Report NEP-ECM-2007-01-14

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:

• De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?," Working Paper Series 0700, European Central Bank.
• Lux, Thomas, 2006. "The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility," Economics Working Papers 2006-17, Christian-Albrechts-University of Kiel, Department of Economics.
• Xiujian Chen & Shu Lin & W. Robert Reed, 2006. "A Monte Carlo Evaluation of the Efficiency of the PCSE Estimator," Working Papers in Economics 06/14, University of Canterbury, Department of Economics and Finance.
• Giulietti, Monica & Otero, Jesus & Smith, Jeremy, 2007. "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence," The Warwick Economics Research Paper Series (TWERPS) 784, University of Warwick, Department of Economics.
• Katsumi Shimotsu, 2006. "Simple (but Effective) Tests Of Long Memory Versus Structural Breaks," Working Paper 1101, Economics Department, Queen's University.
• Item repec:pra:mprapa:1215 is not listed on IDEAS anymore

• Westerlund, Joakim & Basher, Syed A., 2006. "Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?," MPRA Paper 1229, University Library of Munich, Germany.
• Paolo, Foschi, 2005. "Estimating regressions and seemingly unrelated regressions with error component disturbances," MPRA Paper 1424, University Library of Munich, Germany, revised 07 Sep 2006.
• Matias Mayor Fernandez & Esteban Fernandez Vazquez & Jorge Rodriguez Valez, 2006. "Spatial Structures and Spatial Spillovers: A GME Approach," ERSA conference papers ersa06p777, European Regional Science Association.
• Krätschmer, Volker, 2006. "The uniqueness of extremum estimation," SFB 649 Discussion Papers 2006-080, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Item repec:pra:mprapa:1193 is not listed on IDEAS anymore

• Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
• Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2006. "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," The Warwick Economics Research Paper Series (TWERPS) 777, University of Warwick, Department of Economics.
• Hildebrandt, Lutz & Temme, Dirk, 2006. "Formative measurement models in covariance structure analysis: Specification and identification," SFB 649 Discussion Papers 2006-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching," Economics Working Papers 2006-13, Christian-Albrechts-University of Kiel, Department of Economics.
• Henk Folmer & Johan Oud, 2006. "A Structural Equation Approach to Spatial Dependence Models," ERSA conference papers ersa06p19, European Regional Science Association.
• Chris Heaton & Victor Solo, 2006. "Estimation of Approximate Factor Models: Is it Important to have a Large Number of Variables?," Research Papers 0605, Macquarie University, Department of Economics.
• Andreas S. Andreou & George A. Zombanakis, 2006. "Computational Intelligence in Exchange-Rate Forecasting," Working Papers 49, Bank of Greece.
• Hirano, Keisuke & Porter, Jack, 2006. "Asymptotics for statistical treatment rules," MPRA Paper 1173, University Library of Munich, Germany.
• Weron, Rafal & Misiorek, Adam, 2006. "Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market," MPRA Paper 1363, University Library of Munich, Germany.
• Item repec:pra:mprapa:1026 is not listed on IDEAS anymore

• Giuseppe Arbia & Roberto Basile & Gianfranco Piras, 2006. "Analyzing Intra-Distribution Dynamics: A Reappraisal," ERSA conference papers ersa06p262, European Regional Science Association.
• Knetsch, Thomas A. & Reimers, Hans-Eggert, 2006. "How to treat benchmark revisions? The case of German production and orders statistics," Discussion Paper Series 1: Economic Studies 2006,38, Deutsche Bundesbank.
• Mishra, SK, 2006. "Estimation of Zellner-Revankar Production Function Revisited," MPRA Paper 1172, University Library of Munich, Germany.
• Anastassios Karaganis & Angelos Mimis, 2006. "A Spatial Point Process for Estimating the Probability of Occurrence of a Traffic Accident," ERSA conference papers ersa06p640, European Regional Science Association.
• Katharina Hampel & Marcus Kunz & Norbert Schanne & Ruediger Wapler & Antje Weyh, 2006. "Regional Unemployment Forecasting Using Structural Component Models With Spatial Autocorrelation," ERSA conference papers ersa06p196, European Regional Science Association.
• Zsolt Darvas & Gábor Vadas, 2005. "A New Method for Combining Detrending Techniques with Application to Business Cycle Synchronization of the New EU Members," Working Papers 0505, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
• Gunnar Flötteröd & Kai Nagel, 2006. "Bayesian modeling and estimation of combined route and activity location choice," Working Papers 2006-06, Center for Network Industries and Infrastructure (CNI).
• Pascucci, Andrea & Foschi, Paolo, 2006. "Path dependent volatility," MPRA Paper 973, University Library of Munich, Germany.