Report NEP-ECM-2017-01-08

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.

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

Other reports in NEP-ECM

The following items were announced in this report:

• Lavergne, Pascal & Nguimkeu, Pierre, 2016. "A Hausman Specification Test of Conditional Moment Restrictions," TSE Working Papers 16-743, Toulouse School of Economics (TSE).
• Morais, Joanna & Simioni, Michel & Thomas-Agnan, Christine, 2016. "A tour of regression models for explaining shares," TSE Working Papers 16-742, Toulouse School of Economics (TSE).
• Li, Kunpeng & Li, Qi & Lu, Lina, 2016. "Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models," MPRA Paper 75676, University Library of Munich, Germany.
• Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2016. "Factorisable multi-task quantile regression," SFB 649 Discussion Papers 2016-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Santiago Pereda Fernández, 2016. "Copula-based random effects models for clustered data," Temi di discussione (Economic working papers) 1092, Bank of Italy, Economic Research and International Relations Area.
• Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," BAFFI CAREFIN Working Papers 1505, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
• Alexander Razen & Stefan Lang & Judith Santer, 2016. "Estimation of Spatially Correlated Random Scaling Factors based on Markov Random Field Priors," Working Papers 2016-33, Faculty of Economics and Statistics, Universität Innsbruck.
• Elena Di Bernardino & Didier Rullière, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Post-Print hal-01147778, HAL.
• Simon Clinet & Yoann Potiron, 2017. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Papers 1701.01185, arXiv.org, revised Jun 2018.
• Mike G. Tsionas, 2016. "Alternatives to large VAR, VARMA and multivariate stochastic volatility models," Working Papers 217, Bank of Greece.
• Mike G. Tsionas, 2016. "Alternative Bayesian compression in Vector Autoregressions and related models," Working Papers 216, Bank of Greece.
• McDonough, Ian K. & Millimet, Daniel L., 2016. "Missing Data, Imputation, and Endogeneity," IZA Discussion Papers 10402, Institute of Labor Economics (IZA).
• Grzegorz Koloch, 2016. "Smets and Wouters model estimated with skewed shocks - empirical study of forecasting properties," KAE Working Papers 2016-023, Warsaw School of Economics, Collegium of Economic Analysis.
• Steven F. Lehrer & R. Vincent Pohl & Kyungchul Song, 2016. "Targeting Policies: Multiple Testing and Distributional Treatment Effects," NBER Working Papers 22950, National Bureau of Economic Research, Inc.
• Hruschka, Harald, 2016. "Hidden Variable Models for Market Basket Data. Statistical Performance and Managerial Implications," University of Regensburg Working Papers in Business, Economics and Management Information Systems 489, University of Regensburg, Department of Economics.
• Førsund, Finn & Krivonozhko, Vladimir W & Lychev, Andrey V., 2016. "Smoothing the frontier in the DEA models," Memorandum 11/2016, Oslo University, Department of Economics.
• Pötscher, Benedikt M. & Preinerstorfer, David, 2016. "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper 75657, University Library of Munich, Germany.
• Lajos Barath & Heinrich Hockmann, 2016. "Technological differences, theoretically consistent frontiers and technical efficiency: a Random parameter application in the Hungarian crop producing farms," IEHAS Discussion Papers 1636, Institute of Economics, Centre for Economic and Regional Studies.
• Kirstin Hubrich & Frauke Skudelny, 2016. "Forecast Combination for Euro Area Inflation - A Cure in Times of Crisis?," Finance and Economics Discussion Series 2016-104, Board of Governors of the Federal Reserve System (U.S.).