Report NEP-ETS-2006-01-24

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Other reports in NEP-ETS

The following items were anounced in this report:

• Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers 2006-01, School of Economics and Management, University of Aarhus. [Downloadable!]
• Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Working Papers 05-44, Bank of Canada. [Downloadable!]
• Arup Bose, 2006. "Bootstrapping a linear estimator of the ARCH parameters," University of Cincinnati, Economics Working Papers Series 2006-03, University of Cincinnati, Department of Economics. [Downloadable!]
• Jesús Fernández-Villaverde & Juan F. Rubio-Ramíre & Thomas J. Sargent, 2006. "Economic and VAR Shocks: What Can Go Wrong?," Levine's Bibliography 122247000000000990, UCLA Department of Economics. [Downloadable!]
• Ignacio N. Lobato & Carlos Velasco, 2005. "Efficient Wald Tests For Fractional Unit Roots," Economics Working Papers we056935, Universidad Carlos III, Departamento de Economía. [Downloadable!]
• Helena Veiga, 2006. "Are Feedback Factors Important In Modelling Financial Data?," Statistics and Econometrics Working Papers ws060101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
• Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2006. "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing," Cowles Foundation Discussion Papers 1545, Cowles Foundation, Yale University. [Downloadable!]
• Peter C. B. Phillips & Chirok Han, 2006. "Gaussian Inference in AR(1) Time Series with or without a Unit Root," Cowles Foundation Discussion Papers 1546, Cowles Foundation, Yale University. [Downloadable!]
• Peter C. B. Phillips, 2006. "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Cowles Foundation Discussion Papers 1547, Cowles Foundation, Yale University. [Downloadable!]
• Offer Lieberman & Peter C. B. Phillips, 2006. "Refined Inference on Long Memory in Realized Volatility," Cowles Foundation Discussion Papers 1549, Cowles Foundation, Yale University. [Downloadable!]
• Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation, Yale University. [Downloadable!]
• Cees Diks & Valentyn Panchenko, 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," Tinbergen Institute Discussion Papers 05-076/1, Tinbergen Institute. [Downloadable!]
• Siem Jan Koopman & Kai Ming Lee, 2005. "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers 05-081/4, Tinbergen Institute. [Downloadable!]
• Bernd Heidergott & Arie Hordijk & Miranda van Uitert, 2005. "Series Expansions for Finite-State Markov Chains," Tinbergen Institute Discussion Papers 05-086/4, Tinbergen Institute. [Downloadable!]
• Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute. [Downloadable!]
• Jurgen A. Doornik & Marius Ooms, 2005. "Outlier Detection in GARCH Models," Tinbergen Institute Discussion Papers 05-092/4, Tinbergen Institute. [Downloadable!]
• Borus Jungbacker & Siem Jan Koopman, 2005. "On Importance Sampling for State Space Models," Tinbergen Institute Discussion Papers 05-117/4, Tinbergen Institute. [Downloadable!]
• Item repec:hal:papers:halshs-00007801_v1 is not listed on IDEAS anymore

• Takayuki Shiohama, 2006. "Asymptotically Efficient Estimation of the Change Point for Semiparametric GARCH models," Discussion Paper Series a471, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
• Viviana Fernandez, 2005. "Structural Breakpoints in Volatility in International Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp076, IIIS. [Downloadable!]
• George Athanasopoulos & Farshid Vahid, 2006. "A Complete VARMA Modelling Methodology Based on Scalar Components," Monash Econometrics and Business Statistics Working Papers 2/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Rob J Hyndman & Muhammad Akram, 2006. "Some Nonlinear Exponential Smoothing Models are Unstable," Monash Econometrics and Business Statistics Working Papers 3/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
• Kin Lam & May Chun Mei Wong & Wing-Keung Wong, 2005. "New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model," Departmental Working Papers wp0514, National University of Singapore, Department of Economics. [Downloadable!]
• Item repec:scp:wpaper:05-43 is not listed on IDEAS anymore

• Luis Alberiko Gil-Alana, . "Structural Change and the Order of Integration in Univariate Time Series," Faculty Working Papers 20/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
• Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2006. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," IBMEC RJ Economics Discussion Papers 2006-01, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]

This page was last updated on 2009-11-22.