Report NEP-ECM-2015-02-28

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:

• Su Liangjun & Tadao Hoshino, 2015. "Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models," Working Papers 01-2015, Singapore Management University, School of Economics.
• Alexander Chudik & Kamiar Mohaddes & M. Hashem Pesaran & Mehdi Raissi, 2015. "Long-run effects in large heterogenous panel data models with cross-sectionally correlated errors," Globalization Institute Working Papers 223, Federal Reserve Bank of Dallas.
• Kyriacou, Maria & Phillips, Peter C.B. & Rossi, Francesca, 2014. "Indirect inference in spatial autoregression," Discussion Paper Series In Economics And Econometrics 1418, Economics Division, School of Social Sciences, University of Southampton.
• Russel Davidson & Andrea Monticini, 2014. "Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping," DISCE - Working Papers del Dipartimento di Economia e Finanza def012, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
• Arthur Charpentier & Emmanuel Flachaire, 2015. "Log-Transform Kernel Density Estimation of Income Distribution," AMSE Working Papers 1506, Aix-Marseille School of Economics, France.
• Ahmad Farid Osman & Maxwell L. King, 2015. "A new approach to forecasting based on exponential smoothing with independent regressors," Monash Econometrics and Business Statistics Working Papers 2/15, Monash University, Department of Econometrics and Business Statistics.
• Shonosuke Sugasawa & Tatsuya Kubokawa, 2015. "Box-Cox Transformed Linear Mixed Models for Positive-Valued and Clustered Data," CIRJE F-Series CIRJE-F-957, CIRJE, Faculty of Economics, University of Tokyo.
• Omay, Tolga & Hasanov, Mubariz & Emirmahmutoglu, Furkan, 2014. "Structural Break, Nonlinearity, and Asymmetry: A re-examination of PPP proposition," MPRA Paper 62335, University Library of Munich, Germany.
• Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables," Discussion Papers 15/01, Department of Economics, University of York.
• Biørn, Erik, 2014. "Serially Correlated Measurement Errors in Time Series Regression: The Potential of Instrumental Variable Estimators," Memorandum 28/2014, Oslo University, Department of Economics.
• Seojeong Lee, 2015. "A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs," Discussion Papers 2015-01, School of Economics, The University of New South Wales.
• David M. Kaplan & Matt Goldman, 2015. "Fractional order statistic approximation for nonparametric conditional quantile inference," Working Papers 1502, Department of Economics, University of Missouri.
• Florian Ziel, 2015. "Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes," Papers 1502.06557, arXiv.org, revised Dec 2015.
• Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
• Süß, Philipp, 2015. "A simple procedure to estimate k structural parameters on conditionally endogenous variables with one conditionally mean independent instrument in linear models," MPRA Paper 62030, University Library of Munich, Germany.
• Omay, Tolga & Yildirim, Dilem, 2013. "Nonlinearity and Smooth Breaks in Unit Root Testing," MPRA Paper 62334, University Library of Munich, Germany.
• Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2015. "An Overview of the Factor-augmented Error-Correction Model," Discussion Papers 15-03, Department of Economics, University of Birmingham.
• Damien Challet, 2015. "One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics," Papers 1502.05367, arXiv.org, revised Jul 2015.
• Francesco Lamperti, 2015. "An Information Theoretic Criterion for Empirical Validation of Time Series Models," LEM Papers Series 2015/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Stéphane Mussard & Fattouma Souissi-Benrejab, 2015. "Gini-PLS Regressions," Working Papers 15-03, LAMETA, Universtiy of Montpellier, revised Feb 2015.
• Task Force Members Include: Lilli Japec & Frauke Kreuter & Marcus Berg & Paul Biemer & Paul Decker & Cliff Lampe & Julia Lane & Cathy O'Neil & Abe Usher, "undated". "AAPOR Report on Big Data," Mathematica Policy Research Reports 4eb9b798fd5b42a8b53a9249c, Mathematica Policy Research.
• Junior Maih, 2014. "Efficient Perturbation Methods for Solving Regime-Switching DSGE Models," Working Papers No 10/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Alexander Schnurr, 2015. "An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series," Papers 1502.07321, arXiv.org.