Report NEP-ETS-2008-01-05This 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:
- Item repec:bep:unimip:1063 is not listed on IDEAS anymore
- Luis Fernando Melo & John Jairo León & Dagoberto Saboya, 2007. "Cointegration Vector Estimation By Dols For A Three-Dimensional Panel," BORRADORES DE ECONOMIA, BANCO DE LA REPÃBLICA 004391, BANCO DE LA REPÚBLICA.
- Maria S. Heracleous, 2007. "Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue," Economics Working Papers, European University Institute ECO2007/60, European University Institute.
- Sarantis Tsiaplias, 2007. "A Metropolis-in-Gibbs Sampler for Estimating Equity Market Factors," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne wp2007n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Turgut Kisinbay, 2007. "The Use of Encompassing Tests for Forecast Combinations," IMF Working Papers, International Monetary Fund 07/264, International Monetary Fund.
- Chudik, Alexander & Pesaran, M. Hashem, 2007. "Infinite Dimensional VARs and Factor Models," IZA Discussion Papers 3206, Institute for the Study of Labor (IZA).
- Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," Discussion Papers, University of Copenhagen. Department of Economics 07-35, University of Copenhagen. Department of Economics.
- Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007. "Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate," Discussion Papers, University of Copenhagen. Department of Economics 07-34, University of Copenhagen. Department of Economics.
- Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers, University of Toronto, Department of Economics tecipa-304, University of Toronto, Department of Economics.
- Altavilla, Carlo & Ciccarelli, Matteo, 2007. "Information combination and forecast (st)ability evidence from vintages of time-series data," Working Paper Series, European Central Bank 0846, European Central Bank.