Report NEP-ETS-2003-12-14This 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.
The following items were announced in this report:
- Eklund, Bruno, 2003. "Estimating confidence regions over bounded domains," Working Paper Series in Economics and Finance 548, Stockholm School of Economics.
- Baele, L., 2003. "Volatility Spillover Effects in European Equity Markets," Discussion Paper 2003-114, Tilburg University, Center for Economic Research.
- Heino Bohn Nielsen & Anders Rahbek, 2003. "Likelihood Ratio Testing for Cointegration Ranks in I(2) Models," Discussion Papers 03-42, University of Copenhagen. Department of Economics.
- Eklund, Bruno, 2003. "A nonlinear alternative to the unit root hypothesis," Working Paper Series in Economics and Finance 547, Stockholm School of Economics.
- Eklund, Bruno, 2003. "Testing the unit root hypothesis against the logistic smooth transition autoregressive model," Working Paper Series in Economics and Finance 546, Stockholm School of Economics.
- Taku Yamamoto & Eiji Kurozumi, 2003. "Tests for Long-Run Granger Non-Causality in Cointegrated Systems," Hi-Stat Discussion Paper Series d03-01, Institute of Economic Research, Hitotsubashi University.