23 documents matched the search for the 2007-01-28 issue of the NEP report on Econometrics (nep-ecm), currently edited by Sune Karlsson.
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11121
Using Randomization in Development Economics Research: A Toolkit,
Michael Kremer, Rachel Glennerster and Esther Duflo,
from C.E.P.R. Discussion Papers
(2007)
Keywords: Experiments; Development; Program evaluation
A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering,
Lucrezia Reichlin, Catherine Doz and Domenico Giannone,
from C.E.P.R. Discussion Papers
(2007)
Keywords: Factor models; Kalman filter; Large cross-sections; Principal components
How good are dynamic factor models at forecasting output and inflation? A meta-analytic approach,
Christina Ziegler and Sandra Eickmeier,
from Deutsche Bundesbank
(2006)
Keywords: Factor models, forecasting, meta-analysis
Robust Benefit Function Transfer: A Bayesian Model Averaging Approach,
Roberto Leon-Gonzalez and Riccardo Scarpa,
from Division of Economics, School of Business, University of Leicester
(2007)
Keywords: Benefit Transfer; Bayesian Model Averaging; Exchangeability; Non-market Valuation; Panel Data
Synthetic Control Methods for Comparative Case Studies: Estimating the Effect of California's Tobacco Control Program,
Alberto Abadie, Alexis Diamond and Jens Hainmueller,
from National Bureau of Economic Research, Inc
(2007)
Business Cycle Analysis and VARMA models,
Christian Kascha and Karel Mertens,
from European University Institute
(2006)
Keywords: Structural VARs, VARMA, State Space Models, Identification, Business Cycles
How the Removal of Deposit Rate Ceilings Has Changed Monetary Transmission in the US: Theory and Evidence,
Karel Mertens,
from European University Institute
(2006)
Keywords: Cointegration, structural break, vector autoregressive process, error correction model
Volatility Transmission in Financial Markets: A New Approach,
Giampiero Gallo and Edoardo Otranto,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2005)
Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models,
Giovanni De Luca and Giampiero Gallo,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2005)
The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes,
Antonio Matas-Mir, Denise Osborn and Marco Lombardi,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2005)
Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns,
Christian Brownlees and Giampiero Gallo,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2006)
Keywords: Ultra-high Frequency Data, ACD models, Outliers, New York Stock Exchange
Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model,
Giampiero Gallo and Edoardo Otranto,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2006)
Indirect estimation of alpha-stable stochastic volatility models,
Marco Lombardi and Giorgio Calzolari,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2006)
Vector Multiplicative Error Models: Representation and Inference,
Fabrizio Cipollini, Robert Engle and Giampiero Gallo,
from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
(2006)
Matching estimators for the effect of a treatment on survival times,
Xavier de Luna and Per Johansson,
from IFAU - Institute for Evaluation of Labour Market and Education Policy
(2007)
Keywords: Effect of a treatment; treatment
Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8,
Stan Hurn and Ralf Becker,
from National Centre for Econometric Research
(2007)
Keywords: nonlinearity in mean, heteroskedasticity, wild bootstrap, empirical size and power
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7,
Adrian Pagan and Mohammad Pesaran,
from National Centre for Econometric Research
(2007)
Keywords: Permanent shocks, structural identi?cation, error correction models, IS-LM models
Limited Information Estimation and Evaluation of DSGE Models. Working paper #6,
Martin Fukač and Adrian Pagan,
from National Centre for Econometric Research
(2006)
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3,
Adam Clements, Stan Hurn and Scott White,
from National Centre for Econometric Research
(2006)
Keywords: non-linear filtering, stochastic volatility, state-space models, asymmetries, latent factors, two factor volatility models
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2,
Stan Hurn, J.Jeisman and K.A. Lindsay,
from National Centre for Econometric Research
(2006)
Keywords: stochastic differential equations, parameter estimation, maximum likelihood, simulation, moments
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