Report NEP-ECM-2008-12-14

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:

• Dufour, Jean-Marie, 2008. "Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms," UC3M Working papers. Economics we086027, Universidad Carlos III de Madrid. Departamento de Economía.
• Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany.
• Drew Creal & Siem Jan Koopman & André Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute.
• Hafner, C.M. & Manner, H., 2008. "Dynamic stochastic copula models: estimation, inference and applications," Research Memorandum 043, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
• Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2008. "Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility," CREATES Research Papers 2008-62, Department of Economics and Business Economics, Aarhus University.
• Item repec:dgr:umamet:2008048 is not listed on IDEAS anymore

• Kaddour Hadri & Eiji Kurozumi, 2008. "A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence," Global COE Hi-Stat Discussion Paper Series gd08-016, Institute of Economic Research, Hitotsubashi University.
• Kleppe, Tore Selland & Skaug, Hans J., 2008. "Simulated maximum likelihood for general stochastic volatility models: a change of variable approach," MPRA Paper 12022, University Library of Munich, Germany.
• Òscar Jordà & Massimiliano Marcellino, 2008. "Path Forecast Evaluation," Economics Working Papers ECO2008/34, European University Institute.
• Avarucci, M. & Velasco, C., 2008. "A wald test for the cointegration rank in nonstationary fractional systems," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
• Gao, Jiti & Gijbels, Irene, 2005. "Bandwidth selection for nonparametric kernel testing," MPRA Paper 11982, University Library of Munich, Germany, revised Jun 2007.
• Gianluca, MORETTI & Giulio, NICOLETTI, 2008. "Estimating DGSE models with long memory dynamics," Discussion Papers (ECON - Département des Sciences Economiques) 2008037, Université catholique de Louvain, Département des Sciences Economiques.
• Lambert, Dayton M. & Florax, Raymond J.G.M. & Cho, Seong-Hoon, 2008. "Bandwidth Selection For Spatial Hac And Other Robust Covariance Estimators," Working papers 44258, Purdue University, Department of Agricultural Economics.
• Item repec:dgr:uvatin:20080100 is not listed on IDEAS anymore

• Item repec:eca:wpaper:2008_041 is not listed on IDEAS anymore

• Di Iorio, Francesca & Fachin, Stefano, 2008. "A note on the estimation of long-run relationships in dependent cointegrated panels," MPRA Paper 12053, University Library of Munich, Germany.
• Rodney W. Strachan & Herman K. van Dijk, 2008. "Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk," Tinbergen Institute Discussion Papers 08-096/4, Tinbergen Institute.
• Item repec:dgr:uvatin:20080114 is not listed on IDEAS anymore

• Alberto Holly & Alain Montfort & Michael Rockinger, 2008. "Fourth order pseudo maximum likelihood methods," Working Papers 0802, University of Lausanne, Institute of Health Economics and Management (IEMS).
• Item repec:hal:journl:halshs-00344839_v1 is not listed on IDEAS anymore

• Ihle, Rico & von Cramon-Taubadel, Stephan, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
• Lee, Dae-Jin & Durbán, María, 2008. "Smooth-car mixed models for spatial count data," DES - Working Papers. Statistics and Econometrics. WS ws085820, Universidad Carlos III de Madrid. Departamento de Estadística.
• Jean Jacod & Mark Podolskij & Mathias Vetter, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-61, Department of Economics and Business Economics, Aarhus University.
• Lennart Hoogerheide & Herman K. van Dijk, 2008. "Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling," Tinbergen Institute Discussion Papers 08-092/4, Tinbergen Institute.
• Ran, Tao & Zapata, Hector O., 2008. "Mixed Unit Roots and Deterministic Trends in Noncausality Tests," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6745, Southern Agricultural Economics Association.
• Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2008. "A Monthly Indicator of the Euro Area GDP," Economics Working Papers ECO2008/32, European University Institute.
• Xu, Zhiwei, 2008. "Univariate Unobserved-Component Model with Non-Random Walk Permanent Component," MPRA Paper 12038, University Library of Munich, Germany.