NEP: New Economics Papers
Econometrics

Edited by:	Sune Karlsson
	Orebro University
Issue date:	2014-06-07
Papers:	9

This issue of nep-ecm is sponsored by the European Parliament. They have an open call for tender for the provision of external expertise in the field of monetary and economic affairs (Monetary Expert Panel). Application deadline: 26 June 2014.
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Contents.

• Semiparametric Localized Bandwidth Selection in Kernel Density Estimation
  

  Date:	2014
  By:	Tingting Cheng Jiti Gao Xibin Zhang
  URL:	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 Gao
  URL:	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 Schmid
  URL:	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, Shalini
  URL:	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

  
  

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