NEP: New Economics Papers
Econometrics

Edited by:	Sune Karlsson
	Orebro University
Issue date:	2014-06-02
Papers:	21

This issue of nep-ecm is sponsored by Ecomod Modeling School Europe. Places are available for courses in GAMS, Environmental Modeling, Eviews, and Quantitative Methods for Fiscal and Budgetary Policies. Application deadline:30 June 2014.
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In this issue we have:Contents.

• Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series
  

  Date:	2013-09
  By:	Ghysels, Eric Miller, J. Isaac
  URL:	http://d.repec.org/n?u=RePEc:cpr:ceprdp:9654&r=ecm
  Keywords:	cointegration; mixed sampling frequencies; residual-based cointegration test; temporal aggregation; trace test
  JEL:	C12 C32

• The pairwise approach to model a large set of disaggregates with common trends
  

  Date:	2014-05
  By:	Guillermo Carlomagnol Antoni Espasa
  URL:	http://d.repec.org/n?u=RePEc:cte:wsrepe:ws141309&r=ecm
  Keywords:	Common trends, Cointegration, Factor Models, Disaggregation, Forecast model selection, Forecast Combination, Outliers treatment

• On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators
  

  Date:	2014-05-20
  By:	Stelios Arvanitis Antonis Demos (www.aueb.gr/users/demos)
  URL:	http://d.repec.org/n?u=RePEc:aue:wpaper:1406&r=ecm
  Keywords:	Locally Uniform Edgeworth Expansions, Locally Uniform Moment Approximations, Bias Approximation, MSE Approximation, Binding Function, Recursive Indirect Estimators
  JEL:	C10 C13

• A fixed-T version of Breitung's panel data unit root test and its asymptotic local power
  

  By:	Yiannis Karavias Elias Tzavalis
  URL:	http://d.repec.org/n?u=RePEc:not:notgts:14/02&r=ecm
  Keywords:	Panel unit root; local power function; serial correlation; incidental trends JEL classi?cation: C22, C23

• Markov-Switching Mixed-Frequency VAR Models
  

  Date:	2014-02
  By:	Foroni, Claudia Guérin, Pierre Marcellino, Massimiliano
  URL:	http://d.repec.org/n?u=RePEc:cpr:ceprdp:9815&r=ecm
  Keywords:	Fore-; Markov-switching; MIDAS; Mixed-frequency VAR; Nowcasting
  JEL:	C53 E32 E37

• Testing for Granger Causality with Mixed Frequency Data
  

  Date:	2013-09
  By:	Ghysels, Eric Hill, Jonathan B. Motegi, Kaiji
  URL:	http://d.repec.org/n?u=RePEc:cpr:ceprdp:9655&r=ecm
  Keywords:	Granger causality; mixed data sampling (MIDAS); temporal aggression; vector autoregression (VAR)
  JEL:	C12 C32

• Mixed Tempered Stable distribution
  

  Date:	2014-05
  By:	Edit Rroji Lorenzo Mercuri
  URL:	http://d.repec.org/n?u=RePEc:arx:papers:1405.7603&r=ecm

• Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation
  

  Date:	2014-05-27
  By:	Sun, Yixiao
  URL:	http://d.repec.org/n?u=RePEc:cdl:ucsdec:qt8479f4s2&r=ecm
  Keywords:	Social and Behavioral Sciences, Autocorrelation Robust Test, Fixed-smoothing Asymptotics, Local-to-Unity, Strong Autocorrelation, Weak Unit Root

• Inference Based on SVAR Identified with Sign and Zero Restrictions: Theory and Applications
  

  Date:	2014-01
  By:	Arias, Jonas E. Rubio-Ramírez, Juan Francisco Waggoner, Daniel F
  URL:	http://d.repec.org/n?u=RePEc:cpr:ceprdp:9796&r=ecm
  Keywords:	Fiscal Shocks; Optimism; Sign and Zero Restrictions; SVARs
  JEL:	C10

• Analyzing business and financial cycles using multi-level factor models
  

  Date:	2014-05
  By:	Jörg Breitung Sandra Eickmeier
  URL:	http://d.repec.org/n?u=RePEc:een:camaaa:2014-43&r=ecm
  Keywords:	Factor models, canonical correlations, international business cycles, financial cycles, business cycle asymmetries
  JEL:	C38

• Optimal personalized treatment rules for marketing interventions: A review of methods, a new proposal, and an insurance case study
  

  Date:	2014-05
  By:	Leo Guelman (Royal Bank of Canada, RBC Insurance) Montserrat Guillen (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona) Ana M. Pérez-Marín (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)
  URL:	http://d.repec.org/n?u=RePEc:bak:wpaper:201406&r=ecm
  Keywords:	personalized treatment learning, causal inference, marketing interventions

• Structural analysis with independent innovations
  

  Date:	2014
  By:	Herwartz, Helmut
  URL:	http://d.repec.org/n?u=RePEc:zbw:cegedp:208&r=ecm
  Keywords:	structural innovations,identifying assumptions,SVAR,Cholesky decomposition,news shocks,monetary independence
  JEL:	C32 G15

• Structural FECM: Cointegration in large-scale structural FAVAR models
  

  Date:	2014-03
  By:	Banerjee, Anindya Marcellino, Massimiliano Masten, Igor
  URL:	http://d.repec.org/n?u=RePEc:cpr:ceprdp:9858&r=ecm
  Keywords:	Cointegration; Dynamic Factor Models; Factor-augmented Error Correction Models; FAVAR; Structural Analysis
  JEL:	C32 E17

• Persistent and Transient Productive Inefficiency: A Maximum Simulated Likelihood Approach
  

  Date:	2014-05
  By:	Massimo Filippini (ETH Zurich, Switzerland) William Greene (Stern School of Business, New York University, USA)
  URL:	http://d.repec.org/n?u=RePEc:eth:wpswif:14-197&r=ecm
  Keywords:	productive efficiency; stochastic frontier analysis; panel data; transient and persistent efficiency.
  JEL:	C1 C23 D2 D24

• Gravity model estimation: Fixed effects vs. random intercept poisson pseudo maximum likelihood
  

  Date:	2014
  By:	Prehn, Sören Brümmer, Bernhard Glauben, Thomas
  URL:	http://d.repec.org/n?u=RePEc:zbw:iamodp:148&r=ecm
  Keywords:	Gravity Model Estimation,Poisson Pseudo Maximum Likelihood,Fixed Effects Model,Random Intercept Model
  JEL:	F1 C3

• The seeming unreliability of rank-ordered data as a consequence of model misspecification
  

  Date:	2014-05
  By:	Yan, Jin Yoo, Hong Il
  URL:	http://d.repec.org/n?u=RePEc:pra:mprapa:56285&r=ecm
  Keywords:	rank-ordered logit, exploded logit, ranking, qualitative response,stated preference
  JEL:	C25 C52 C81

• Methods for Measuring Expectations and Uncertainty in Markov-Switching Models
  

  Date:	2013-10
  By:	Bianchi, Francesco
  URL:	http://d.repec.org/n?u=RePEc:cpr:ceprdp:9705&r=ecm
  Keywords:	Bayesian Methods; DSGE; Impulse responses; Markov-switching; Uncertainty; VAR; Welfare
  JEL:	C11 C32 E31 E52 G12

• No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
  

  Date:	2014-03
  By:	Carriero, Andrea Clark, Todd Marcellino, Massimiliano
  URL:	http://d.repec.org/n?u=RePEc:cpr:ceprdp:9848&r=ecm
  Keywords:	density forecasting; no arbitrage; stochastic volatility; Term structure
  JEL:	C32 C53 G17

• On the stationarity of Dynamic Conditional Correlation models
  

  Date:	2014-05
  By:	Jean-David Fermanian Hassan Malongo
  URL:	http://d.repec.org/n?u=RePEc:arx:papers:1405.6905&r=ecm

• Autoregressive augmentation of MIDAS regressions
  

  Date:	2014
  By:	Cláudia Duarte
  URL:	http://d.repec.org/n?u=RePEc:ptu:wpaper:w201401&r=ecm
  JEL:	C53 E37

• Understanding Variation in Treatment Effects in Education Impact Evaluations: An Overview of Quantitative Methods.
  

  Date:	2014-05-30
  By:	Peter Z. Schochet Mike Puma John Deke
  URL:	http://d.repec.org/n?u=RePEc:mpr:mprres:8128&r=ecm
  Keywords:	Randomized Controlled Trials, Education Interventions, Quantitative Methods, Heterogeneity of Treatment Effects
  JEL:	I

  
  

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