Report NEP-ECM-2015-04-11

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:

• Breunig, Christoph, 2015. "Testing missing at random using instrumental variables," SFB 649 Discussion Papers 2015-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Marian Vavra, 2015. "Testing for normality with applications," Working and Discussion Papers WP 1/2015, Research Department, National Bank of Slovakia.
• Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud, 2015. "Autoregressive moving average infinite hidden markov-switching models," LIDAM Discussion Papers CORE 2015007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Masamune Iwasawa, 2015. "Joint Specification Tests For Response Probabilities In Unordered Multinomial Choice Models," KIER Working Papers 919, Kyoto University, Institute of Economic Research.
• Javier Hidalgo & Marcia M Schafgans, 2015. "Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence," STICERD - Econometrics Paper Series /2015/583, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Yuki Ikeda & Tatsuya Kubokawa & Muni S. Srivastava, 2015. "Comparison of Linear Shrinkage Estimators of a Large Covariance Matrix in Normal and Non-normal Distributions," CIRJE F-Series CIRJE-F-970, CIRJE, Faculty of Economics, University of Tokyo.
• Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
• Robinson, Peter & Rossi, Francesca, 2015. "Refinements in maximum likelihood inference on spatial autocorrelation in panel data," LSE Research Online Documents on Economics 61432, London School of Economics and Political Science, LSE Library.
• Xiaohong Chen & Timothy Christensen, 2013. "Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation," Cowles Foundation Discussion Papers 1923R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2015.
• Helmut Lütkepohl & Aleksei Netsunajev, 2015. "Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models," Discussion Papers of DIW Berlin 1464, DIW Berlin, German Institute for Economic Research.
• Van Bellegem, Sébastien & Florens, Jean-Pierre, 2014. "Instrumental variable estimation in functional linear models," LIDAM Discussion Papers CORE 2014056, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Jeffrey S. Racine, 2015. "Local Polynomial Derivative Estimation: Analytic or Taylor?," Department of Economics Working Papers 2015-02, McMaster University.
• Jisu Yoon & Tatyana Krivobokova, 2015. "Treatments of Non-metric Variables in Partial Least Squares and Principal Component Analysis," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 172, Courant Research Centre PEG.
• Seisho Sato & Naoto Kunitomo, 2015. "A Robust Estimation of Integrated Volatility under Round-off Errors, Micro-market Price Adjustments and Noises," CIRJE F-Series CIRJE-F-964, CIRJE, Faculty of Economics, University of Tokyo.
• Hafner, Christian & Breitung, Jörg, 2014. "A simple model for now-casting volatility series," LIDAM Discussion Papers CORE 2014060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Heiner F. Mikosch & Stefan Neuwirth, 2015. "Real-Time Forecasting with a MIDAS VAR," KOF Working papers 15-377, KOF Swiss Economic Institute, ETH Zurich.
• Bonanno, Graziella & De Giovanni, Domenico & Domma, Filippo, 2015. "The “wrong skewness” problem: a re-specification of Stochastic Frontiers," MPRA Paper 63429, University Library of Munich, Germany.
• Braione, Manuela & Scholtes, Nicolas K., 2014. "Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework," LIDAM Discussion Papers CORE 2014059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Ellis Scharfenaker, 2015. "A Quantal Response Model of Firm Competition," Working Papers 1507, New School for Social Research, Department of Economics.
• BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2014. "Forecasting comparison of long term component dynamic models for realized covariance matrices," LIDAM Discussion Papers CORE 2014053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Dube, Arindrajit & Zipperer, Ben, 2015. "Pooling Multiple Case Studies Using Synthetic Controls: An Application to Minimum Wage Policies," IZA Discussion Papers 8944, Institute of Labor Economics (IZA).
• Dionissi Aliprantis, 2015. "A distinction between causal effects in structural and rubin causal models," Working Papers (Old Series) 1505, Federal Reserve Bank of Cleveland.
• Yaman, F. & Cubí‐Mollá, P., "undated". "A fixed effects ordered choice model with flexible thresholds with an application to life-satisfaction," Working Papers 8123, Department of Economics, City University London.
• Giovanni Angelini & Luca Fanelli Fanelli, 2015. "Misspecification and Expectations Correction in New Keynesian DSGE Models," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.