Report NEP-ECM-2013-03-30

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:

• Eric Gautier & Alexandre Tsybakov, 2013. "Pivotal estimation in high-dimensional regression via linear programming," Papers 1303.7092, arXiv.org, revised Apr 2013.
• Item repec:eca:wpaper:2013/142644 is not listed on IDEAS anymore

• Anne Neumann & Maria Nieswand & Torben Schubert, 2013. "Estimating Alternative Technology Sets in Nonparametric Efficiency Analysis: Restriction Tests for Panel and Clustered Data," Discussion Papers of DIW Berlin 1283, DIW Berlin, German Institute for Economic Research.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
• Yingying Li & Zhiyuan Zhang & Xinghua Zheng, 2013. "Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise," Papers 1303.5809, arXiv.org.
• Yong Bao & Aman Ullah & Yun Wang & Jun Yu, 2013. "Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes," Working Papers 02-2013, Singapore Management University, School of Economics.
• Item repec:dgr:kubcen:2013017 is not listed on IDEAS anymore

• Item repec:dgr:kubcen:2013019 is not listed on IDEAS anymore

• Marc Hallin & Marco Lippi, 2013. "Factor Models in High-Dimensional Time Series: A Time-Domain Approach," Working Papers ECARES ECARES 2013-15, ULB -- Universite Libre de Bruxelles.
• Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
• Markku Lanne & Jani Luoto, 2013. "A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation," Discussion Papers of DIW Berlin 1285, DIW Berlin, German Institute for Economic Research.