Report NEP-ECM-2015-05-30

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:

• Taisuke Otsu & Myung Hwan Seo, 2014. "Asymptotics for maximum score method under general conditions," STICERD - Econometrics Paper Series 571, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Taisuke Otsu & Luke Taylor, 2014. "Estimation of Nonseparable Models with Censored Dependent Variables and Endogenous Regressors," STICERD - Econometrics Paper Series 575, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Item repec:cep:stiecm:581 is not listed on IDEAS anymore

• Clifford Lam & Pedro Souza, 2014. "Regularization for Spatial Panel Time Series Using the Adaptive LASSO," STICERD - Econometrics Paper Series 578, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Kirill Evdokimov & Yuichi Kitamura & Taisuke Otsu, 2014. "Robust estimation of moment condition models with weakly dependent data," STICERD - Econometrics Paper Series 579, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Natalia Bailey & Liudas Giraitis, 2015. "Spectral Approach to Parameter-Free Unit Root Testing," Working Papers 746, Queen Mary University of London, School of Economics and Finance.
• Item repec:cep:stiecm:583 is not listed on IDEAS anymore

• Javier Hidalgo & Jungyoon Lee, 2014. "A Cusum Test of Common Trends in Large Heterogeneous Panels," STICERD - Econometrics Paper Series 576, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Item repec:hum:wpaper:sfb649dp2015-029 is not listed on IDEAS anymore

• Item repec:cep:stiecm:580 is not listed on IDEAS anymore

• Myung Hwan Seo & Yongcheol Shin, 2014. "Dynamic Panels with Threshold Effect and Endogeneity," STICERD - Econometrics Paper Series 577, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Karun Adusumilli & Taisuke Otsu, 2014. "Empirical Likelihood for Random Sets," STICERD - Econometrics Paper Series 574, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Jungyoon Lee & Peter M Robinson, 2013. "Series Estimation under Cross-sectional Dependence," STICERD - Econometrics Paper Series 570, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Item repec:cep:stiecm:582 is not listed on IDEAS anymore

• Wojciech Charemza & Carlos Díaz & Svetlana Makarova, 2015. "Choosing the Right Skew Normal Distribution: the Macroeconomist’ Dilemma," Discussion Papers in Economics 15/08, Division of Economics, School of Business, University of Leicester.
• Tatiana Komarova, 2013. "Extremum Sieve Estimation in k-out-of-n Systems," STICERD - Econometrics Paper Series 564, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Miguel A. Delgado & Peter M Robinson, 2013. "Non-Nested Testing of Spatial Correlation," STICERD - Econometrics Paper Series 568, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Reese, Simon, 2015. "Asymptotic Inference in the Lee-Carter Model for Modelling Mortality Rates," Working Papers 2015:16, Lund University, Department of Economics.
• Item repec:cte:wsrepe:ws1504 is not listed on IDEAS anymore

• Zamar, Rubén, 2015. "Ranking Edges and Model Selection in High-Dimensional Graphs," DES - Working Papers. Statistics and Econometrics. WS ws1511, Universidad Carlos III de Madrid. Departamento de Estadística.
• Aldanondo, Ana M. & Casasnovas, Valero L., 2015. "More is better than one: the impact of different numbers of input aggregators in technical efficiency estimation," MPRA Paper 64120, University Library of Munich, Germany.
• André-Marie Taptué, 2015. "Comparing the Size of the Middle Class using the Alienation Component of Polarization," Cahiers de recherche 1511, CIRPEE.
• Andrew Binning & Junior Maih, 2015. "Sigma point filters for dynamic nonlinear regime switching models," Working Paper 2015/10, Norges Bank.
• Peter M Robinson & Francesca Rossi, 2013. "Improved Lagrange Multiplier Tests in Spatial Autoregressions," STICERD - Econometrics Paper Series 566, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Filippo Ferroni & Stefano Grassi & Miguel A. Leon-Ledesma, 2015. "Fundamental shock selection in DSGE models," Studies in Economics 1508, School of Economics, University of Kent.
• Roman Horváth & Boril Sopov, 2015. "GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation," Working Papers IES 2015/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2015.
• Sylvain Barde, 2015. "Direct calibration and comparison of agent-based herding models of financial markets," Studies in Economics 1507, School of Economics, University of Kent.
• Item repec:mse:cesdoc:15045 is not listed on IDEAS anymore

• Claude Godreche & Satya N. Majumdar & Gregory Schehr, 2015. "Record statistics for random walk bridges," Papers 1505.06053, arXiv.org, revised Jan 2016.
• Kelly D.T.Trinh & Valentin Zelenyuk, 2015. "Bootstrap-based testing for network DEA: Some Theory and Applications," CEPA Working Papers Series WP052015, School of Economics, University of Queensland, Australia.
• Javier Hidalgo & Pedro Souza & Pedro Souza, 2013. "Testing for equality of an increasing number of spectral density functions," STICERD - Econometrics Paper Series 563, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• André-Marie Taptué, 2015. "Comparing the Homogeneity of Income Distributions using Polarization Indices," Cahiers de recherche 1512, CIRPEE.
• Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Small-time asymptotics for Gaussian self-similar stochastic volatility models," Papers 1505.05256, arXiv.org, revised Mar 2016.
• Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly, 2015. "Volatility forecasting using global stochastic financial trends extracted from non-synchronous data," MPRA Paper 64503, University Library of Munich, Germany.
• Robert Engle & Emil Siriwardane, 2014. "Structural GARCH: The Volatility-Leverage Connection," Working Papers 14-07, Office of Financial Research, US Department of the Treasury.
• Wojciech Charemza & Carlos Díaz & Svetlana Makarova, 2015. "Conditional Term Structure of Inflation Forecast Uncertainty: The Copula Approach," Discussion Papers in Economics 15/07, Division of Economics, School of Business, University of Leicester.
• Wojciech Charemza & Carlos Díaz & Svetlana Makarova, 2015. "Ex-post Inflation Forecast Uncertainty and Skew Normal Distribution: ‘Back from the Future’ Approach," Discussion Papers in Economics 15/09, Division of Economics, School of Business, University of Leicester.