Report NEP-ECM-2016-02-29

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:

• Aknouche, Abdelhakim, 2015. "Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes," MPRA Paper 69572, University Library of Munich, Germany.
• Olivier Ledoit & Michael Wolf, 2016. "Numerical implementation of the QuEST function," ECON - Working Papers 215, Department of Economics - University of Zurich, revised Jan 2017.
• Egger, Peter & Nigai, Sergey, 2015. "Structural Gravity with Dummies Only," CEPR Discussion Papers 10427, C.E.P.R. Discussion Papers.
• Sokbae (Simon) Lee & Myung Hwan Seo & Youngki Shin, 2014. "The lasso for high-dimensional regression with a possible change-point," CeMMAP working papers CWP26/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Luisa Corrado & Bernard Fingleton, 2016. "The W Matrix in Network and Spatial Econometrics: Issues Relating to Specification and Estimation," CEIS Research Paper 369, Tor Vergata University, CEIS, revised 12 Feb 2016.
• Quiroz, Matias & Villani, Mattias & Kohn, Robert, 2015. "Scalable Mcmc For Large Data Problems Using Data Subsampling And The Difference Estimator," Working Paper Series 306, Sveriges Riksbank (Central Bank of Sweden).
• van Oest, R.D. & Franses, Ph.H.B.F., 2015. "The Davies Problem: A New Test for Random Slope in the Hierarchical Linear Model," Econometric Institute Research Papers EI 2015-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Tue Gørgens & Dean Hyslop, 2016. "The specification of dynamic discrete-time two-state panel data models," Working Papers 16_01, Motu Economic and Public Policy Research.
• Makieła, Kamil, 2016. "Bayesian inference in generalized true random-effects model and Gibbs sampling," MPRA Paper 69389, University Library of Munich, Germany.
• Wang, Xuexin, 2016. "A New Class of Tests for Overidentifying Restrictions in Moment Condition Models," MPRA Paper 69004, University Library of Munich, Germany.
• Sucarrat, Genaro & Grønneberg, Steffen, 2016. "Models of Financial Return With Time-Varying Zero Probability," MPRA Paper 68931, University Library of Munich, Germany.
• Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2015. "A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”," Tinbergen Institute Discussion Papers 15-131/III, Tinbergen Institute.
• Jean-Marie Dufour & Alain Trognon & Purevdorj Tuvaandorj, 2015. "Invariant tests based on M-estimators, estimating functions, and the generalized method of moments," CIRANO Working Papers 2015s-27, CIRANO.
• Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie, 2016. "Beyond dimension two: A test for higher-order tail risk," Working Paper Series in Economics 80, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Item repec:hum:wpaper:sfb649dp2015-010 is not listed on IDEAS anymore

• Jean-François Richard, 2015. "Likelihood Evaluation of High-Dimensional Spatial Latent Gaussian Models with Non-Gaussian Response Variables," Working Paper 5778, Department of Economics, University of Pittsburgh.
• Arthur Charpentier & Ewen Gallic, 2016. "Kernel density estimation based on Ripley’s correction," Post-Print halshs-01238499, HAL.
• Neil Shephard & Justin Yang & Mark Podolskij & Robert Stelzer & S Thorbjornsen, "undated". "Likelihood Inference for Exponential-Trawl Processes," Working Paper 360826, Harvard University OpenScholar.
• Meriem Rjiba, Meriem & Tsagris, Michail & Mhalla, Hedi, 2015. "Bootstrap for Value at Risk Prediction," MPRA Paper 68842, University Library of Munich, Germany.
• Lilia Maliar & Serguei Maliar & John B. Taylor & Inna Tsener, 2015. "A Tractable Framework for Analyzing a Class of Nonstationary Markov Models," Economics Working Papers 15105, Hoover Institution, Stanford University.