Report NEP-ETS-2009-02-07This 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:
- Nielsen, Morten, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 08-05, Cornell University, Center for Analytic Economics.
- Jorda, Oscar & Marcellino, Massimiliano, 2008. "Path Forecast Evaluation," Working Papers 08-5, University of California at Davis, Department of Economics.
- Chudik, Alexander & Pesaran, Hashem, 2009. "Infinite-dimensional VARs and factor models," Working Paper Series 0998, European Central Bank.
- Frederik Herzberg, 2008. "Hyperfinite stochastic integration for Lévy processes with finite-variation jump part," Working Papers 404, Bielefeld University, Center for Mathematical Economics.
- Jing, Li, 2009. "Bootstrap prediction intervals for threshold autoregressive models," MPRA Paper 13086, University Library of Munich, Germany.
- Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany.