Report NEP-ETS-2006-01-01This 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:
- Gengenbach,Christian & Palm,Franz C. & Urbain,Jean-Pierre, 2005. "Panel Cointegration Testing in the Presence of Common Factors," Research Memoranda 050, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- Juan Francisco Rubio-Ramírez & Daniel Waggoner & Tao Zha, 2005. "Markov-switching structural vector autoregressions: theory and application," Working Paper 2005-27, Federal Reserve Bank of Atlanta.
- Arturo Estrella & Anthony P. Rodrigues, 2005. "One-sided test for an unknown breakpoint: theory, computation, and application to monetary theory," Staff Reports 232, Federal Reserve Bank of New York.
- Ahlgren, Niklas & Nyblom, Jukka, 2005. "Tests Against Stationary and Explosive Alternatives in Vector Autoregressive Models," Working Papers 511, Hanken School of Economics.
- Stefan De Wachter & Richard D.F. Harris & Elias Tzavalis, 2005. "Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension," Working Papers 550, Queen Mary, University of London, School of Economics and Finance.
- George Kapetanios, 2005. "A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets," Working Papers 551, Queen Mary, University of London, School of Economics and Finance.
- Tony Guida & Olivier Matringe, 2005. "Application Of Garch Models In Forecasting The Volatility Of Agricultural Commodities," Finance 0512021, EconWPA.