Report NEP-ECM-2016-05-21

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:

• Griffin, Jim & Liu, Jia & Maheu, John M, 2016. "Bayesian Nonparametric Estimation of Ex-post Variance," MPRA Paper 71220, University Library of Munich, Germany.
• Andrew J. Buck & George M. Lady, 2016. "Estimating a Falsified Model," DETU Working Papers 1601, Department of Economics, Temple University.
• Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AMR, 2015. "A Bootstrap Stationarity Test for Predictive Regression Invalidity," Essex Finance Centre Working Papers 16666, University of Essex, Essex Business School.
• Gouriéroux, Christian & Zakoian, Jean-Michel, 2016. "Local Explosion Modelling by Noncausal Process," MPRA Paper 71105, University Library of Munich, Germany.
• Ignace De Vos & Gerdie Everaert, 2016. "Bias-Corrected Common Correlated Effects Pooled Estimation In Homogeneous Dynamic Panels," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/920, Ghent University, Faculty of Economics and Business Administration.
• Rinke, Saskia, 2016. "The Influence of Additive Outliers on the Performance of Information Criteria to Detect Nonlinearity," Hannover Economic Papers (HEP) dp-575, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Hampf, Benjamin, 2015. "Estimating the materials balance condition: A stochastic frontier approach," Darmstadt Discussion Papers in Economics 226, Darmstadt University of Technology, Department of Law and Economics.
• Victor Aguirregabiria & Erhao Xie, 2016. "Identification of Biased Beliefs in Games of Incomplete Information Using Experimental Data," Working Papers tecipa-560, University of Toronto, Department of Economics.
• Stelios D. Bekiros & Alessia Paccagnini, 2014. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Open Access publications 10197/7588, School of Economics, University College Dublin.
• Bazen, Stephen & Joutard, Xavier & Magdalou, Brice, 2016. "An Oaxaca Decomposition for Nonlinear Models," IZA Discussion Papers 9909, Institute of Labor Economics (IZA).
• Maarten van Oordt & Chen Zhou, 2016. "Estimating Systematic Risk Under Extremely Adverse Market Conditions," Staff Working Papers 16-22, Bank of Canada.
• Yu-Chin Hsu & Shu Shen, 2016. "Testing for Treatment Effect Heterogeneity in Regression Discontinuity Design," IEAS Working Paper : academic research 16-A005, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• Robert Kollmann, 2016. "Tractable Likelihood-Based Estimation of Non-Linear DSGE Models Using Higher-Order Approximations," Working Papers ECARES ECARES 2016-15, ULB -- Universite Libre de Bruxelles.
• Mario Forni & Luca Gambetti & Luca Sala, 2016. "VAR Information and the Empirical Validation of DSGE Models," Center for Economic Research (RECent) 119, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
• Louis Paulot, 2016. "Unbiased Monte Carlo Simulation of Diffusion Processes," Papers 1605.01998, arXiv.org.
• Du Nguyen, 2016. "An Explicit Formula for Likelihood Function for Gaussian Vector Autoregressive Moving-Average Model Conditioned on Initial Observables with Application to Model Calibration," Papers 1604.08677, arXiv.org.
• Marco Marini, 2016. "Nowcasting Annual National Accounts with Quarterly Indicators; An Assessment of Widely Used Benchmarking Methods," IMF Working Papers 16/71, International Monetary Fund.
• Annastiina Silvennoinen & Timo Terasvirta, 2015. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," NCER Working Paper Series 108, National Centre for Econometric Research.
• Neil Shephard & Justin J Yang, "undated". "Continuous time analysis of fleeting discrete price moves," Working Paper 360986, Harvard University OpenScholar.
• Clegg, Matthew & Krauss, Christopher, 2016. "Pairs trading with partial cointegration," FAU Discussion Papers in Economics 05/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.