Report NEP-ECM-2012-10-06

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:

• Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Martin Huber & Blaise Melly, 2012. "A test of the conditional independence assumption in sample selection models," Working Papers 2012-11, Brown University, Department of Economics.
• Bai, Jushan & Liao, Yuan, 2012. "Efficient Estimation of Approximate Factor Models," MPRA Paper 41558, University Library of Munich, Germany.
• Christian Gouriéroux & Jean-Michel Zakoian, 2012. "Estimation Adjusted VaR," Working Papers 2012-16, Center for Research in Economics and Statistics.
• Xiaohong Chen & David Jacho-Chávez & Oliver Linton, 2012. "Averaging of moment condition estimators," CeMMAP working papers CWP26/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Arnak Dalalyan & Yuri Ingster & Alexandre B. Tsybakov, 2012. "Statistical Inference in Compound Functional Models," Working Papers 2012-20, Center for Research in Economics and Statistics.
• Leeb, Hannes & Pötscher, Benedikt M., 2012. "Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values," MPRA Paper 41459, University Library of Munich, Germany.
• Peter C.B. Phillips, 2012. "On Confidence Intervals for Autoregressive Roots and Predictive Regression," Cowles Foundation Discussion Papers 1879, Cowles Foundation for Research in Economics, Yale University.
• Andres, P. & Harvey, A., 2012. "The Dyanamic Location/Scale Model: with applications to intra-day financial data," Cambridge Working Papers in Economics 1240, Faculty of Economics, University of Cambridge.
• Oliver Linton & Yoon-Jae Whang, 2012. "Testing for the stochastic dominance efficiency of a given portfolio," CeMMAP working papers CWP27/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Henderson, Daniel J. & Maasoumi, Esfandiar, 2012. "Searching for Rehabilitation in Nonparametric Regression Models with Exogenous Treatment Assignment," IZA Discussion Papers 6874, Institute of Labor Economics (IZA).
• Biørn, Erik & Wangen, Knut R., 2012. "New Taxonomies for Limited Dependent Variables Models," MPRA Paper 41461, University Library of Munich, Germany.
• Luc Behaghel & Bruno Crépon & Marc Gurgand & Thomas Le barbanchon, 2012. "Please Call Again, Correcting Non-response Bias in Treatment Effect Models," Working Papers 2012-15, Center for Research in Economics and Statistics.
• Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu, 2012. "The Reactive Volatility Model," Papers 1209.5190, arXiv.org, revised Apr 2013.