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Econometrics
| Edited by: | Sune Karlsson |
| Orebro University | |
| Issue date: | 2014-06-07 |
| Papers: | 9 |
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Contents.
- Semiparametric Localized Bandwidth Selection in Kernel Density Estimation
Date: 2014 By: Tingting Cheng
Jiti Gao
Xibin ZhangURL: http://d.repec.org/n?u=RePEc:msh:ebswps:2014-14&r=ecm
Keywords: hyperparameter estimation; likelihood score; localized bandwidth. JEL: C13 C14 C21 - On the Finite Sample Properties of Pre-test Estimators of Spatial Models
Date: 2013-07 By: Gianfranco Piras (Regional Research Institute, West Virginia University)
Ingmar R. Prucha (Department of Economics, University of Maryland)URL: http://d.repec.org/n?u=RePEc:rri:wpaper:201307&r=ecm
Keywords: cliff-ord, spatial, model, lagrange multiplier, monte carlo JEL: C4 C5 - Factor High-Frequency Based Volatility (HEAVY) Models
Date: 2014-05-30 By: Kevin Sheppard URL: http://d.repec.org/n?u=RePEc:oxf:wpaper:710&r=ecm
Keywords: Conditional Beta, Conditional Covariance, Forecasting, HEAVY, Marginal Expected Shortfall, Realized Covariance, Realized Kernel, Systematic Risk JEL: C32 C53 C58 G17 G21 - Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models
Date: 2014-05-13 By: Ying-Ying Lee URL: http://d.repec.org/n?u=RePEc:oxf:wpaper:706&r=ecm
Keywords: Continuous treatment, partial means, nonseparable models, generated regressors, control function JEL: C13 C14 C31 - Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence
Date: 2014 By: Jia Chen
Jiti GaoURL: http://d.repec.org/n?u=RePEc:msh:ebswps:2014-15&r=ecm
Keywords: Cross-sectional dependence, fixed effects, large panel, local linear fitting, penalty function, profile likelihood, semiparametric regression. JEL: C13 C14 C23 - Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks
Date: 2014-05 By: Claudio Morana URL: http://d.repec.org/n?u=RePEc:mib:wpaper:273&r=ecm
Keywords: long and short memory, structural breaks, common factors, principal components analysis, fractionally integrated heteroskedastic factor vector autoregressive model JEL: C22 - Estimation of the Global Minimum Variance Portfolio in High Dimensions
Date: 2014-06 By: Taras Bodnar
Nestor Parolya
Wolfgang SchmidURL: http://d.repec.org/n?u=RePEc:arx:papers:1406.0437&r=ecm
- The Misspecification of Expectations in New Keynesian Models: A DSGE-VAR Approach
Date: 2014-04 By: Stephen Cole (Department of Economics, University of California-Irvine)
Fabio Milani (Department of Economics, University of California-Irvine)URL: http://d.repec.org/n?u=RePEc:irv:wpaper:131407&r=ecm
Keywords: Modeling of expectations; DSGE models; Rational expectations; Observed survey expectations; Model misspecification; DSGE-VAR; Heterogeneous expectations JEL: C52 D84 E32 E50 E60 - Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization
Date: 2014-03-10 By: Sinha, Pankaj
Agnihotri, ShaliniURL: http://d.repec.org/n?u=RePEc:pra:mprapa:56307&r=ecm
Keywords: Non-normality, market capitalization, Value at risk (VaR), CVaR, GARCH JEL: C51 C52 C58 G01 G20 G22 G24 G28
This nep–ecm issue is ©2014 by Sune Karlsson. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, it must include this copyright notice. It may not be sold, or placed in something else for sale.
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NEP is sponsored by the Department of Economics, University of Auckland Business School.
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