Report NEP-ECM-2011-01-30

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:

• Vogelsang, Timothy J. & Wagner, Martin, 2011. "Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions," Economics Series 263, Institute for Advanced Studies.
• Baetschmann, Gregori & Staub, Kevin E. & Winkelmann, Rainer, 2011. "Consistent Estimation of the Fixed Effects Ordered Logit Model," IZA Discussion Papers 5443, Institute of Labor Economics (IZA).
• Roxana Halbleib & Valeri Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers 2011-03, Department of Economics and Business Economics, Aarhus University.
• Ulrich K. Müller & James H. Stock, 2011. "Forecasts in a Slightly Misspecified Finite Order VAR," NBER Working Papers 16714, National Bureau of Economic Research, Inc.
• Morten Ø. Nielsen, 2011. "Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models," Working Paper 1259, Economics Department, Queen's University.
• Michael Sørensen, 2011. "Prediction-based estimating functions: review and new developments," CREATES Research Papers 2011-05, Department of Economics and Business Economics, Aarhus University.
• Roxana Halbleib, 2010. "A Note on Estimating Wishart Autoagressive Model," Working Papers ECARES ECARES 2010-043, ULB -- Universite Libre de Bruxelles.
• Buss, Ginters, 2011. "Asymmetric Baxter-King filter," MPRA Paper 28176, University Library of Munich, Germany.
• Chen, Pu, 2010. "A Grouped Factor Model," MPRA Paper 28083, University Library of Munich, Germany, revised 11 Jan 2011.
• David Stephen Pollock, 2011. "The Discrete–Continuous Correspondence for Frequency-Limited Arma Models and the Hazards of Oversampling," Discussion Papers in Economics 11/14, Division of Economics, School of Business, University of Leicester.
• Liu, Shuangzhe & Polasek, Wolfgang & Sellner, Richard, 2011. "Sensitivity Analysis of SAR Estimators," Economics Series 262, Institute for Advanced Studies.
• Gianluca Cubadda & Umberto Triacca, 2011. "An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis," CEIS Research Paper 184, Tor Vergata University, CEIS, revised 24 Jan 2011.
• Mark Podolskij & Mathieu Rosenbaum, 2011. "Testing the local volatility assumption: a statistical approach," CREATES Research Papers 2011-04, Department of Economics and Business Economics, Aarhus University.
• Chao & Swanson & Hausman & Newey & Woutersen, 2010. "Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments," Economics Working Paper Archive 567, The Johns Hopkins University,Department of Economics.
• David Stephen Pollock, 2011. "Band-Limited Stochastic Processes in Discrete and Continuous Time," Discussion Papers in Economics 11/11, Division of Economics, School of Business, University of Leicester.
• Jennifer Castle & David Hendry, 2011. "A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations," Economics Series Working Papers 523, University of Oxford, Department of Economics.
• Biørn, Erik, 2010. "Identifying Trend and Age Effects in Sickness Absence from Individual Data: Some Econometric Problems," Memorandum 20/2010, Oslo University, Department of Economics.
• Heinen, Florian & Kaufmann, Hendrik & Sibbertsen, Philipp, 2011. "The dynamics of real exchange rates - A reconsideration," Hannover Economic Papers (HEP) dp-463, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Roxana Halbleib & Valerie Voev, 2010. "Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors," Working Papers ECARES ECARES 2010-041, ULB -- Universite Libre de Bruxelles.
• David Stephen Pollock & Emi Mise, 2011. "Alternative Methods of Seasonal Adjustment," Discussion Papers in Economics 11/12, Division of Economics, School of Business, University of Leicester.
• Sumru Altug & Baris Tan & Gozde Gencer, 2011. "Cyclical Dynamics of Industrial Production and Employment: Markov Chain-based Estimates and Tests," Koç University-TUSIAD Economic Research Forum Working Papers 1101, Koc University-TUSIAD Economic Research Forum.
• David Stephen Pollock, 2011. "Transfer Functions," Discussion Papers in Economics 11/15, Division of Economics, School of Business, University of Leicester.
• Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011. "Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates," Working Papers in Economics 11/03, University of Canterbury, Department of Economics and Finance.
• Item repec:pra:mprapa:28195 is not listed on IDEAS anymore

• Luca RICCETTI, 2011. "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers 355, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Graziani, Rebecca & Keilman, Nico, 2010. "The sensitivity of the Scaled Model of Error with respect to the choice of the correlation parameters: A Simulation Study," Memorandum 22/2010, Oslo University, Department of Economics.
• David Stephen Pollock, 2010. "Statistical Signal Extraction and Filtering: Notes for the Ercim Tutorial, December 9th 2010," Discussion Papers in Economics 11/13, Division of Economics, School of Business, University of Leicester.
• Pötscher, Benedikt M., 2011. "On the Order of Magnitude of Sums of Negative Powers of Integrated Processes," MPRA Paper 28287, University Library of Munich, Germany.