Report NEP-ECM-2015-08-30

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:

• Hwang, Jungbin & Sun, Yixiao, 2015. "Asymptotic F and t Tests in an Efficient GMM Setting," University of California at San Diego, Economics Working Paper Series qt1c62d8xf, Department of Economics, UC San Diego.
• Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2015. "Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results," Cardiff Economics Working Papers E2015/8, Cardiff University, Cardiff Business School, Economics Section.
• Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
• Yunus Emre Ergemen & Carlos Velasco, 2015. "Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence," CREATES Research Papers 2015-35, Department of Economics and Business Economics, Aarhus University.
• Yu-Chin Hsu & Robert P. Lieli & Tsung-Chih Lai, 2015. "Estimation and Inference for Distribution Functions and Quantile Functions in Endogenous Treatment Effect Models," IEAS Working Paper : academic research 15-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• Cláudia Duarte, 2015. "Covariate-augmented unit root tests with mixed-frequency data," Working Papers w201507, Banco de Portugal, Economics and Research Department.
• Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina, 2015. "Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation," Working Papers on Finance 1513, University of St. Gallen, School of Finance.
• Bakshi, Gurdip & Chabi-Yo, Fousseni, 2014. "New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models," Working Paper Series 2014-07, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Francesco Lautizi, 2015. "Large Scale Covariance Estimates for Portfolio Selection," CEIS Research Paper 353, Tor Vergata University, CEIS, revised 07 Aug 2015.
• K Autchariyapanitkul & S Chanaim & S Sriboonchitta & T Denoeux, 2014. "Predicting Stock Returns in the Capital Asset Pricing Model Using Quantile Regression and Belief Functions," Post-Print hal-01127790, HAL.
• Markku Lanne & Henri Nyberg, 2015. "Nonlinear dynamic interrelationships between real activity and stock returns," CREATES Research Papers 2015-36, Department of Economics and Business Economics, Aarhus University.
• Niels Erik Kaaber Rasmussen & Marianne Frank Hansen & Peter Stephensen, 2013. "Conditional inference trees in dynamic microsimulation - modelling transition probabilities in the SMILE model," DREAM Working Paper Series 201302, Danish Rational Economic Agents Model, DREAM.
• Hans Bækgaard, 2014. "The Differences-in-Differences Approach with overlapping differences - Experimental Verification of Estimation Bias," DREAM Working Paper Series 201403, Danish Rational Economic Agents Model, DREAM.
• Javier Hualde & Fabrizio Iacone, 2015. "Autocorrelation robust inference using the Daniell kernel with fixed bandwidth," Discussion Papers 15/14, Department of Economics, University of York.
• Murasawa, Yasutomo, 2015. "The multivariate Beveridge--Nelson decomposition with I(1) and I(2) series," MPRA Paper 66319, University Library of Munich, Germany.
• Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2015. "Copula-based factor model for credit risk analysis," SFB 649 Discussion Papers 2015-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.