Report NEP-ECM-2016-06-25

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-ECM

The following items were announced in this report:

• Moreira, Marcelo J. & Mourão, Rafael & Moreira, Humberto Ataíde, 2016. "A critical value function approach, with an application to persistent time-series," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 778, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Ciccarelli, Nicola, 2016. "Semiparametric Efficient Adaptive Estimation of the PTTGARCH model," MPRA Paper 72021, University Library of Munich, Germany.
• Federico M Bandi & Valentina Corradi & Daniel Wilhelm, 2016. "Possibly Nonstationary Cross-Validation," CeMMAP working papers CWP11/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Alexei Onatski & Chen Wang, 2016. "Alternative Asymptotics for Cointegration Tests in Large VARs," Cambridge Working Papers in Economics 1637, Faculty of Economics, University of Cambridge.
• Frank Windmeijer & Helmut Farbmacher & Neil Davies & George Davey Smith, 2016. "On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments," Bristol Economics Discussion Papers 16/674, School of Economics, University of Bristol, UK, revised 08 Aug 2017.
• Timothy B. Armstrong & Michal Koles�r, 2016. "Simple and Honest Confidence Intervals in Nonparametric Regression," Cowles Foundation Discussion Papers 2044, Cowles Foundation for Research in Economics, Yale University.
• Søren Johansen & Bent Nielsen, 2016. "Tightness of M-estimators for multiple linear regression in time for multiple linear regression in time series," Discussion Papers 16-05, University of Copenhagen. Department of Economics.
• Yutao Sun, 2016. "Likelihood-based inference for nonlinear models with both individual and time effects," Working Papers of Department of Economics, Leuven 541934, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
• Alfonso Ugarte, 2016. "Long and short-run components in explanatory variables and different panel-data estimates," Working Papers 16/10, BBVA Bank, Economic Research Department.
• Dirk Drechsel & Stefan Neuwirth, 2016. "Taming volatile high frequency data with long lag structure: An optimal filtering approach for forecasting," KOF Working papers 16-407, KOF Swiss Economic Institute, ETH Zurich.
• Davide De Gaetano, 2016. "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre' 0208, Department of Economics - University Roma Tre.
• Toru Kitagawa & Jose Luis Montiel Olea & Jonathan Payne, 2016. "Posterior distribution of nondifferentiable functions," CeMMAP working papers CWP20/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Yanfei Kang & Rob J. Hyndman & Kate Smith-Miles, 2016. "Visualising forecasting Algorithm Performance using Time Series Instance Spaces," Monash Econometrics and Business Statistics Working Papers 10/16, Monash University, Department of Econometrics and Business Statistics.
• Nicol'o Musmeci & Vincenzo Nicosia & Tomaso Aste & Tiziana Di Matteo & Vito Latora, 2016. "The multiplex dependency structure of financial markets," Papers 1606.04872, arXiv.org.
• Michal Jakubczyk, 2016. "Estimating the membership function of the fuzzy willingness-to-pay/accept for health via Bayesian modelling," KAE Working Papers 2016-011, Warsaw School of Economics, Collegium of Economic Analysis.
• Hamidi Sahneh, Mehdi, 2016. "Testing for Non-Fundamentalness," MPRA Paper 71924, University Library of Munich, Germany.
• Joachim Freyberger & Matthew Masten, 2016. "Compactness of infinite dimensional parameter spaces," CeMMAP working papers CWP01/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Bo E. Honoré & Áureo de Paula, 2016. "A new model for interdependent durations with an application to joint retirement," CeMMAP working papers CWP07/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Asmus Zoch & Rulof P. Burger & Stephan Klasen, 2016. "Estimating Income Mobility When Income is Measured with Error: The Case of South Africa," Working Papers 607, Economic Research Southern Africa.