Report NEP-ECM-2014-07-21

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:

• Kazuhiko Hayakawa & Vanessa Smith & M. Hashem Pesaran, 2014. "Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects," Cambridge Working Papers in Economics 1412, Faculty of Economics, University of Cambridge.
• Natalia Bailey & Vanessa Smith & M. Hashem Pesaran, 2014. "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics 1413, Faculty of Economics, University of Cambridge.
• Item repec:cte:wsrepe:ws141711 is not listed on IDEAS anymore

• Millo, Giovanni, 2014. "Robust standard error estimators for panel models: a unifying approach," MPRA Paper 54954, University Library of Munich, Germany.
• Joshua C.C. Chan & Angelia L. Grant, 2014. "Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion," CAMA Working Papers 2014-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Carnero Fernández, María Ángeles & Pérez, Ana, 2014. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," DES - Working Papers. Statistics and Econometrics. WS ws141912, Universidad Carlos III de Madrid. Departamento de Estadística.
• Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics 14/19, University of Canterbury, Department of Economics and Finance.
• Eleanor Sanderson & Frank Windmeijer, 2014. "A Weak Instrument F-Test in Linear IV Models with Multiple Endogenous Variables," Bristol Economics Discussion Papers 14/644, School of Economics, University of Bristol, UK, revised 27 May 2015.
• Michael Greenacre & H. ÖztaÅŸ Ayhan, 2015. "Identifying Inliers," Working Papers 763, Barcelona School of Economics.
• Item repec:cte:wsrepe:we141410 is not listed on IDEAS anymore

• Hashem Pesaran & Ron Smith, 2014. "Tests of Policy Ineffectiveness in Macroeconometrics," Cambridge Working Papers in Economics 1415, Faculty of Economics, University of Cambridge.
• Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Birkbeck Working Papers in Economics and Finance 1409, Birkbeck, Department of Economics, Mathematics & Statistics.
• M. Hashem Pesaran & Ron P Smith, 2014. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," Birkbeck Working Papers in Economics and Finance 1406, Birkbeck, Department of Economics, Mathematics & Statistics.
• Yang, Bill Huajian, 2013. "Estimating Long-Run PD, Asset Correlation, and Portfolio Level PD by Vasicek Models," MPRA Paper 57244, University Library of Munich, Germany.
• John Goddard & Phil Molyneux & Jonathan Williams, 2013. "Dealing with Cross-Firm Heterogeneity in Bank Efficiency Estimates: Some evidence from Latin America," Working Papers 13011, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
• Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2014. "Exploiting the monthly data-flow in structural forecasting," Discussion Papers 1416, Centre for Macroeconomics (CFM).
• Rodolfo G. Campos & Iliana Reggio, 2013. "Measurement error in imputation procedures," Working Papers 1322, Banco de España.