NEP-ECM-2003-10-20

This file is part of IDEAS, which uses RePEc data

Report NEP-ECM-2003-10-20

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.

Subscribe to this report: email or RSS

Other reports in NEP-ECM

The following items were anounced in this report:

Andrés Bujosa & Marcos Bujosa & Antonio García Ferrer, 2002. "A Note on the Pseudo-Spectra and the Pseudo-Covariance Generating Functions of ARMA Processes," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0203, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Guido W. Imbens, 2003. "Nonparametric Estimation of Average Treatment Effects under Exogeneity: A Review," NBER Technical Working Papers 0294, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Ibmec São Paulo. [Downloadable!]
Raymond J.G.M. Florax & Peter Nijkamp, 2003. "Misspecification in Linear Spatial Regression Models," Tinbergen Institute Discussion Papers 03-081/3, Tinbergen Institute. [Downloadable!]
Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German DAX," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
Marcos Bujosa & Antonio García Ferrer & Peter Young, 2002. "An ARMA Representation of Unobserved Component Models under Generalized Random Walk Specifications: New Algorithms and Examples," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0204, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Item repec:mtl:montde:07-2003 is not listed on IDEAS anymore
Catherine S. Forbes & Gael M. Martin & Jill Wright, 2003. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Monash Econometrics and Business Statistics Working Papers 17/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
van den Berg, Gerard J. & van Lomwel, A. Gijsbert C. & van Ours, Jan C., 2003. "Nonparametric Estimation of a Dependent Competing Risks Model for Unemployment Durations," IZA Discussion Papers 898, Institute for the Study of Labor (IZA). [Downloadable!]
Charemza W.W. & M. Lifshits & S. Makarova, 2002. "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Computing in Economics and Finance 2002 251, Society for Computational Economics. [Downloadable!]
massimo franchi, 2002. "A Non-Causal Identification Scheme for Vector Autoregressions," Computing in Economics and Finance 2002 290, Society for Computational Economics. [Downloadable!]
Item repec:mtl:montde:06-2003 is not listed on IDEAS anymore
J. Huston McCulloch & E. Richard Percy, Jr., 2002. "A Spline LR Test for Goodness-of-Fit," Computing in Economics and Finance 2002 123, Society for Computational Economics. [Downloadable!]
Noah Williams, 2003. "Small Noise Asymptotics for a Stochastic Growth Model," Computing in Economics and Finance 2003 262, Society for Computational Economics. [Downloadable!]
Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003. "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers flwp_55, Finance Lab, Ibmec São Paulo. [Downloadable!]
Item repec:mtl:montde:14-2003 is not listed on IDEAS anymore
M. A. Kaboudan, 2003. "Genetic Programming Software to Forecast Time Series," Computing in Economics and Finance 2003 97, Society for Computational Economics. [Downloadable!]
H. Vincent Poor & Li Chen, 2003. "Parametric Estimation of Quadratic Term Structure Models of Interest Rates," Computing in Economics and Finance 2003 22, Society for Computational Economics. [Downloadable!]
Asger Lunde & Esben Hoeg, 2003. "Wavelet Estimation of Integrated Volatility," Computing in Economics and Finance 2003 274, Society for Computational Economics. [Downloadable!]
Thomas Lubik & Frank Schorfheide, 2002. "Testing for Indeterminacy in Linear Rational Expectations Models," Computing in Economics and Finance 2002 214, Society for Computational Economics. [Downloadable!]
M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute. [Downloadable!]
Aaron D. Smallwood & Paul M. Beaumont, 2002. "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002 285, Society for Computational Economics. [Downloadable!]
Item repec:mtl:montde:09-2003 is not listed on IDEAS anymore
Item repec:mtl:montde:10-2003 is not listed on IDEAS anymore
Item repec:mtl:montde:08-2003 is not listed on IDEAS anymore

This page was last updated on 2009-11-22.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.