Econometric Methods for Modelling Systems with a Mixture of I(1) and I(0) Variables,
Hyeon-seung Huh, Lance Fisher and Adrian Pagan,
from EcoMod
(2014)
Keywords: Please see attachment., Macroeconometric modeling, Macroeconometric modeling
ESTIMATION OF VECTOR ERROR CORRECTION MODEL WITH GARCH ERRORS: MONTE CARLO SIMULATION AND APPLICATIONS,
Kusdhianto Setiawan and Koichi Maekawa,
from EcoMod
(2014)
Keywords: United States, United Kingdom, Germany, Singapore, Hong Kong, Argentina, Brazil, China, Indonesia, Malaysia, Mexico, Forecasting, nowcasting, Finance
Spectrum-based estimators of the bivariate Hurst exponent,
Ladislav Krištoufek,
from arXiv.org
(2014)
Why High-order Polynomials Should not be Used in Regression Discontinuity Designs,
Andrew Gelman and Guido Imbens,
from National Bureau of Economic Research, Inc
(2014)
Bootstrapping Kernel-Based Semiparametric Estimators,
Matias Cattaneo and Michael Jansson,
from Department of Economics and Business Economics, Aarhus University
(2014)
Keywords: Semiparametric estimation, bootstrapping, asymptotic separability.
A Noisy Principal Component Analysis for Forward Rate Curves,
Márcio Laurini and Alberto Ohashi,
from arXiv.org
(2014)
Estimating time-varying DSGE models using minimum distance methods,
Liudas Giraitis, George Kapetanios, Konstantinos Theodoridis and Tony Yates,
from Bank of England
(2014)
Keywords: DSGE; structural change; kernel estimation; time-varying VAR; monetary policy shocks
Model Uncertainty in Panel Vector Autoregressive Models,
Gary Koop and Dimitris Korobilis,
from University Library of Munich, Germany
(2014)
Keywords: Bayesian model averaging, stochastic search variable selection, financial contagion, sovereign debt crisis
Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility,
Florian Huber,
from Vienna University of Economics and Business, Department of Economics
(2014)
Keywords: Density Forecasting, Stochastic Volatility, Global vector autoregressions
Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices,
Harry Vander Elst and David Veredas,
from ULB -- Universite Libre de Bruxelles
(2014)
Keywords: realized measures; noise; jumps; synchronization