Report NEP-ECM-2004-07-18This 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.
The following items were announced in this report:
- Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Yale School of Management Working Papers, Yale School of Management ysm353, Yale School of Management, revised 01 Apr 2005.
- Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc.
- Corrado Crocetta & Nicola Loperfido, 2003. "Statistical Analysis of the Correlation between Italian and U.S. Stock Returns," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia 12-2003, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
- TerÃ¤svirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," Working Paper Series in Economics and Finance 561, Stockholm School of Economics, revised 04 Nov 2004.
- Jaroslava HLOUSKOVA & Kurt SCHMIDHEINY & Martin WAGNER, 2004. "Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management," Cahiers de Recherches Economiques du DÃ©partement d'EconomÃ©trie et d'Economie politique (DEEP), UniversitÃ© de Lausanne, FacultÃ© des HEC, DEEP 04.10, UniversitÃ© de Lausanne, FacultÃ© des HEC, DEEP.
- Boriss Siliverstovs, 2003. "Unusual Behaviour of Dickey-Fuller Tests in the Presence of Trend Misspecification: Comment," Discussion Papers of DIW Berlin 389, DIW Berlin, German Institute for Economic Research.
- Harry J. Paarsch & Bjarne Brendstrup, 2004. "Nonparametric Identification and Estimation of Multi-Unit, Sequential, Oral, Ascending-Price Auctions With Asymmetric Bidders," Working Papers, Fondazione Eni Enrico Mattei 2004.11, Fondazione Eni Enrico Mattei.
- Elisabetta Strazzera & Margarita Genius, 2004. "The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests," Working Papers, Fondazione Eni Enrico Mattei 2004.73, Fondazione Eni Enrico Mattei.
- Giovanni S.F. Bruno, 2004. "Approximating the bias of the LSDV estimator for dynamic panel data models," United Kingdom Stata Users' Group Meetings 2004, Stata Users Group 2, Stata Users Group.
- Chi-Young Choi & Nelson Mark & Donggyu Sul, 2004. "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," NBER Working Papers 10614, National Bureau of Economic Research, Inc.
- Jonathan B. Hill, 2004. "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics, EconWPA 0407013, EconWPA, revised 17 May 2005.
- John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc.