Report NEP-ETS-2005-08-13

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Other reports in NEP-ETS

The following items were anounced in this report:

• Peter Zadrozny, 2005. "Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(p,q) Process," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
• Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute. [Downloadable!]
• Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004. "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers ECO2004/29, European University Institute. [Downloadable!]
• Paulo M. M. Rodrigues, 2004. "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers ECO2004/31, European University Institute. [Downloadable!]
• Helmut Luetkepohl, 2005. "Structural Vector Autoregressive Analysis for Cointegrated Variables," Economics Working Papers ECO2005/02, European University Institute. [Downloadable!]
• Marcelo Resende, 2005. "Mergers and Acquisitions Waves in the U.K.: a Markov-Switching Approach," Economics Working Papers ECO2005/04, European University Institute. [Downloadable!]
• Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Economics Working Papers ECO2005/05, European University Institute. [Downloadable!]
• Dietmar Bauer & Martin Wagner, 2005. "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Working Papers ECO2005/09, European University Institute. [Downloadable!]
• Steve Bond & Céline Nauges & Frank Windmeijer, 2005. "Unit roots: identification and testing in micro panels," CeMMAP working papers CWP07/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
• Gary Koop & Roberto León-González & Rodney W. Strachan, 2005. "Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space," Discussion Papers in Economics 05/13, Department of Economics, University of Leicester, revised Apr 2006. [Downloadable!]
• Rodney W. Strachan, 2005. "Bayesian Inference in Cointegrated I (2) Systems: a Generalisation of the Triangular Model," Discussion Papers in Economics 05/14, Department of Economics, University of Leicester. [Downloadable!]
• Zacharias Bragoudakis, 2005. "Assessing Forecast Performance in a VEC Model: An Empirical Examination," Econometrics 0507013, EconWPA. [Downloadable!]
• Catalin Starica & Stefano Herzel & Tomas Nord, 2005. "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics 0508003, EconWPA. [Downloadable!]
• Matthias Mohr, 2005. "A Trend-Cycle(-Season) Filter," Econometrics 0508004, EconWPA. [Downloadable!]
• Matthias Mohr, 2005. "A Trend-Cycle(-Season) Filter: Prgoramme Code for Eviews, Excel, and MatLab," Econometrics 0508005, EconWPA. [Downloadable!]
• Isabel Proenca, 2005. "A Simple Deconvolving Kernel Density Estimator when Noise is Gaussian," Econometrics 0508006, EconWPA. [Downloadable!]
• Jonathan B. Hill, 2004. "Consistent and Non-Degenerate Model Specification Tests Against Smooth Transition Alternatives," Working Papers 0406, Florida International University, Department of Economics. [Downloadable!]
• Jonathan B. Hill, 2004. "LM-Tests for Linearity Against Smooth Transition Alternatives: A Bootstrap Simulation Study," Working Papers 0412, Florida International University, Department of Economics. [Downloadable!]
• Jonathan B. Hill, 2004. "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Working Papers 0413, Florida International University, Department of Economics. [Downloadable!]

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