Report NEP-ECM-2005-01-02

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Other reports in NEP-ECM

The following items were anounced in this report:

• Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2004-14, School of Economics and Management, University of Aarhus. [Downloadable!]
• Peter M Robinson, 2004. "The Distance between Rival Nonstationary Fractional Processes," STICERD - Econometrics Paper Series /2004/468, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
• Peter M Robinson, 2004. "ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction," STICERD - Econometrics Paper Series /2004/471, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
• Oliver Linton, 2004. "Nonparametric Inference for Unbalanced Time Series Data," STICERD - Econometrics Paper Series /2004/474, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
• Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series /2004/476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
• Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series /2004/479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
• Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series /2004/480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
• M. Hashem Pesaran & Paolo Zaffaroni, 2004. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
• Rombouts, J.V.K. & Verbeek, M.J.C.M, 2004. "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," Research Paper ERS-2004-107-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
• Rubens Penha Cysne, 2004. "On the Statistical Estimation of Diffusion Processes - A Partial Survey (Revised Version, Forthcoming Brazilian Review of Econometrics)," Economics Working Papers (Ensaios Economicos da EPGE) 570, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Villani, Mattias & Larsson, Rolf, 2004. "The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis," Working Paper Series 175, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
• Katarina Juselius, 2004. "Inflation, Money Growth, and I(2) Analysis," Discussion Papers 04-31, University of Copenhagen. Department of Economics. [Downloadable!]
• David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria. [Downloadable!]
• Gultekin Isiklar, 2004. "On aggregation bias in fixed-event forecast efficiency tests," Econometrics 0412011, EconWPA, revised 27 Dec 2004. [Downloadable!]
• Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
• Richard Harrison & George Kapetanios & Tony Yates, . "Forecasting with measurement errors in dynamic models," Bank of England working papers 237, Bank of England. [Downloadable!]
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2003. "Realized Beta: Persistence and Predictability," PIER Working Paper Archive 04-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Mar 2004. [Downloadable!]
• Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Manuel Santos, 2004. "Convergence Properties of the Likelihood of Computed Dynamic Models," PIER Working Paper Archive 04-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
• Annaert J. & Claes A. & De Ceuster M.J.K., 2003. "Does the compass rose pattern matter for testing normality?," Working Papers 2003020, University of Antwerp, Faculty of Applied Economics. [Downloadable!]
• Brys G. & Hubert M. & Struyf A., 2004. "Goodness-of-fit tests based on a robust measure of skewness," Working Papers 2004018, University of Antwerp, Faculty of Applied Economics. [Downloadable!]
• George Kapetanios & Tony Yates, . "Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models," Bank of England working papers 238, Bank of England. [Downloadable!]
• David Mandy & Sandor Fridli, 2004. "Exact FGLS Asymptotics for MA Errors," Working Papers 0405, Department of Economics, University of Missouri, revised 16 Dec 2004. [Downloadable!]
• Item repec:umc:wpaper:0406 is not listed on IDEAS anymore

• Item repec:umc:wpaper:0420 is not listed on IDEAS anymore

• Alan Manning, 2004. "Instrumental Variables for Binary Treatments with Heterogeneous Treatment Effects: A Simple Exposition," CEP Discussion Papers dp0619, Centre for Economic Performance, LSE. [Downloadable!]

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