Report NEP-ECM-2015-12-08

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:

• W. Robert Reed & Min Zhu, 2015. "On Estimating Long-Run Effects in Models with Lagged Dependent Variables," Working Papers in Economics 15/18, University of Canterbury, Department of Economics and Finance.
• Paulo M.M. Rodrigues & João Nicolau, 2015. "A New Regression-Based Tail Index Estimator: An Application to Exchange Rates," Working Papers w201514, Banco de Portugal, Economics and Research Department.
• Mototsugu Shintani & Zi-yi Guo, 2015. "Improving the Finite Sample Performance of Autoregression Estimators in Dynamic Factor Models: A Bootstrap Approach," Vanderbilt University Department of Economics Working Papers 15-00013, Vanderbilt University Department of Economics.
• Blazsek, Szabolcs, 2015. "Dynamic conditional score patent count panel data models," UC3M Working papers. Economics we1510, Universidad Carlos III de Madrid. Departamento de Economía.
• Gilhooly, Robert & Weale, Martin & Wieladek, Tomasz, 2015. "Estimation of short dynamic panels in the presence of cross-sectional dependence and dynamic eterogeneity," Discussion Papers 38, Monetary Policy Committee Unit, Bank of England.
• Paolo Giudici & Laura Parisi, 2015. "Dynamic hierarchical models for monetary transmission," DEM Working Papers Series 112, University of Pavia, Department of Economics and Management.
• Yasuo Hirose & Takeki Sunakawa, 2015. "Parameter bias in an estimated DSGE model: does nonlinearity matter?," CAMA Working Papers 2015-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2015. "lCARE: Localizing conditional autoregressive expectiles," SFB 649 Discussion Papers 2015-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Juodis, Arturas & Sarafidis, Vasilis, 2015. "A Simple Estimator for Short Panels with Common Factors," MPRA Paper 68164, University Library of Munich, Germany.
• Fabian Dunker, 2015. "Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 192, Courant Research Centre PEG.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Large Vector Autoregressions with Asymmetric Priors," Working Papers 759, Queen Mary University of London, School of Economics and Finance.
• Francisco J. Bahamonde-Birke & Juan de Dios Ortúzar, 2015. "About the Categorization of Latent Variables in Hybrid Choice Models," Discussion Papers of DIW Berlin 1527, DIW Berlin, German Institute for Economic Research.
• Andrew Binning & Junior Maih, 2015. "Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models," Working Paper 2015/17, Norges Bank.
• Hang J. Kim & Lawrence H. Cox & Alan F. Karr & Jerome P. Reiter & Quanli Wang, 2015. "Simultaneous Edit-Imputation for Continuous Microdata," Working Papers 15-44, Center for Economic Studies, U.S. Census Bureau.
• Basu, Deepankar, 2015. "Asymptotic Bias of OLS in the Presence of Reverse Causality," UMASS Amherst Economics Working Papers 2015-18, University of Massachusetts Amherst, Department of Economics.
• Soederlind, Paul, 2015. "Testing Competing Factor Pricing Models," Working Papers on Finance 1524, University of St. Gallen, School of Finance, revised May 2016.
• M. Mouchart & R. Orsi, 2015. "Building a Structural Model: Parameterization and Structurality," Working Papers wp1039, Dipartimento Scienze Economiche, Universita' di Bologna.
• Marc Hallin & Miroslav Šiman, 2015. "Elliptical Multiple Output Quantile Regression and Convex Optimization," Working Papers ECARES ECARES 2015-47, ULB -- Universite Libre de Bruxelles.
• Yves Dominicy & Harry-Paul Vander Elst, 2015. "Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data," Working Papers ECARES ECARES 2015-41, ULB -- Universite Libre de Bruxelles.
• Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2015. "Measurement Errors and Monetary Policy: Then and Now," Working Paper 15-13, Federal Reserve Bank of Richmond.
• Matias Heikkila & Yves Dominicy & Sirkku Pauliina Ilmonen, 2015. "Multivariate Moment Based Extreme Value Index Estimators," Working Papers ECARES ECARES 2015-42, ULB -- Universite Libre de Bruxelles.