Report NEP-ECM-2004-12-12

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:

• Steven Lugauer, "undated". "Out of Sample Tests of Model Specification," GSIA Working Papers 2004-E56, Carnegie Mellon University, Tepper School of Business.
• Mark Coppejans & Holger Sieg, "undated". "Kernel Estimation of Average Derivatives and Differences," GSIA Working Papers 2003-03, Carnegie Mellon University, Tepper School of Business.
• Arie ten Cate, 2004. "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper 41, CPB Netherlands Bureau for Economic Policy Analysis.
• Mora Galán, Alberto & Pérez, Ana, 2004. "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS ws046315, Universidad Carlos III de Madrid. Departamento de Estadística.
• Lemmens, A. & Croux, C. & Dekimpe, M.G., 2004. "Decomposing Granger Causality over the Spectrum," ERIM Report Series Research in Management ERS-2004-102-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• Item repec:att:belgnw:200460 is not listed on IDEAS anymore

• Akifumi Isogai & Satoru Kanoh & Toshifumi Tokunaga, 2004. "An Extension of the Markov-Switching Model with Time-Varying Transition Probabilities: Bull-Bear Analysis of the Japanese Stock Market," Hi-Stat Discussion Paper Series d04-43, Institute of Economic Research, Hitotsubashi University.
• Clifford Attfield, 2004. "Stochastic Trends, Demographics and Demand Systems," Bristol Economics Discussion Papers 04/563, School of Economics, University of Bristol, UK.
• Bo E. Honoré & Elie Tamer, 2002. "Bounds on Parameters in Dynamic Discrete Choice Models," CAM Working Papers 2004-23, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, revised Aug 2004.
• Charles Bellemare, 2004. "Identification and Estimation of the Economic Performance of Outmigrants using Panel Attrition," Cahiers de recherche 0429, CIRPEE.
• E.H. Oksanen, 1998. "Some Least Squares Results Without Least Squares Algebra," Department of Economics Working Papers 1998-07, McMaster University.
• M. W. Luke Chan & Dading Li & Dean C. Mountain, 1999. "A Bayesain Approach for Measuring Economies of Scale with Application to Large Scale Banks," Department of Economics Working Papers 1999-01, McMaster University.
• Frank T. Denton, 2004. "Exploring the Use of a Nonparametrically Generated Instrumental Variable in the Estimation of a Linear Parametric Equation," Quantitative Studies in Economics and Population Research Reports 390, McMaster University.
• Xibin Zhang & Maxwell L. King, 2004. "Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors," Monash Econometrics and Business Statistics Working Papers 26/04, Monash University, Department of Econometrics and Business Statistics.
• Nicola Persico & Petra Todd, 2004. "Using Hit Rate Tests to Test for Racial Bias in Law Enforcement: Vehicle Searches in Wichita," NBER Working Papers 10947, National Bureau of Economic Research, Inc.
• Bent Nielsen & J. James Reade, 2004. "Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression," Economics Papers 2004-W24, Economics Group, Nuffield College, University of Oxford.
• Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," Economics Papers 2004-W29, Economics Group, Nuffield College, University of Oxford.
• Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Papers 2004-W19, Economics Group, Nuffield College, University of Oxford.
• Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford.
• Ole Barndorff-Nielsen & Neil Shephard, 2004. "Multipower Variation and Stochastic Volatility," Economics Papers 2004-W30, Economics Group, Nuffield College, University of Oxford.
• Lauren Bin Dong, 2004. "Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach," Econometrics Working Papers 0405, Department of Economics, University of Victoria.
• Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, University Library of Munich, Germany.
• Thomas Mikosch & Catalin Starica, 2004. "Changes of structure in financial time series and the GARCH model," Econometrics 0412003, University Library of Munich, Germany.
• Thomas Mikosch & Catalin Starica, 2004. "Long range dependence effects and ARCH modelling," Econometrics 0412004, University Library of Munich, Germany.
• Kevin Dowd, 2004. "The Swedish Inflation Fan Charts: An Evaluation of the Riksbank?s Inflation Density Forecasts," Occasional Papers 10, Industrial Economics Division, revised 11 Jan 2004.
• Kevin Dowd, 2004. "Too Good to be True? The (In)credibility of the UK Inflation Fan Charts," Occasional Papers 11, Industrial Economics Division, revised 11 Jan 2004.
• Kevin Dowd, 2004. "FOMC Forecasts of Macroeconomic Risks," Occasional Papers 12, Industrial Economics Division, revised 10 Jan 2004.
• Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Vanderbilt University Department of Economics Working Papers 0418, Vanderbilt University Department of Economics.
• Donald M. Pianto & Sergei Soares, 2004. "Use Of Survey Design For The Evaluation Of Social Programs: The Pnad And Peti," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting] 133, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
• Xiaohong Chen & Yanqin Fan, 2004. "Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification," Vanderbilt University Department of Economics Working Papers 0419, Vanderbilt University Department of Economics, revised Sep 2004.
• Xiaohong Chen & Yanqin Fan & Victor Tsyrennifov, 2004. "Efficient Estimation of Semiparametric Multivariate Copula Models," Vanderbilt University Department of Economics Working Papers 0420, Vanderbilt University Department of Economics.
• Frank A. Cowell & Emmanuel Flachaire, 2004. "Income distribution and inequality measurement: the problem of extreme values," Cahiers de la Maison des Sciences Economiques v04101, Université Panthéon-Sorbonne (Paris 1).
• Dennis Epple & Bennett McCallum, "undated". "Simultaneous Equation Econometrics: The Missing Example," GSIA Working Papers 2004-E6, Carnegie Mellon University, Tepper School of Business.