Report NEP-ECM-2013-08-31

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, 2013. "A Test for Endogeneity in Conditional Quantiles," Working Papers halshs-00854527, HAL.
• Nima Nonejad, 2013. "A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory," CREATES Research Papers 2013-24, Department of Economics and Business Economics, Aarhus University.
• Arturas Juodis, 2013. "First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference," UvA-Econometrics Working Papers 13-06, Universiteit van Amsterdam, Dept. of Econometrics.
• Matthew D. Webb, 2014. "Reworking Wild Bootstrap Based Inference For Clustered Errors," Working Paper 1315, Economics Department, Queen's University.
• Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2013. "Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown," MPRA Paper 49344, University Library of Munich, Germany.
• Kaspar W thrich, 2013. "Set Identification of Generalized Linear Predictors in the Presence of Non-Classical Measurement Errors," Diskussionsschriften dp1304, Universitaet Bern, Departement Volkswirtschaft.
• Nima Nonejad, 2013. "Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach," CREATES Research Papers 2013-26, Department of Economics and Business Economics, Aarhus University.
• Nima Nonejad, 2013. "Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox," CREATES Research Papers 2013-27, Department of Economics and Business Economics, Aarhus University.
• Item repec:cep:stiecm:/2013/564 is not listed on IDEAS anymore

• Kees Jan van Garderen & H. Peter Boswijk, 2013. "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors," UvA-Econometrics Working Papers 13-05, Universiteit van Amsterdam, Dept. of Econometrics.
• Stefan Hoderlein & Yuya Sasaki, 2013. "Outcome conditioned treatment effects," CeMMAP working papers CWP39/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• William J. McCausland & A.A.J. Marley, 2013. "Bayesian Inference and Model Comparison for Random Choice Structures," Cahiers de recherche 07-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
• Halvarsson, Daniel, 2013. "On the Estimation of Skewed Geometric Stable Distributions," Ratio Working Papers 216, The Ratio Institute.
• Stanley, T. D. & Doucouliagos, Hristos, 2013. "Better than random: weighted least squares meta-regression analysis," Working Papers eco_2013_2, Deakin University, Department of Economics.
• Piper, Alan, 2013. "A Note on Modelling Dynamics in Happiness Estimations," MPRA Paper 49364, University Library of Munich, Germany.
• Roland Langrock & Th'eo Michelot & Alexander Sohn & Thomas Kneib, 2013. "Semiparametric stochastic volatility modelling using penalized splines," Papers 1308.5836, arXiv.org, revised Jun 2014.
• Selma Chaker, 2013. "Volatility and Liquidity Costs," Staff Working Papers 13-29, Bank of Canada.
• Simon A. Broda, 2013. "Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors," UvA-Econometrics Working Papers 13-04, Universiteit van Amsterdam, Dept. of Econometrics.
• Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely, 2013. "Which continuous-time model is most appropriate for exchange rates?," Working Papers 2013-024, Federal Reserve Bank of St. Louis.
• Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper 2013/19, Norges Bank.
• Pawe{l} O'swic{e}cimka & Stanis{l}aw Dro.zd.z & Marcin Forczek & Stanis{l}aw Jadach & Jaros{l}aw Kwapie'n, 2013. "Detrended Cross-Correlation Analysis Consistently Extended to Multifractality," Papers 1308.6148, arXiv.org, revised Feb 2014.
• Item repec:dgr:eureir:1765039598 is not listed on IDEAS anymore

• L. Bryan, Mark & P. Jenkins, Stephen, 2013. "Regression analysis of country effects using multilevel data: a cautionary tale," ISER Working Paper Series 2013-14, Institute for Social and Economic Research.
• KESSELS, Roselinde & JONES, Bradley & GOOS, Peter, 2013. "An argument for preferring Firth bias-adjusted estimates in aggregate and individual-level discrete choice modeling," Working Papers 2013013, University of Antwerp, Faculty of Business and Economics.
• Patrick Vetter & Wolfgang Schmid & Reimund Schwarze, 2013. "Efficient Approximation of the Spatial Covariance Function for Large Datasets - Analysis of Atmospheric CO2 Concentrations," Discussion Paper Series RECAP15 009, RECAP15, European University Viadrina, Frankfurt (Oder).
• Hao Liu & Winfried Pohlmeier, 2013. "Risk Preferences and Estimation Risk in Portfolio Choice," Working Paper series 47_13, Rimini Centre for Economic Analysis.
• Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias, 2013. "ECB monetary policy surprises: Identification through cojumps in interest rates," SFB 649 Discussion Papers 2013-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.