Report NEP-ECM-2014-02-02

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:

• Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2014. "Efficient iterative maximum likelihood estimation of high-parameterized time series models," SFB 649 Discussion Papers 2014-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Haruo Iwakura, 2014. "Deriving the Information Bounds for Nonlinear Panel Data Models with Fixed Effects," KIER Working Papers 886, Kyoto University, Institute of Economic Research.
• A. Geraci & D. Fabbri & C. Monfardini, 2014. "Testing exogeneity of multinomial regressors in count data models: does two stage residual inclusion work?," Working Papers wp921, Dipartimento Scienze Economiche, Universita' di Bologna.
• Feir, Donna & Lemieux, Thomas & Marmer, Vadim, 2014. "Supplement To "Weak Identification in Fuzzy Regression Discontinuity Designs"," Microeconomics.ca working papers vadim_marmer-2014-3, Vancouver School of Economics, revised 02 Mar 2015.
• Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity," Discussion Papers of DIW Berlin 1356, DIW Berlin, German Institute for Economic Research.
• Gribisch, Bastian, 2013. "A latent dynamic factor approach to forecasting multivariate stock market volatility," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79823, Verein für Socialpolitik / German Economic Association.
• Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
• Sacht, Stephen, 2014. "Identification of prior information via moment-matching," Economics Working Papers 2014-04, Christian-Albrechts-University of Kiel, Department of Economics.
• Maurice J.G. Bun & Teresa D. Harrison, 2014. "OLS and IV estimation of regression models including endogenous interaction terms," UvA-Econometrics Working Papers 14-02, Universiteit van Amsterdam, Dept. of Econometrics.
• Item repec:ipg:wpaper:2014-25 is not listed on IDEAS anymore

• Bet Caeyers, 2014. "Exclusion bias in empirical social interaction models: causes, consequences and solutions," CSAE Working Paper Series 2014-05, Centre for the Study of African Economies, University of Oxford.
• Olivier Ledoit & Michael Wolf, 2014. "Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks," ECON - Working Papers 137, Department of Economics - University of Zurich, revised Feb 2017.
• Paparoditis, Efstathios & Politis, Dimitris N, 2013. "The Asymptotic Size and Power of the Augmented Dickey-Fuller Test for a Unit Root," University of California at San Diego, Economics Working Paper Series qt0784p55m, Department of Economics, UC San Diego.
• Esmeralda de Jesus Ratinho Lopes Arranhado Ramalho & Joaquim José dos Santos Ramalho, 2014. "Convenient links for the estimation of hedonic price indexes: the case of unique, infrequently traded assets," CEFAGE-UE Working Papers 2014_01, University of Evora, CEFAGE-UE (Portugal).
• Michał Brzeziński, 2014. "Empirical modeling of the impact factor distribution," Working Papers 2014-01, Faculty of Economic Sciences, University of Warsaw.
• John Goddard & Enrico Onali, 2014. "Self-affinity in financial asset returns," Papers 1401.7170, arXiv.org.
• Gianluca Stefani & Marco Tiberti, 2013. "Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market," Working Papers - Economics wp2013_29.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• Arnab Bhattacharjee & Liqian Cai & Taps Maiti, 2013. "Functional regression over irregular domains," SEEC Discussion Papers 1301, Spatial Economics and Econometrics Centre, Heriot Watt University.
• Arnab Bhattacharjee & Eduardo Castro & Taps Maiti & João Marques, 2014. "Endogenous spatial structure and delineation of submarkets: A new framework with application to housing markets," SEEC Discussion Papers 1403, Spatial Economics and Econometrics Centre, Heriot Watt University.
• M. Duembgen & L. C. G. Rogers, 2014. "Estimate nothing," Papers 1401.5666, arXiv.org.
• Marcus Scheiblecker, 2014. "Direct Versus Indirect Approach in Seasonal Adjustment," WIFO Working Papers 460, WIFO.
• Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
• Reicher, Christopher Phillip, 2013. "Evaluating misspecification in DSGE models using tests for overidentifying restrictions," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79955, Verein für Socialpolitik / German Economic Association.
• Laurent Davezies, 2013. "Four essays in econometrics [Quatre essais en économétrie]," SciencePo Working papers Main tel-03521376, HAL.