Report NEP-ETS-2007-01-23

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The following items were anounced in this report:

• Urbain Jean-Pierre & Westerlund Joakim, 2006. "Spurious Regression in Nonstationary Panels with Cross-Unit Cointegration," Research Memoranda 057, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
• Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers 06-101/4, Tinbergen Institute. [Downloadable!]
• Fonseca Giovanni, 2005. "On the stability of nonlinear ARMA models," Economics and Quantitative Methods qf0503, Department of Economics, University of Insubria. [Downloadable!]
• Paruolo Paolo, 2005. "Design of vector autoregressive processes for invariant statistics," Economics and Quantitative Methods qf0504, Department of Economics, University of Insubria. [Downloadable!]
• Caporin Massimiliano & Paruolo Paolo, 2005. "Multivariate ARCH with spatial effects for stock sector and size," Economics and Quantitative Methods qf0509, Department of Economics, University of Insubria. [Downloadable!]
• Badi H. Baltagi, 2006. "Random effects and Spatial Autocorrelations with Equal Weights," Center for Policy Research Working Papers 89, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
• Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
• Cheng Hsiao & Siyan Wang, 2006. "Lag-Augmented Two- and Three-Stage Least Squares Estimators for Integrated Structural Dynamic Models," IEPR Working Papers 06.55, Institute of Economic Policy Research (IEPR). [Downloadable!]
• Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the black box - structural factor models with large gross-sections," Working Paper Series 712, European Central Bank. [Downloadable!]
• Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics. [Downloadable!]
• Seung C. Ahn & Young H. Lee & Peter Schmidt, 2006. "Panel Data Models with Multiple Time-Varying Individual Effects," Working Papers 0702, University of Crete, Department of Economics. [Downloadable!]
• Prof. Dr. Walter Krämer & Baudouin Tameze Azamo, . "Structural change and estimated persistence in the GARCH(1,1)-model," Working Papers 5, Business and Social Statistics Department, University Dortmund, revised May 2006. [Downloadable!]
• Prof. Dr. Walter Krämer, . "Long memory with Markov-Switching GARCH," Working Papers 6, Business and Social Statistics Department, University Dortmund, revised Oct 2006. [Downloadable!]

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