Report NEP-ECM-2002-12-10

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Other reports in NEP-ECM

The following items were anounced in this report:

• Tiemen Woutersen & Marcel Voia, 2002. "Adaptive Estimation of the Dynamic Linear Model with Fixed Effects," UWO Department of Economics Working Papers 200210, University of Western Ontario, Department of Economics. [Downloadable!]
• Charles S. Bos, 2002. "A Comparison of Marginal Likelihood Computation Methods," Tinbergen Institute Discussion Papers 02-084/4, Tinbergen Institute. [Downloadable!]
• George Kapetanios, 2002. "A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models," Working Papers 467, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Geert Ridder & Tiemen Woutersen, 2002. "The Singularity of the Information Matrix of the Mixed Proportional Hazard Model," UWO Department of Economics Working Papers 20026, University of Western Ontario, Department of Economics. [Downloadable!]
• George Kapetanios & Yongcheol Shin, 2002. "Unit Root Tests in Three-Regime SETAR Models," Working Papers 465, Queen Mary, University of London, Department of Economics. [Downloadable!]
• He, Changli & Teräsvirta, Timo, 2002. "An application of the analogy between vector ARCH and vector random coefficient autoregressive models," Working Paper Series in Economics and Finance 516, Stockholm School of Economics. [Downloadable!]
• Gonzalo Camba-Mendez & George Kapetanios, 2002. "Bootstrap Statistical Tests of Rank Determination for System Identification," Working Papers 468, Queen Mary, University of London, Department of Economics. [Downloadable!]
• R. A. L. Carter & A. Zellner, 2002. "The ARAR Error Model for Univariate Time Series and Distributed Lag Models," UWO Department of Economics Working Papers 20025, University of Western Ontario, Department of Economics. [Downloadable!]
• George Kapetanios, 2002. "A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models," Working Papers 475, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Joel Horowitz & Sokbae 'Simon' Lee, 2002. "Semiparametric estimation of a panel data proportional hazards model with fixed effects," CeMMAP working papers CWP21/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Andrew Chesher, 2002. "Semiparametric identification in duration models," CeMMAP working papers CWP20/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• George Kapetanios, 2002. "Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting," Working Papers 466, Queen Mary, University of London, Department of Economics. [Downloadable!]
• George Kapetanios, 2002. "Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset," Working Papers 471, Queen Mary, University of London, Department of Economics. [Downloadable!]
• George Kapetanios, 2002. "Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations," Working Papers 470, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Tiemen Woutersen, 2002. "Robustness against Incidental Parameters," UWO Department of Economics Working Papers 20028, University of Western Ontario, Department of Economics. [Downloadable!]
• Konstantin A. Kholodilin, 2002. "Stylized Facts Test for the Signal-Extraction Techniques," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 2002017, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
• George Kapetanios & Yongcheol Shin, 2002. "GLS Detrending for Nonlinear Unit Root Tests," Working Papers 472, Queen Mary, University of London, Department of Economics. [Downloadable!]
• George Kapetanios, 2002. "Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks," Working Papers 469, Queen Mary, University of London, Department of Economics. [Downloadable!]
• DENUIT, Michel & SAILLET, Olivier, 2001. "Nonparametric Tests for Positive Quadrant Dependence," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 2001009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 01 Apr 2001. [Downloadable!]
• Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• George Kapetanios, 2002. "Measuring Conditional Persistence in Time Series," Working Papers 474, Queen Mary, University of London, Department of Economics. [Downloadable!]
• Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002. "Common factors in conditional distributions," Working Paper Series in Economics and Finance 515, Stockholm School of Economics.
• Kyriakos Chourdakis, 2002. "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers 464, Queen Mary, University of London, Department of Economics. [Downloadable!]
• George Kapetanios, 2002. "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers 473, Queen Mary, University of London, Department of Economics. [Downloadable!]

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