NEP-ECM-2001-09-10

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Report NEP-ECM-2001-09-10

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 anounced in this report:

M. Lanne & H. Lütkepohl, . "Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals," Sonderforschungsbereich 373 2001-5, Humboldt Universitaet Berlin.
Jaebeom Kim & Masao Ogaki & Min-Seok Yang, 2001. "Structural Error Correction Models: Instrumental Variables Methods and Application to an Exchange Rate Model," Working Papers 01-01, Ohio State University, Department of Economics. [Downloadable!]
P. Cizek, . "Robust Estimation in Nonlinear Regression Models," Sonderforschungsbereich 373 2001-25, Humboldt Universitaet Berlin.
Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, EconWPA. [Downloadable!]
Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001. [Downloadable!]
M. Lanne & H. Lütkepohl & P. Saikkonen, . "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Sonderforschungsbereich 373 2001-39, Humboldt Universitaet Berlin.
W. Härdle & H. Herwartz & V. Spokoiny, . "Time Inhomogeneous Multiple Volatility Modelling," Sonderforschungsbereich 373 2001-7, Humboldt Universitaet Berlin.
S. Chen & W. Härdle & T. Kleinow, . "An Empirical Likelihood Goodness-of-Fit Test for Time Series," Sonderforschungsbereich 373 2001-1, Humboldt Universitaet Berlin.
O. Linton & Z. Xiao, . "A Nonparametric Regression Estimator that Adapts to Error Distribution of unknown Form," Sonderforschungsbereich 373 2001-33, Humboldt Universitaet Berlin.
W. Härdle & J. Horowitz & J.-P. Kreiss, . "Bootstrap Methods For Time Series," Sonderforschungsbereich 373 2001-59, Humboldt Universitaet Berlin.
Kyungho Jang, 2001. "Impulse Response Analysis with Long Run Restrictions on Error Correction Models," Working Papers 01-04, Ohio State University, Department of Economics. [Downloadable!]
J.-P. Kreiss & E. Paparoditis, . "Autoregressive Aided Periodogram Bootstrap for Time Series," Sonderforschungsbereich 373 2001-60, Humboldt Universitaet Berlin.
Charles R. Nelson, 1987. "Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root," NBER Technical Working Papers 0063, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
L. Gil-Alana, . "A Joint Test of Fractional Cyclic Integration and a Linear Time Trend," Sonderforschungsbereich 373 2001-26, Humboldt Universitaet Berlin.
D. Climov & M. Delecroix & L. Simar, . "Semiparametric Estimation in Single Index Poisson Regression: A Practical Approach," Sonderforschungsbereich 373 2001-51, Humboldt Universitaet Berlin.
Frank Kleibergen, 2001. "Testing Parameters in GMM without assuming that they are identified," Tinbergen Institute Discussion Papers 01-067/4, Tinbergen Institute. [Downloadable!]
G. Golubev & W. Härdle, . "On adaptive smoothing in partial linear models," Sonderforschungsbereich 373 2001-48, Humboldt Universitaet Berlin.

This page was last updated on 2009-11-29.

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