Report NEP-ECM-2003-02-10

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The following items were anounced in this report:

• Mototsugu Shintani, 2003. "A Nonparametric Measure of Convergence Toward Purchasing Power Parity," Levine's Bibliography 506439000000000172, UCLA Department of Economics. [Downloadable!]
• Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation, Yale University. [Downloadable!]
• Item repec:att:eurcbw:2002196 is not listed on IDEAS anymore

• Victoria Zinde-Walsh & Peter C.B. Phillips, 2003. "Fractional Brownian Motion as a Differentiable Generalized Gaussian Process," Cowles Foundation Discussion Papers 1391, Cowles Foundation, Yale University. [Downloadable!]
• Item repec:att:eurcbw:2002195 is not listed on IDEAS anymore

• Ulrich K. Müller, 2002. "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002 2002-26, Department of Economics, University of St. Gallen. [Downloadable!]
• Pesaran, H.M. & Timmermann, A., 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics 0306, Faculty of Economics, University of Cambridge. [Downloadable!]
• Hyungsik Roger Moon & Peter C.B. Phillips, 2003. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Cowles Foundation Discussion Papers 1390, Cowles Foundation, Yale University. [Downloadable!]
• Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, EconWPA. [Downloadable!]
• David Aadland, 2002. "Detrending Time-Aggregated Data," Macroeconomics 0301007, EconWPA. [Downloadable!]
• Mototsugu Shintani, 2003. "Nonlinear Analysis of Business Cycles Using Diffusion Indexes: Applications to Japan and the U.S," Levine's Bibliography 506439000000000168, UCLA Department of Economics. [Downloadable!]
• Pesaran, H.M., 2003. "Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence," Cambridge Working Papers in Economics 0305, Faculty of Economics, University of Cambridge. [Downloadable!]
• Evzen Kocenda, 2003. "An Alternative to the BDS Test: Integration Across The Correlation Integral," Econometrics 0301004, EconWPA. [Downloadable!]
• Roberto Leon-Gonzalez, . "Data Augmentation in Limited-Dependent Variable Models," Discussion Papers 02/09, Department of Economics, University of York. [Downloadable!]
• Bun,M.J.G. & Carree,M.A., 2002. "Bias-corrected estimation in dynamic panel data models," Research Memoranda 025, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
• Marcelle Chauvet & Jeremy Piger, 2002. "Identifying business cycle turning points in real time," Working Paper 2002-27, Federal Reserve Bank of Atlanta. [Downloadable!]
• Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation, Yale University. [Downloadable!]

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