Report NEP-ECM-2009-10-31

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:

• Todd E. Clark & Michael W. McCracken, 2009. "Nested forecast model comparisons: a new approach to testing equal accuracy," Working Papers 2009-050, Federal Reserve Bank of St. Louis.
• Bert van Es & Peter Spreij & Harry van Zanten, 2009. "Nonparametric methods for volatility density estimation," Papers 0910.5185, arXiv.org.
• Dominique Guegan & Patrick Rakotomarolahy, 2009. "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423871, HAL.
• Todd E. Clark & Michael W. McCracken, 2009. "In-sample tests of predictive ability: a new approach," Working Papers 2009-051, Federal Reserve Bank of St. Louis.
• Item repec:hum:wpaper:sfb649dp2009-049 is not listed on IDEAS anymore

• Chudik, Alexander & Pesaran, Hashem & Tosetti, Elisa, 2009. "Weak and strong cross section dependence and estimation of large panels," Working Paper Series 1100, European Central Bank.
• James J. Heckman & Daniel A. Schmierer & Sergio S. Urzua, 2009. "Testing the Correlated Random Coefficient Model," NBER Working Papers 15463, National Bureau of Economic Research, Inc.
• Wallace, Frederick, 2009. "Cointegration tests of purchasing power parity," MPRA Paper 18079, University Library of Munich, Germany.
• Cui, Xia & Härdle, Wolfgang Karl & Zhu, Lixing, 2009. "Generalized single-index models: The EFM approach," SFB 649 Discussion Papers 2009-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Item repec:dgr:uvatin:20090086 is not listed on IDEAS anymore

• Item repec:cty:dpaper:0910 is not listed on IDEAS anymore

• Yonghong An & Yingyao Hu, 2009. "Well-Posedness of Measurement Error Models for Self-Reported Data," Economics Working Paper Archive 556, The Johns Hopkins University,Department of Economics.
• Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423890, HAL.
• Bahar Kaynar & Ad Ridder, 2009. "The Cross-Entropy Method with Patching for Rare-Event Simulation of Large Markov Chains," Tinbergen Institute Discussion Papers 09-084/4, Tinbergen Institute.
• Torben G. Andersen & Luca Benzoni, 2009. "Stochastic volatility," Working Paper Series WP-09-04, Federal Reserve Bank of Chicago.
• Albert J. Menkveld & Asani Sarkar & Michel Van der Wel, 2009. "Are market makers uninformed and passive? Signing trades in the absence of quotes," Staff Reports 395, Federal Reserve Bank of New York.
• Makram El-Shagi, 2009. "Inflation Expectations: Does the Market Beat Professional Forecasts?," IWH Discussion Papers 16, Halle Institute for Economic Research.
• Item repec:dgr:eureir:1765017018 is not listed on IDEAS anymore

• Kristiaan Kerstens & Ignace Van de Woestyne, 2009. "Negative Data in DEA: A Simple Proportional Distance Function Approach," Working Papers 2009-ECO-03, IESEG School of Management.
• R H Abul Naga, 2009. "Statistical Inference for Multidimensional Inequality Indices," Department of Economics Working Papers 2/09, University of Bath, Department of Economics.
• Bo Becker & Henrik Cronqvist & Rüdiger Fahlenbrach, 2009. "Estimating the Effects of Large Shareholders Using a Geographic Instrument," Harvard Business School Working Papers 10-028, Harvard Business School, revised Feb 2010.
• Nicolas CARAYOL & Lorenzo CASSI, 2009. "Who\'s Who in Patents. A Bayesian approach," Cahiers du GREThA (2007-2019) 2009-07, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
• Altavilla, Carlo & Ciccarelli, Matteo, 2009. "The effects of monetary policy on unemployment dynamics under model uncertainty: evidence from the US and the euro area," Working Paper Series 1089, European Central Bank.