Report NEP-ETS-2002-04-25

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Other reports in NEP-ETS

The following items were anounced in this report:

• Racine, J & Hyndman, R.J., 2001. "Using R to Teach Econometrics," Monash Econometrics and Business Statistics Working Papers 10/2001, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Hyndman, R.J. & Koehler, A.B. & Snyder, R.D. & Grose, S., 2000. "A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods," Monash Econometrics and Business Statistics Working Papers 9/2000, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Snyder, R.D. & Forbes, C.S., 1999. "Understanding the Kalman Filter: an Object Oriented Programming Perspective," Monash Econometrics and Business Statistics Working Papers 14/99, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Forbes, C.S. & Snyder, R.D. & Shami, R.S., 2000. "Bayesian Exponential Smoothing," Monash Econometrics and Business Statistics Working Papers 7/2000, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Sharon Kozicki, 2001. "Implications of real-time data for forecasting and modeling expectations," Research Working Paper RWP 01-12, Federal Reserve Bank of Kansas City. [Downloadable!]
• Shami, R.G. & Forbes, C.S., 2000. "A structural Time Series Model with Markov Switching," Monash Econometrics and Business Statistics Working Papers 10/2000, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Koehler, A.B. & Snyder, R.D. & Ord, J.K., 1999. "Forecasting Models and Prediction Intervals for the Multiplicative Holt-Winters Method," Monash Econometrics and Business Statistics Working Papers 1/99, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Strachan, R., 2000. "Valid Bayesian Estimation of the Cointegrating Error Correction Model," Monash Econometrics and Business Statistics Working Papers 6/2000, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," NBER Working Papers 8895, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Item repec:fmg:fmgdps:dp0412 is not listed on IDEAS anymore

• Anderson, H.M. & Vahid, F., 2000. "Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models," Monash Econometrics and Business Statistics Working Papers 3/2000, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Maharaj, E.A., 2001. "Comparison of Non-Stationary Time Series in the Frequency Domain," Monash Econometrics and Business Statistics Working Papers 1/2001, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Anderson, H.M. & Vahid, F., 2001. "Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices," Monash Econometrics and Business Statistics Working Papers 3/2001, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Marahaj, E.A. & Inder, B., 1999. "Forecasting Time Series from Clusters," Monash Econometrics and Business Statistics Working Papers 9/99, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Strachan, R.W. & Inder, B., 1999. "Bayesian Trace Statistics for the Reduced Rank Regression Model," Monash Econometrics and Business Statistics Working Papers 13/99, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Fry, T.R.L. & Broadbent, S. & Dixon, J.M., 1999. "Estimating Advertising Half-Life and the Data Interval Bias," Monash Econometrics and Business Statistics Working Papers 6/99, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Hyndman, R.J. & Yao, Q., 1998. "Nonparametric Estimation and Symmetry Tests for Conditional Density Functions," Monash Econometrics and Business Statistics Working Papers 17/98, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Athanasopoulos, G. & Anderson, H.M. & Vahid, F., 2001. "Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models," Monash Econometrics and Business Statistics Working Papers 7/2001, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Hyndman, R.J. & Koehler, A.B. & Ord, J.K. & Snyder, R.D., 2001. "Prediction Intervals for Exponential Smoothing State Space Models," Monash Econometrics and Business Statistics Working Papers 11/2001, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Leonardo Souza & Alvaro Veiga & Marcelo C. Medeiros, 2002. "Evaluating the performance of GARCH models using White´s Reality Check," Textos para discussão 453, Department of Economics PUC-Rio (Brazil). [Downloadable!]
• Yacine Ait-Sahalia & Per A. Mykland, 2002. "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions," NBER Technical Working Papers 0276, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
• Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City. [Downloadable!]
• Hyndman, R.J. & Billah, B., 2001. "Unmasking the Theta Method," Monash Econometrics and Business Statistics Working Papers 5/2001, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Vahid, F. & Issler, J.V., 2001. "The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 2/2001, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Maharaj, E.A., 1999. "A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap," Monash Econometrics and Business Statistics Working Papers 11/99, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Jan G. de Gooijer & Dawit Zerom, 2002. "On Conditional Density Estimation," Tinbergen Institute Discussion Papers 02-032/4, Tinbergen Institute. [Downloadable!]
• Jon Faust & Eric Swanson & and Jonathan H. Wright, 2002. "Identifying vars based on high frequency futures data," International Finance Discussion Papers 720, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

This page was last updated on 2009-11-29.