Report NEP-ECM-2004-06-09

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:

• McCAUSLAND, William, 2004. "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche 2004-07, Universite de Montreal, Departement de sciences economiques.
• Yanjun Liu & Bing-Sun Wong, "undated". "Estimating Structural Breaks in the Volatility of Canadian Output Growth," Working Papers-Department of Finance Canada 2003-20, Department of Finance Canada.
• Lima, Luiz Renato Regis de Oliveira & Xiao, Zhijie, 2004. "Robustness of stationary tests under long-memory alternatives," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 541, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• K. Borovkov & Alexander Novikov, 2004. "Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process," Research Paper Series 115, Quantitative Finance Research Centre, University of Technology, Sydney.
• Gholamreza Hajargasht, 2003. "Semiparametric Estimation of Stochastic Frontiers A Bayesian Penalized Approach," CEPA Working Papers Series WP042003, School of Economics, University of Queensland, Australia.
• Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 501, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Philip A. Haile & Ali Hortaçsu & Grigory Kosenok, 2004. "On the Empirical Content of Quantal Response Models," Levine's Bibliography 122247000000000218, UCLA Department of Economics.
• Fernandes, Marcelo & Monteiro, Paulo Klinger, 2004. "Central limit theorem for asymmetric kernel functionals," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 522, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, University Library of Munich, Germany.
• R. Liptser & Alexander Novikov, 2004. "On Tail Distributions of Supremum and Quadratic Variation of Local Martingales," Research Paper Series 116, Quantitative Finance Research Centre, University of Technology, Sydney.
• Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2003. "Breaking the panels. An application to the GDP per capita," Working Papers in Economics 97, Universitat de Barcelona. Espai de Recerca en Economia.
• Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 502, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Anthony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 2001. "A long run structural macroeconometric model of the UK," Edinburgh School of Economics Discussion Paper Series 35, Edinburgh School of Economics, University of Edinburgh.
• G. Verstraeten & D. Van Den Poel, 2004. "The Impact of Sample Bias on Consumer Credit Scoring Performance and Profitability," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/232, Ghent University, Faculty of Economics and Business Administration.
• Souza, Leonardo Rocha & Smith, Jeremy & Souza, Reinaldo Castro, 2003. "Convex combinations of long memory estimates from different sampling rates," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 489, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Baltagi B-H. & Bresson G. & Pirotte A., 2004. "Joint LM test for homoskedasticity in a one-way error component model," Working Papers ERMES 0408, ERMES, University Paris 2.
• William A. Barnett & Barry E. Jones & Milka Kirova & Travis Nesmith & Meenakshi Pasupathy, 2004. "The Nonlinear Skeletons in the Closet," Econometrics 0405003, University Library of Munich, Germany.
• Soares, Lacir Jorge & Souza, Leonardo Rocha, 2003. "Forecasting electricity demand using generalized long memory," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 486, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Baltagi B. & Bresson G. & Pirotte A., 2004. "Adaptive estimation of heteroskedastic error component model," Working Papers ERMES 0402, ERMES, University Paris 2.
• Souza, Leonardo Rocha, 2003. "A note on Chambers's 'long memory and aggregation in macroeconomic time series'," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 503, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Cysne, Rubens Penha, 2004. "On the statistical estimation of diffusion processes: a survey," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 540, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Xiao, Zhijie & Lima, Luiz Renato, 2004. "Testing unit root based on partially adaptive estimation," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 528, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Tim J. Coelli & Chris O'Donnell, 2003. "A Bayesian Approach To Imposing Curvature On Distance Functions," CEPA Working Papers Series WP032003, School of Economics, University of Queensland, Australia.
• Fernandes, Marcelo, 2003. "Bounds for the probability distribution function of the linear ACD process," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 488, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).