Report NEP-ETS-2004-07-11This 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:
- Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics.
- Jeffrey M. Wooldridge, 2004. "On the robustness of fixed effects and related estimators in correlated random coefficient panel data models," CeMMAP working papers CWP04/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Guillaume Chevillon & David F. Hendry, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Papers 2004-W12, Economics Group, Nuffield College, University of Oxford.
- Michael Arghyrou & Christopher Martin & Costas Milas, 2003. "Non-linear Inflationary Dynamics: Evidence from the UK," Public Policy Discussion Papers 03-03, Economics and Finance Section, School of Social Sciences, Brunel University.
- Francis W. Ahking, 2004. "The Power of the "Objective" Bayesian Unit-Root Test," Working papers 2004-14, University of Connecticut, Department of Economics.
- fabio spagnolod & Zacharias Psaradakis & Martin Sola, 2003. "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables," Public Policy Discussion Papers 03-15, Economics and Finance Section, School of Social Sciences, Brunel University.
- Lauren Bin Dong, 2004. "The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach," Econometrics Working Papers 0404, Department of Economics, University of Victoria.
- Jonathan B. Hill, 2004. "LM-Tests for Linearity Against Smooth Transition Alternatives: A Bootstrap Simulation Study," Econometrics 0401004, EconWPA, revised 05 Jul 2004.
- Steve Lawford & Michalis P. Stamatogiannis, 2004. "The Finite-Sample Effects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators: Purely Nonstationary Case," Economics and Finance Discussion Papers 04-05, Economics and Finance Section, School of Social Sciences, Brunel University.
- Tony Lancaster, 2006. "A note on bootstraps and robustness," CeMMAP working papers CWP04/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jurgen A. Doornik & Neil Shephard & David F. Hendry, 2004. "Parallel Computation in Econometrics: A Simplified Approach," Economics Papers 2004-W16, Economics Group, Nuffield College, University of Oxford.
- Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
- Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna, 2004. "Consistent high-precision volatility from high-frequency data," Finance 0407005, EconWPA.
- Steve Lawford, 2004. "Finite-sample quantiles of the Jarque-Bera test," Economics and Finance Discussion Papers 04-03, Economics and Finance Section, School of Social Sciences, Brunel University.
- David F. Hendry, 2004. "Robustifying Forecasts from Equilibrium-Correction Models," Economics Papers 2004-W14, Economics Group, Nuffield College, University of Oxford.
- Benoit Bellone & David Saint-Martin, 2004. "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics 0407001, EconWPA.