Report NEP-ECM-2016-05-28

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:

• Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert, 2016. "Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models," Monash Econometrics and Business Statistics Working Papers 09/16, Monash University, Department of Econometrics and Business Statistics.
• Federico A. Bugni & Mehmet Caner & Anders Bredahl Kock & Soumendra Lahiri, 2016. "Inference in partially identified models with many moment inequalities using Lasso," CREATES Research Papers 2016-12, Department of Economics and Business Economics, Aarhus University.
• Sujay Mukhoti & Pritam Ranjan, 2016. "Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors," Papers 1605.02418, arXiv.org.
• Robinson Kruse & Christian Leschinski & Michael Will, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers 2016-17, Department of Economics and Business Economics, Aarhus University.
• Xavier D'Haultfoeuille & Roland Rathelot, 2016. "Measuring Segregation on Small Units: A Partial Identification Analysis," RF Berlin - CReAM Discussion Paper Series 1611, Rockwool Foundation Berlin (RF Berlin) - Centre for Research and Analysis of Migration (CReAM).
• P. A. V. B. Swamy & I-Lok Chang & Jatinder S. Mehta & William H. Greene & Stephen G. Hall & George S. Tavlas, 2016. "Removing Specification Errors from the Usual Formulation of Binary Choice Models," Discussion Papers in Economics 16/11, Division of Economics, School of Business, University of Leicester.
• Tomás del Barrio Castro & Alain Hecq, 2016. "Testing for Deterministic Seasonality in Mixed-Frequency VARs," DEA Working Papers 76, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016. "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem," Working Papers 2123/14745, University of Sydney Business School, Discipline of Business Analytics.
• Takashi Shinzato, 2016. "Asymptotic Eigenvalue Distribution of Wishart Matrices whose Components are not Independently and Identically Distributed," Papers 1605.06840, arXiv.org.
• Constantin Bürgi & Tara M. Sinclair, 2015. "A Nonparametric Approach to Identifying a Subset of Forecasters that Outperforms the Simple Average," Working Papers 2015-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
• Antoine Mandel & Amir Sani, 2016. "Learning Time-Varying Forecast Combinations," Documents de travail du Centre d'Economie de la Sorbonne 16036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• S Ouliaris & A R Pagan, 2015. "A New Method for Working With Sign Restrictions in SVARs," NCER Working Paper Series 105, National Centre for Econometric Research.
• Sergey Ivashchenko, 2016. "Estimation and filtering of nonlinear MS-DSGE models," HSE Working papers WP BRP 136/EC/2016, National Research University Higher School of Economics.