NEP-ETS-2004-08-09

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Report NEP-ETS-2004-08-09

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:

Daniel L. Thornton, 2005. "Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates," Working Papers 2004-010, Federal Reserve Bank of St. Louis. [Downloadable!]
James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2004. "Normalization in econometrics," Working Paper 2004-13, Federal Reserve Bank of Atlanta. [Downloadable!]
Hsiao, Cheng & Pesaran, M. Hashem, 2004. "Random Coefficient Panel Data Models," IZA Discussion Papers 1236, Institute for the Study of Labor (IZA). [Downloadable!]
Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers 2003-024, Federal Reserve Bank of St. Louis. [Downloadable!]
Christopher A. Sims & Tao Zha, 2004. "Were there regime switches in U.S. monetary policy?," Working Paper 2004-14, Federal Reserve Bank of Atlanta. [Downloadable!]
Lucio Sarno & Daniel L. Thornton, 2003. "The efficient market hypothesis and identification in structural VARs," Working Papers 2003-032, Federal Reserve Bank of St. Louis. [Downloadable!]
Michael Dueker & Christopher J. Neely, 2006. "Can Markov switching models predict excess foreign exchange returns?," Working Papers 2001-021, Federal Reserve Bank of St. Louis. [Downloadable!]
Michel Normandin & Louis Phaneuf, 2003. "Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility," Cahiers de recherche 03-04, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
Kaushik Mitra, 2004. "Is more data better?," Royal Holloway, University of London: Discussion Papers in Economics 04/19, Department of Economics, Royal Holloway University of London, revised Jul 2004. [Downloadable!]
Christopher A. Sims & Tao Zha, 2004. "MCMC method for Markov mixture simultaneous-equation models: a note," Working Paper 2004-15, Federal Reserve Bank of Atlanta. [Downloadable!]
Todd E. Clark & Kenneth D. West, 2004. "Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis," Research Working Paper RWP 04-03, Federal Reserve Bank of Kansas City. [Downloadable!]
Elizabeth C. Wakerly & Byron G. Scott & James M. Nason, 2004. "Common trends and common cycles in Canada: who knew so much has been going on?," Working Paper 2004-5, Federal Reserve Bank of Atlanta. [Downloadable!]
Stanislav Radchenko, 2004. "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics 0408001, EconWPA. [Downloadable!]

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

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