NEP-ETS-2003-10-28

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Report NEP-ETS-2003-10-28

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:

Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2005. "The empirical failure of the expectations hypothesis of the term structure of bond yields," Working Papers 2003-021, Federal Reserve Bank of St. Louis. [Downloadable!]
Graham Elliott & Ulrich Mueller, 2004. "Optimally Testing General Breaking Processes in Linear Time Series Models," University of California at San Diego, Economics Working Paper Series 2003-07, Department of Economics, UC San Diego. [Downloadable!]
Christopher F. Baum, 2003. "A review of Stata 8.1 and its time series capabilities," Boston College Working Papers in Economics 581, Boston College Department of Economics. [Downloadable!]
Yixiao Sun, 2003. "Estimation of the Long-run Average Relationship in Nonstationary Panel Time Series," University of California at San Diego, Economics Working Paper Series 2003-06, Department of Economics, UC San Diego. [Downloadable!]
Tae-Hwan Kim & Halbert White, 2004. "On More Robust Estimation of Skewness and Kurtosis: Simulation and Application to the S&P500 Index," University of California at San Diego, Economics Working Paper Series 2003-12, Department of Economics, UC San Diego. [Downloadable!]
Mayte Suarez Farinãs & Carlos Eduardo Pedreira & Marcelo C. Medeiros, 2003. "Local-global neural networks: a new approach for nonlinear time series modelling," Textos para discussÃ£o 470, Department of Economics PUC-Rio (Brazil). [Downloadable!]
Martin Charron, . "The fair value of the U.S. stock market: A structural VECM approach," Working Papers-Department of Finance Canada 2001-09, Department of Finance Canada. [Downloadable!]
Whitney Newey & Richard Smith, 2003. "Higher order properties of GMM and generalised empirical likelihood estimators," CeMMAP working papers CWP04/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
Maurice J.G. Bun & Franc J.G.M. Klaassen, 2003. "The Importance of Accounting for Time Trends when Estimating the Euro Effect on Trade," Tinbergen Institute Discussion Papers 03-086/2, Tinbergen Institute, revised 14 Oct 2004. [Downloadable!]
J. Carlos Escanciano & Carlos Velasco, 2003. "Generalized Spectral Tests For The Martingale Difference Hypothesis," Statistics and Econometrics Working Papers ws035212, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
Liangjun Su & Halbert White, 2003. "A Consistent Characteristic-Fuction-Based Test for Conditional Independence," University of California at San Diego, Economics Working Paper Series 2003-11, Department of Economics, UC San Diego. [Downloadable!]
Michael R. Pakko, 2004. "A spectral analysis of the cross-country consumption correlation puzzle," Working Papers 2003-023, Federal Reserve Bank of St. Louis. [Downloadable!]
Liangjun Su & Halbert White, 2004. "Testing Conditional Independence Via Empirical Likelihood," University of California at San Diego, Economics Working Paper Series 2003-14, Department of Economics, UC San Diego. [Downloadable!]
Jorge Belaire-Franch, & Dulce Contreras & Lorena Tordera-Lledo, 2002. "Assessing Non-Linear Structures in Real Exchange Rates Using Recurrence Plot Strategies," Computing in Economics and Finance 2002 239, Society for Computational Economics. [Downloadable!]
Min-Hsien Chiang & Chihwa Kao, 2002. "Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models," Computing in Economics and Finance 2002 60, Society for Computational Economics. [Downloadable!]
Luisa Nieto & Mª Dolores Robles & Ángeles Fernández, 2002. "Linear and Nonlinear Intraday Dynamics between the Eurostoxx-50," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0208, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Pilar Abad & Alfonso Novales, 2002. "Volatility Transmission acros the Term Structure of Swap Markets: International Evidence," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0220, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
Hui Guo & Robert Savickas, 2003. "Does idiosyncratic risk matter: another look," Working Papers 2003-025, Federal Reserve Bank of St. Louis. [Downloadable!]

This page was last updated on 2009-11-22.

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