NEP-ECM-2005-07-03

This file is part of IDEAS, which uses RePEc data

Report NEP-ECM-2005-07-03

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.

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The following items were anounced in this report:

Libero Monteforte, 2004. "Aggregation bias in macro models: does it matter foir the euro area?," Temi di discussione (Economic working papers) 534, Bank of Italy, Economic Research Department. [Downloadable!]
Amparo Baillo & Isabel Molina, 2005. "Mean Squared Errors Of Small Area Estimators Under A Unit-Level Multivariate Model," Statistics and Econometrics Working Papers ws054007, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Jeremy Large, 2005. "Estimating quadratic variation when quoted prices jump by a constant increment," OFRC Working Papers Series 2005fe05, Oxford Financial Research Centre. [Downloadable!]
Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005. "Limit theorems for multipower variation in the presence of jumps," OFRC Working Papers Series 2005fe06, Oxford Financial Research Centre. [Downloadable!]
Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre. [Downloadable!]
Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre. [Downloadable!]
Juan Carlos Escanciano, 2005. "A Consistent Diagnostic Test for Regression Models Using Projections," Faculty Working Papers 09/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
Hsiang-Tai Lee & Jonathan Yoder, 2005. "A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios," Econometrics 0506009, EconWPA. [Downloadable!]
Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, EconWPA. [Downloadable!]
Robert L. Hicks & Kurt Schnier, 2005. "Dynamic Discrete Choice Modeling: Monte Carlo Analysis," Working Papers 18, Department of Economics, College of William and Mary. [Downloadable!]
T. Bojdecki & Luis G. Gorostiza & A. Talarczyk, 2004. "Functional Limit Theorems for Occupation Time Fluctuations of Branching Systems in the Case of Long-Range Dependence," RePAd Working Paper Series lrsp-TRS402, Département des sciences administratives, UQO. [Downloadable!]
Raluca Balan & George Stoica, 2004. "A Weighted Weak Law of Large Numbers for Free Random Variables," RePAd Working Paper Series lrsp-TRS403, Département des sciences administratives, UQO. [Downloadable!]
Junsoo Lee & Mark C. Strazicich, 2004. "Minimum LM Unit Root Test with One Structural Break," Working Papers 04-17, Department of Economics, Appalachian State University. [Downloadable!]

This page was last updated on 2008-7-20.

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