Report NEP-ECM-2007-11-17

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The following items were anounced in this report:

• Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood Inference for a Nonstationary Fractional Autoregressive Model," Discussion Papers 07-27, University of Copenhagen. Department of Economics (formerly Institute of Economics). [Downloadable!]
• Antonio Diez de los Rios & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Working Papers 07-53, Bank of Canada. [Downloadable!]
• David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics (formerly Institute of Economics). [Downloadable!]
• Gregory Connor & Oliver Linton & Matthias Hagmann, 2007. "Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns," FMG Discussion Papers dp599, Financial Markets Group. [Downloadable!] (restricted)
• Kalogeropoulos, Konstantinos & Roberts, Gareth O. & Dellaportas, Petros, 2007. "Inference for stochastic volatility model using time change transformations," MPRA Paper 5697, University Library of Munich, Germany. [Downloadable!]
• Kalogeropoulos, Konstantinos & Dellaportas, Petros & Roberts, Gareth O., 2007. "Likelihood-based inference for correlated diffusions," MPRA Paper 5696, University Library of Munich, Germany. [Downloadable!]
• Søren Johansen, 2007. "Correlation, Regression, and Cointegration of Nonstationary Economic Time Series," Discussion Papers 07-25, University of Copenhagen. Department of Economics (formerly Institute of Economics). [Downloadable!]
• Casey Quinn, 2006. "Alternative methods for estimating systems of (health) equations," Health, Econometrics and Data Group (HEDG) Working Papers 06/05, HEDG, c/o Department of Economics, University of York. [Downloadable!]
• Jan Jacobs & Pieter Otter & Ard den Reijer, 2007. "Information, data dimension and factor structure," DNB Working Papers 150, Netherlands Central Bank, Research Department. [Downloadable!]
• Andrew M. Jones, 2007. "Panel data methods and applications to health economics," Health, Econometrics and Data Group (HEDG) Working Papers 07/18, HEDG, c/o Department of Economics, University of York. [Downloadable!]
• Søren Johansen, 2007. "Some Identification Problems in the Cointegrated Vector Autoregressive Model," Discussion Papers 07-24, University of Copenhagen. Department of Economics (formerly Institute of Economics). [Downloadable!]
• Samuel Zita & Rangan Gupta, 2007. "Modelling and Forecasting the Metical-Rand Exchange Rate," Working Papers 200702, University of Pretoria, Department of Economics. [Downloadable!]
• Pötscher, Benedikt M., 2007. "Confidence Sets Based on Sparse Estimators Are Necessarily Large," MPRA Paper 5677, University Library of Munich, Germany. [Downloadable!]
• BONTEMPS, Christian & MEDDAHI, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
• Nikias Sarafoglou & Jean H.P. Paelinck, 2007. "On Diffusion of Ideas in the Academic World: the Case of Spatial Econometrics," Department of Economics University of Siena 514, Department of Economics, University of Siena. [Downloadable!]
• Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2007. "RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence," Reserve Bank of New Zealand Discussion Paper Series DP2007/15, Reserve Bank of New Zealand. [Downloadable!]
• Casey Quinn, 2007. "The health-economic applications of copulas: methods in applied econometric research," Health, Econometrics and Data Group (HEDG) Working Papers 07/22, HEDG, c/o Department of Economics, University of York. [Downloadable!]

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