Report NEP-ECM-2007-06-23

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The following items were anounced in this report:

• Peter C.B. Phillips & Ke-Li Xu, 2007. "Tilted Nonparametric Estimation of Volatility Functions," Cowles Foundation Discussion Papers 1612, Cowles Foundation, Yale University. [Downloadable!]
• Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research. [Downloadable!]
• Javier Hidalgo, 2007. "Specification Testing Forregression Models Withdependent Data," STICERD - Econometrics Paper Series /2007/518, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
• Gunky Kim & Mervyn J. Silvapulle & Paramsothy Silvapulle, 2007. "Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models," Monash Econometrics and Business Statistics Working Papers 8/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Sokbae Lee & Myunghwan Seo, 2007. "Semiparametric Estimation Of A Binaryresponse Model With A Change-Pointdue To A Covariate Threshold," STICERD - Econometrics Paper Series /2007/516, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
• Peter C.B. Phillips & Chang Sik Kim, 2007. "Long Run Covariance Matrices for Fractionally Integrated Processes," Cowles Foundation Discussion Papers 1611, Cowles Foundation, Yale University. [Downloadable!]
• Jeremy J. Nalewaik, 2007. "Incorporating vintage differences and forecasts into Markov switching models," Finance and Economics Discussion Series 2007-23, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
• Peter C.B. Phillips & Tassos Magdalinos, 2007. "Limit Theory for Explosively Cointegrated Systems," Cowles Foundation Discussion Papers 1614, Cowles Foundation, Yale University. [Downloadable!]
• Peter M Robinson, 2007. "Efficient Estimation of the SemiparametricSpatial Autoregressive Model," STICERD - Econometrics Paper Series /2007/515, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
• Pim Ouwehand & Rob J. Hyndman & Ton G. de Kok & Karel H. van Donselaar, 2007. "A state space model for exponential smoothing with group seasonality," Monash Econometrics and Business Statistics Working Papers 7/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Peter C.B. Phillips, 2007. "Exact Distribution Theory in Structural Estimation with an Identity," Cowles Foundation Discussion Papers 1613, Cowles Foundation, Yale University. [Downloadable!]
• Alessandro De Gregorio & Stefano Iacus, 2007. "Change point estimation for the telegraph process observed at discrete times," UNIMI - Research Papers in Economics, Business, and Statistics 1053, Universitá degli Studi di Milano. [Downloadable!]
• Rao, B. Bhaskara, 2007. "Deterministic and stochastic trends in the time series models: A guide for the applied economist," MPRA Paper 3580, University Library of Munich, Germany. [Downloadable!]
• David Hendry & Carlos Santos, 2007. "Automatic Tests For Super Exogeneity," Documentos de Trabalho em Economia (Working Papers in Economics) 11, Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto). [Downloadable!]
• Ralf Becker & Adam Clements, 2007. "Are combination forecasts of S&P 500 volatility statistically superior?," NCER Working Paper Series 17, National Centre for Econometric Research. [Downloadable!]
• Colignatus, Thomas, 2007. "Correlation and regression in contingency tables. A measure of association or correlation in nominal data (contingency tables), using determinants," MPRA Paper 3394, University Library of Munich, Germany, revised 20 Jun 2007. [Downloadable!]
• Afonso Gonçalves da Silva & Peter M Robinson, 2007. "Fractional Cointegration In StochasticVolatility Models," STICERD - Econometrics Paper Series /2007/519, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
• Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007. "Multivariate contemporaneous threshold autoregressive models," Working Papers 2007-019, Federal Reserve Bank of St. Louis. [Downloadable!]
• Carlo Fiorio & Vassilis Hajivassiliou, 2007. "Inference and Thick Tails: Some Surprising Results," UNIMI - Research Papers in Economics, Business, and Statistics 1054, Universitá degli Studi di Milano. [Downloadable!]
• Frank A Cowell & Maria-Pia Victoria-Feser, 2007. "Modelling Lorenz Curves:robust and semi-parametric issues," STICERD - Distributional Analysis Research Programme Papers 91, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
• Garrone Giovanna & Marchionatti Roberto, 2007. "Keynes, statistics and econometrics," CESMEP Working Papers 200703, University of Turin. [Downloadable!]
• Colignatus, Thomas, 2007. "A comparison of nominal regression and logistic regression for contingency tables, including the 2 × 2 × 2 case in causality," MPRA Paper 3615, University Library of Munich, Germany, revised 19 Jun 2007. [Downloadable!]
• Garrone Giovanna & Marchionatti Roberto, 2007. "The appropriate style of economic discourse. Keynes on Economics and Econometrics," CESMEP Working Papers 200702, University of Turin. [Downloadable!]

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