Report NEP-ECM-2010-02-05

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:

• Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Testing for unit roots in the presence of a possible break in trend and non-stationary volatility," Discussion Papers 09/05, University of Nottingham, Granger Centre for Time Series Econometrics.
• Muni S. Srivastava & Tatsuya Kubokawa, 2010. "Selection of Variables in Multivariate Regression Models for Large Dimensions," CIRJE F-Series CIRJE-F-709, CIRJE, Faculty of Economics, University of Tokyo.
• Markus Reiss, 2010. "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," Papers 1001.3006, arXiv.org.
• Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
• Jesús Crespo Cuaresma & Martin Feldkircher, 2010. "Spatial Filtering, Model Uncertainty and the Speed of Income Convergence in Europe," Working Papers 160, Oesterreichische Nationalbank (Austrian Central Bank).
• Jennifer Castle & David Hendry, 2010. "A Low-Dimension Portmanteau Test for Non-linearity," Economics Series Working Papers 471, University of Oxford, Department of Economics.
• Ulrike Schneider & Martin Wagner, 2009. "Catching Growth Determinants with the Adaptive Lasso," wiiw Working Papers 55, The Vienna Institute for International Economic Studies, wiiw.
• Neil Shephard & Thomas Flury, 2009. "Learning and filtering via simulation: smoothly jittered particle filters," Economics Series Working Papers 469, University of Oxford, Department of Economics.
• Felipe Vásquez & Michael Hanemann, 2009. "Functional Forms in Discrete/Continuous Choice Models with General Corner Solution," Working Papers 08-2009, Departamento de Economía, Universidad de Concepción.
• Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, 2010. "Aggregational Gaussianity And Barely Infinite Variance In Crop Prices," DEOS Working Papers 1001, Athens University of Economics and Business.
• Bence Toth & Fabrizio Lillo & J. Doyne Farmer, 2010. "Segmentation algorithm for non-stationary compound Poisson processes," Papers 1001.2549, arXiv.org, revised Feb 2011.
• David Hendry & Grayham E. Mizon, 2010. "Econometric Modelling of Changing Time Series," Economics Series Working Papers 475, University of Oxford, Department of Economics.
• Item repec:oxf:wpaper:470 is not listed on IDEAS anymore

• B. Kaulakys & M. Alaburda & V. Gontis, 2010. "Point Processes Modeling of Time Series Exhibiting Power-Law Statistics," Papers 1001.2639, arXiv.org.
• Bhattacharjee, A. & Holly, S., 2010. "Understanding Interactions in Social Networks and Committees," Cambridge Working Papers in Economics 1003, Faculty of Economics, University of Cambridge.
• Ba Chu & Roman Kozhan, 2009. "Spurious Regressions of Stable AR(p) Processes with Structural Breaks," Working Papers wp09-04, Warwick Business School, Finance Group.
• Ingmar Nolte & Valeri Voev, 2009. "Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise," Working Papers wp09-02, Warwick Business School, Finance Group.
• Bhattacharjee, A. & Holly, S., 2010. "Structural Interactions in Spatial Panels," Cambridge Working Papers in Economics 1004, Faculty of Economics, University of Cambridge.