2012_91 is not listed on IDEAS anymore

• Itai Sher & Kyoo il Kim, 2012. "Identification of Demand Models of Multiple Purchases," Working Papers 2012-2, University of Minnesota, Department of Economics.
• Chatelain, Jean-Bernard & Ralf, Kirsten, 2012. "Spurious Regressions and Near-Multicollinearity, with an Application to Aid, Policies and Growth," MPRA Paper 42533, University Library of Munich, Germany.
• Durán-Vázquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2012. "Un modelo GARCH con asimetría condicional autorregresiva para modelar series de tiempo: Una aplicación para el Indice de Precios y Cotizaciones [A GARCH model with autorregresive conditional asymme," MPRA Paper 42548, University Library of Munich, Germany.
• Item repec:hal:wpaper:hal-00750562 is not listed on IDEAS anymore

• Paola Cerchiello & Paolo Giudici, 2012. "Bayesian Credit Rating Assessment," DEM Working Papers Series 019, University of Pavia, Department of Economics and Management.