Econometrics

from EconWPA
Series data maintained by EconWPA ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

9812002: Bayesian and Classical Approaches to Instrumental Variables Regression

Frank Kleibergen and Eric Zivot

9812001: Cointegration and Forward and Spot Exchange Rate Regressions

Eric Zivot

9809001: Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study

Michael A. Hauser

9808001: Impulse Response Priors for Discriminating Structural Vector Autoregressions

Mark Dwyer

9805004: On the Estimation of a Linear Time Trend Regression with a One- Way Error Component Model in the Presence of Serially Correlated Errors

Chihwa Kao and Jamie Emerson

9805003: Martingales, Nonlinearity, and Chaos

William Barnett and Apostolos Serletis

9805001: Relative Efficiency with Equivalence Classes of Asymptotic Covariances

David M. Mandy and Carlos Martins-Filho

9804001: Benchmark Priors for Bayesian Model Averaging

Carmen Fernandez, Eduardo Ley and Mark Steel

9802003: An Approximate Wavelet MLE of Short and Long Memory Parameters

Mark J. Jensen

9802002: Robust Wald Tests in SUR Systems with Adding Up Restrictions: An Algebraic Approach to Proofs of Invariance

Surajit Ray, B Ravikumar and N. Eugene Savin

9802001: MCMC Methods for Fitting and Comparing Multinomial Response Models

Siddhartha Chib, Edward Greenberg and Yuxin Chen

9712002: A Monte Carlo Comparison of Tests for Cointegration in Panel Data

Suzanne K. McCoskey and Chihwa Kao

9712001: Statistical Modeling of Fishing Activities in the North Atlantic

Carmen Fernandez, Eduardo Ley and Mark Steel

9711002: A RESIDUAL-BASED TEST OF THE NULL OF COINTEGRATION IN PANEL DATA

Chihwa Kao and Suzanne K. McCoskey

9711001: Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings

Francisco Cribari-Neto, Mark J. Jensen and Álvaro A. Novo

9710002: Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter

Mark J. Jensen

9710001: Testing between Different Types of Switching Regression Models

Frieder Knuepling

9709002: An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets

Mark J. Jensen

9709001: Nonlinear and Complex Dynamics in Economics

William Barnett, Alfredo Medio and Apostolos Serletis

9705001: The Impact of Training on Unemployment Duration in West Germany -Combining a Discrete Hazard Rate Model with Matching Techniques-

R. Hujer, K.-O. Maurer and M. Wellner

9704001: Estimating the Effect of Training on Unemployment Duration in West Germany - A Discrete Hazard-Rate Model with Instrumental Variables

R. Hujer, K.-O. Maurer and M. Wellner

9703002: Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable

Chihwa Kao

9703001: On the Estimation and Inference of a Cointegrated Regression in Panel Data

Chihwa Kao and Min-Hsien Chiang

9612007: One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -

Thomas Kaiser

9612006: Selecting the Number of Replications in a Simulation Study

Ignacio Dmaz-Emparanza (Ignacio Díaz-Emparanza)

9612004: Causality Among Sales,Advertising and Prices: New Evidence from a Multivariate Cointegrated System

Francisco Fernando Ribeiro Ramos

9612002: Valid Confidence Intervals and Inference in the Presence of Weak Instruments

Charles R. Nelson, Richard Startz and Eric Zivot

9612001: The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified

Eric Zivot

9611005: Statistical Inference of a Bivariate Proportional Hazard Model with Grouped Data

Mark Y An

9611004: Using Indirect Inference to Solve the Initial Conditions Problem

Mark Y An and Ming Liu

9611003: Nonparametric Estimation of a Survivor Function with Across- Interval-Censored Data

Mark Y An and Roberto Ayala

9611002: A Mixture Model of Willingness to Pay Distributions

Mark Y An and Roberto Ayala

9611001: Semiparametric Estimation of Willingness to Pay Distributions

Mark Y An

9610005: Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments

Jiahui Wang and Eric Zivot

9610004: Distribution of the Least Squares Estimator in a First-Order Autoregressive Model

Mukhtar M. Ali

9610003: Bootstrap Methods For Covariance Structures

Joel L. Horowitz

9610002: STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS

Sangjoon Kim, Neil Shephard and Siddhartha Chib

9608004: Bootstrap Methods for Median Regression Models

Joel L. Horowitz

9608003: Posterior Simulation and Bayes Factors in Panel Count Data Models

Siddhartha Chib, Edward Greenberg and Rainer Winkelmann

9608002: Bayesian Analysis of Multivariate Probit Models

Siddhartha Chib and Edward Greenberg

9608001: A Spline Analysis of the Small Firm Effect: Does Size Really Matter?

Joel L. Horowitz, Tim Loughran and N. E. Savin

9607001: The Liquidity Effect: Testing Identification Conditions Under Time-Varying Conditional Volatility

Michel Normandin and Louis Phaneuf

9606003: Measuring Productivity Differences in Equilibrium Search Models

Gauthier Lanot and George Neumann

9606002: The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models

N.E. Savin and Allan Würtz

9606001: Power of Tests in Binary Response Models

N.E. Savin and Allan Würtz

9605004: Real and Spurious Long Memory Properties of Stock Market Data

Ignacio N. Lobato and N.E. Savin

9605001: Simulation Methods for Probit and Related Models Based on Convenient Error Partitioning

Kenneth Train

9604002: The Forecasting Accuracy of Five Time Series Models: Evidence from the Portuguese Car Market

Francisco Fernando Ribeiro Ramos

9604001: Exact Distribution of the Least Squares Estimator in a First- Order Autoregressive Model

Mukhtar M. Ali

9603004: Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures

Simon van Norden and Robert John Vigfusson