NEP-ETS-2003-07-13

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Report NEP-ETS-2003-07-13

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.

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Other reports in NEP-ETS

The following items were anounced in this report:

Chafik Bouhaddioui & Roch Roy, 2003. "On the Distribution of the Residual Cross-Correlations between Two Uncorrelated Infinite Order Vector Autoregressive Series," CIRANO Working Papers 2003s-41, CIRANO. [Downloadable!]
Elliott, Graham & Komunjer, Ivana & Timmermann, Allan G, 2003. "Estimating Loss Function Parameters," CEPR Discussion Papers 3821, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2003. "Common Shocks, Common Dynamics, and the International Business Cycle," Economics & Statistics Discussion Papers esdp03007, University of Molise, Dept. SEGeS. [Downloadable!]
George Kapetanios, 2003. "Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models," Working Papers 494, Queen Mary, University of London, Department of Economics. [Downloadable!]
C.M. Hafner & P.H. Franses, 2003. "A generalized dynamic conditional correlation model for many asset returns," Econometric Institute Report 323, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
George Kapetanios, 2003. "Determining the Stationarity Properties of Individual Series in Panel Datasets," Working Papers 495, Queen Mary, University of London, Department of Economics. [Downloadable!]
Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Inoue, Atsushi & Kilian, Lutz, 2003. "On the Selection of Forecasting Models," CEPR Discussion Papers 3809, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Jönsson, Kristian, 2003. "Cross-sectional dependency and size distortion in a small-sample homogeneous panel-data unit root test," Working Papers 2003:10, Lund University, Department of Economics.
Casten TRENKLER, 2003. "A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms," Economics Working Papers ECO2003/07, European University Institute. [Downloadable!]
Glaser, Markus & Langer, Thomas & Weber, Martin, 2003. "On the Trend Recognition and Forecasting Ability of Professional Traders," CEPR Discussion Papers 3904, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
C.M. Hafner, 2003. "Simple approximations for option pricing under mean reversion and stochastic volatility," Econometric Institute Report 325, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Andrew P. Blake & George Kapetanios, 2003. "Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean," Working Papers 496, Queen Mary, University of London, Department of Economics. [Downloadable!]
Luis Eduardo Arango, . "Some Univariate Time Series Properties of Output," Borradores de Economia 100, Banco de la Republica de Colombia. [Downloadable!]

This page was last updated on 2008-10-5.

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