Report NEP-ECM-2017-01-29

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:

• John Chao & Peter C.B. Phillips, 2017. "Uniform Inference in Panel Autoregression," Cowles Foundation Discussion Papers 2071, Cowles Foundation for Research in Economics, Yale University.
• Alessandro Barbarino & Efstathia Bura, 2017. "A Unified Framework for Dimension Reduction in Forecasting," Finance and Economics Discussion Series 2017-004, Board of Governors of the Federal Reserve System (U.S.).
• Jean-Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel-Cristian Voia, 2017. "Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data," Carleton Economic Papers 17-05, Carleton University, Department of Economics.
• Gao, Wei & Bergsma, Wicher & Yao, Qiwei, 2017. "Estimation for dynamic and static panel probit models with large individual effects," LSE Research Online Documents on Economics 65165, London School of Economics and Political Science, LSE Library.
• Kleijnen, J.P.C. & Shi, Wen, 2017. "Sequential Probability Ration Tests : Conservative and Robust," Discussion Paper 2017-001, Tilburg University, Center for Economic Research.
• Kohn, Robert & Quiroz, Matias & Tran, Minh-Ngoc & Villani, Mattias, 2016. "Speeding up MCMC by Efficient Data Subsampling," Working Papers 2123/16205, University of Sydney Business School, Discipline of Business Analytics.
• Chia-Lin Chang & Michael McAleer, 2017. "The Fiction of Full BEKK," Documentos de Trabajo del ICAE 2017-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Documents de travail du Centre d'Economie de la Sorbonne 17006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Arnaud Dufays & Maciej Augustyniak & Luc Bauwens, 2016. "A new approach to volatility modeling: the High-Dimensional Markov model," Cahiers de recherche 1609, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Kazuhiko Kakamu & Haruhisa Nishino, 2016. "Bayesian Estimation Of Beta-Type Distribution Parameters Based On Grouped Data," Discussion Papers 2016-08, Kobe University, Graduate School of Business Administration.
• Jungwoo Kim & Joocheol Kim, 2017. "Nonparametric forecasting with one-sided kernel adopting pseudo one-step ahead data," Working papers 2017rwp-102, Yonsei University, Yonsei Economics Research Institute.
• Georgiev, I & Rodrigues, PMM & Taylor, AMR, 2017. "Unit Root Tests and Heavy-Tailed Innovations," Essex Finance Centre Working Papers 18832, University of Essex, Essex Business School.
• Bontemps, Christian & Magnac, Thierry, 2017. "Set Identification, Moment Restrictions and Inference," TSE Working Papers 16-752, Toulouse School of Economics (TSE).
• Item repec:cte:wsrepe:23974 is not listed on IDEAS anymore

• Stephanie Thomas, 2016. "Playing by the rules? Agreement between predicted and observed binary choices," Department of Economics Working Papers 2016-12, McMaster University.
• Arnaud Dufays & Jeroen V.K. Rombouts, 2016. "Sparse Change-point HAR Models for Realized Variance," Cahiers de recherche 1607, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Bastos, Guadalupe & García-Martos, Carolina, 2017. "BIAS correction for dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 24029, Universidad Carlos III de Madrid. Departamento de Estadística.
• Boneva, Lena & Linton, Oliver, 2017. "A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance," Bank of England working papers 640, Bank of England.
• Rub'en Loaiza-Maya & Michael S. Smith & Worapree Maneesoonthorn, 2017. "Time Series Copulas for Heteroskedastic Data," Papers 1701.07152, arXiv.org.
• Enrique Moral-Benito & Paul Allison & Richard Williams, 2017. "Dynamic panel data modelling using maximum likelihood: an alternative to Arellano-Bond," Working Papers 1703, Banco de España.
• Item repec:lvl:crrecr:1604 is not listed on IDEAS anymore