Report NEP-ECM-2013-10-25

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:

• Jinhyun Lee, 2013. "A Consistent Nonparametric Bootstrap Test of Exogeneity," Discussion Paper Series, School of Economics and Finance 201316, School of Economics and Finance, University of St Andrews.
• Item repec:dgr:umagsb:2013058 is not listed on IDEAS anymore

• Solberger, M. & Zhou, X., 2013. "LM-type tests for idiosyncratic and common unit roots in the exact factor model with AR(1) dynamics," Research Memorandum 059, Maastricht University, Graduate School of Business and Economics (GSBE).
• Audrino, Francesco & Camponovo, Lorenzo, 2013. "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Economics Working Paper Series 1327, University of St. Gallen, School of Economics and Political Science.
• Maciejowska, Katarzyna, 2013. "Assessing the number of components in a normal mixture: an alternative approach," MPRA Paper 50303, University Library of Munich, Germany.
• Matyas Barczy & Gyula Pap, 2013. "Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations," Papers 1310.4783, arXiv.org, revised Jun 2015.
• Sucarrat, Genaro & Escribano, Alvaro, 2013. "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns," MPRA Paper 50699, University Library of Munich, Germany.
• Reese, Simon & Li, Yushu, 2013. "Testing for Structural Breaks in the Presence of Data Perturbations: Impacts and Wavelet Based Improvements," Working Papers 2013:36, Lund University, Department of Economics.
• Hyungsik Roger Moon & Martin Weidner, 2013. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers CWP49/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Antonia Arsova & Deniz Dilan Karaman Oersal, 2013. "Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence," Working Paper Series in Economics 280, University of Lüneburg, Institute of Economics.
• Hadri, Kaddour & Kurozumi, Eiji & 黒住, 英司 & Rao, Yao, 2013. "Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed," Discussion Papers 2013-12, Graduate School of Economics, Hitotsubashi University.
• Item repec:dgr:umagsb:2013060 is not listed on IDEAS anymore

• Toru Kitagawa, 2013. "A bootstrap test for instrument validity in heterogeneous treatment effect models," CeMMAP working papers CWP53/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Emilio Zanetti Chini, 2013. "Generalizing smooth transition autoregressions," CEIS Research Paper 294, Tor Vergata University, CEIS, revised 25 Sep 2014.
• Romuald Meango & Ismael Mourifie, 2013. "A note on the identification in two equations probit model with dummy endogenous regressor," Working Papers tecipa-503, University of Toronto, Department of Economics.
• Otsu, Taisuke & Pesendorfer, Martin & Takahashi, Yuya, 2013. "Testing for Equilibrium Multiplicity in Dynamic Markov Games," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 423, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
• Jeffrey Penney, 2013. "Hypothesis Testing For Arbitrary Bounds," Working Paper 1319, Economics Department, Queen's University.
• Juan Carlos Escanciano & Wei Li, 2013. "On the identification of structural linear functionals," CeMMAP working papers CWP48/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Frank Schorfheide & Kenneth I. Wolpin, 2013. "To Hold Out or Not to Hold Out," PIER Working Paper Archive 13-059, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Woutersen, Tiemen & Khandker, Shahidur R., 2013. "Estimating the effects of credit constraints on productivity of Peruvian agriculture," Policy Research Working Paper Series 6658, The World Bank.
• Magnus, Jan R & Vasnev, Andrey, 2013. "Practical use of sensitivity in econometrics with an illustration to forecast combinations," Working Papers 2013-04, University of Sydney Business School, Discipline of Business Analytics.
• Pauwels, Laurent & Vasnev, Andrey, 2013. "Practical considerations for optimal weights in density forecast combi nation," Working Papers 01/2013, University of Sydney Business School, Discipline of Business Analytics.
• Tatsuya Kubokawa & Muni S. Srivastava, 2013. "Optimal Ridge-type Estimators of Covariance Matrix in High Dimension," CIRJE F-Series CIRJE-F-906, CIRJE, Faculty of Economics, University of Tokyo.
• Ladislav Kristoufek, 2013. "Measuring correlations between non-stationary series with DCCA coefficient," Papers 1310.3984, arXiv.org.
• Paolo Giudici & Alessandro Spelta, 2013. "Graphical network models for international financial flows," DEM Working Papers Series 052, University of Pavia, Department of Economics and Management.
• Liu, Di & Murtazashvili, Irina & Prokhorov, Artem, 2013. "Two-Sample Nonparametric Estimation of Intergenerational Income Mobili ty," Working Papers 07_2013, University of Sydney Business School, Discipline of Business Analytics.
• Gianbiagio Curato & Fabrizio Lillo, 2013. "Modeling the coupled return-spread high frequency dynamics of large tick assets," Papers 1310.4539, arXiv.org.
• Yonghong An & Xun Tang, 2013. "Identifying Structural Models of Committee Decisions with Heterogeneous Tastes and Ideological Bias," PIER Working Paper Archive 13-058, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Ron Gallant & Raffaella Giacomini & Giuseppe Ragusa, 2013. "Generalized method of moments with latent variables," CeMMAP working papers CWP50/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Martin Gremm, 2013. "The Origin of Fat Tails," Papers 1310.4538, arXiv.org, revised May 2014.
• Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.