Report NEP-ECM-2013-12-06

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:

• Nikolay Gospodinov & Serena Ng, 2013. "Minimum distance estimation of possibly non-invertible moving average models," FRB Atlanta Working Paper 2013-11, Federal Reserve Bank of Atlanta.
• Boris Brodsky & Henry Penikas & Irina Safaryan, 2012. "Copula structural shift identification," HSE Working papers WP BRP 05/FE/2012, National Research University Higher School of Economics.
• Item repec:cep:stiecm:/2013/570 is not listed on IDEAS anymore

• Francq, Christian & Sucarrat, Genaro, 2013. "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," MPRA Paper 51783, University Library of Munich, Germany.
• Li, Yushu & Andersson, Fredrik N. G., 2013. "A Simple Wavelet-Based Test for Serial Correlation in Panel Data Models," Working Papers 2013:39, Lund University, Department of Economics.
• Item repec:cep:stiecm:/2013/568 is not listed on IDEAS anymore

• Zhu, Ke & Yu, Philip L.H. & Li, Wai Keung, 2013. "Testing for the buffered autoregressive processes," MPRA Paper 51706, University Library of Munich, Germany.
• Leucht, Anne & Neumann, Michael H. & Kreiss, Jens-Peter, 2013. "A model specification test for GARCH(1,1) processes," Working Papers 13-11, University of Mannheim, Department of Economics.
• Boswijk, H. P. & Zu, Y., 2013. "Testing for Cointegration with Nonstationary Volatility," Working Papers 13/08, Department of Economics, City University London.
• Item repec:cep:stiecm:/2013/569 is not listed on IDEAS anymore

• Joshua C C Chan & Cody Y L Hsiao, 2013. "Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence," CAMA Working Papers 2013-74, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Ilaria Lucrezia Amerise, 2013. "Weighted Non-Crossing Quantile Regressions," Working Papers 201308, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF.
• Montes-Rojas, G. & Galvao Jr, A. F., 2013. "Bayesian Endogeneity Bias Modeling," Working Papers 13/09, Department of Economics, City University London.
• Hjertstrand, Per, 2013. "A Simple Method to Account for Measurement Errors in Revealed Preference Tests," Working Paper Series 990, Research Institute of Industrial Economics.
• W. Robert Reed, 2013. "A Note on the Practice of Lagging Variables to Avoid Simultaneity," Working Papers in Economics 13/32, University of Canterbury, Department of Economics and Finance.
• Fildes, Robert & Petropoulos, Fotios, 2013. "An evaluation of simple forecasting model selection rules," MPRA Paper 51772, University Library of Munich, Germany.
• Rong Zhang & Brett A. Inder & Xibin Zhang, 2013. "Bayesian estimation of a discrete response model with double rules of sample selection," Monash Econometrics and Business Statistics Working Papers 24/13, Monash University, Department of Econometrics and Business Statistics.
• Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
• Benedikt Rotermann & Bernd Wilfling, 2013. "Periodically collapsing Evans bubbles and stock-price volatility," CQE Working Papers 2813, Center for Quantitative Economics (CQE), University of Muenster.
• Francesca DI IORIO & Stefano FACHIN & Riccardo LUCCHETTI, 2013. "Can you do the wrong thing and still be right? Hypothesis Testing in I(2) and near-I(2) cointegrated VARs," Working Papers 395, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Steven E. Pav, 2013. "Asymptotic distribution of the Markowitz portfolio," Papers 1312.0557, arXiv.org, revised Mar 2020.
• Zuhair Bahraou & Catalina Bolancé & Ana M. Pérez-Marín, 2013. "Testing extreme value copulas to estimate the quantile," Working Papers XREAP2013-09, Xarxa de Referència en Economia Aplicada (XREAP), revised Nov 2013.
• Andersson, Fredrik N.G. & Li, Yushu, 2013. "How Flexible are the Inflation Targets? A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model," Working Papers 2013:38, Lund University, Department of Economics.
• Item repec:hal:journl:dumas-00906285 is not listed on IDEAS anymore

• S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.