Report NEP-ECM-2015-11-21

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:

• Hill, Jonathan B. & Prokhorov, Artem, 2015. "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers 2015-03, University of Sydney Business School, Discipline of Business Analytics.
• Valerio Scalone, 2015. "Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound," Working Papers 6/15, Sapienza University of Rome, DISS.
• Silvia BACCI & Francesco BARTOLUCCI & Silvia PANDOLFI, 2015. "A joint model for longitudinal and survival data based on an AR(1) latent process," Working papers of the Department of Economics - University of Perugia (IT) 00014/2015, Università di Perugia, Dipartimento Economia.
• Gerlach, Richard & Wang, Chao, 2015. "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures," Working Papers 2015-07, University of Sydney Business School, Discipline of Business Analytics.
• Kohn, Robert & Tran, Minh-Ngoc, 2015. "Exact ABC using Importance Sampling," Working Papers 2015-08, University of Sydney Business School, Discipline of Business Analytics.
• Tomás del Barrio Castro & Andrii Bodnar & Andreu Sansó Rosselló, 2015. "Numerical Distribution Functions for Seasonal Unit Root Tests with OLS and GLS Detrending," DEA Working Papers 73, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Tomás del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2015. "Semi-Parametric Seasonal Unit Root Tests," DEA Working Papers 72, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Bas van der Klaauw & Sandra Vriend, 2015. "A Nonparametric Method for Predicting Survival Probabilities," Tinbergen Institute Discussion Papers 15-126/V, Tinbergen Institute.
• Sofiene El Aoud & Frédéric Abergel, 2014. "Calibration of a stock's beta using options prices," Post-Print hal-01006405, HAL.
• Matyas Barczy & Balazs Nyul & Gyula Pap, 2015. "Least squares estimation for the subcritical Heston model based on continuous time observations," Papers 1511.05948, arXiv.org, revised Aug 2018.
• Fabian Dunker & Thorsten Hohage, 2014. "On parameter identification in stochastic differential equations by penalized maximum likelihood," Papers 1404.0651, arXiv.org.
• Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano, 2015. "A data-cleaning augmented Kalman filter for robust estimation of state space models," Hohenheim Discussion Papers in Business, Economics and Social Sciences 13-2015, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
• Naoya Sueishi, 2015. "A Simple Derivation of the Efficiency Bound for Conditional Moment Restriction Models," Discussion Papers 1531, Graduate School of Economics, Kobe University.
• Boriss Siliverstovs, 2015. "Dissecting Models' Forecasting Performance," KOF Working papers 15-397, KOF Swiss Economic Institute, ETH Zurich.
• Tsagris, Michail, 2015. "Regression analysis with compositional data containing zero values," MPRA Paper 67868, University Library of Munich, Germany.
• Tamara Burdisso & Máximo Sangiácomo, 2015. "Panel Time Series. Review of the Methodological Evolution," BCRA Working Paper Series 201568, Central Bank of Argentina, Economic Research Department.
• Gerlach, R & Sutton, M & Vasnev, A, 2015. "Generalized Variance: A Robust Estimator of Stock Price Volatility," Working Papers 2015-02, University of Sydney Business School, Discipline of Business Analytics.
• Hans Colonius, 2015. "An invitation to coupling and copulas: with applications to multisensory modeling," Papers 1511.05303, arXiv.org.
• Prokhorov, Artem & Schepsmeier, Ulf & Zhu, Yajing, 2015. "Generalized Information Matrix Tests for Copulas," Working Papers 2015-05, University of Sydney Business School, Discipline of Business Analytics.
• David Pence Slichter, 2015. "The Employment Effects of the Minimum Wage: A Selection Ratio Approach to Measuring Treatment Effects," 2015 Papers psl76, Job Market Papers.
• Amsler, Christine & Artem, Prokhorov & Peter, Schmidt, 2015. "Endogeneity in Stochastic Frontier Models," Working Papers 2015-01, University of Sydney Business School, Discipline of Business Analytics.
• Thor Pajhede, 2015. "Backtesting Value-at-Risk: A Generalized Markov Framework," Discussion Papers 15-18, University of Copenhagen. Department of Economics.
• David M. Kaplan, 2015. "Bayesian and frequentist tests of sign equality and other nonlinear inequalities," Working Papers 1516, Department of Economics, University of Missouri.
• Shin Kanaya, 2015. "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers 2015-50, Department of Economics and Business Economics, Aarhus University.
• , "undated". "," IPEK Working Papers 1509, Ipek University, Department of Economics.
• Demuynck, T., 2015. "Bounding average treatment effects : a linear programming approach," Research Memorandum 027, Maastricht University, Graduate School of Business and Economics (GSBE).
• Willi Mutschler, 2015. "Higher-order statistics for DSGE models," CQE Working Papers 4315, Center for Quantitative Economics (CQE), University of Muenster.