Report NEP-ETS-2011-07-13This 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:
- Alvaro Escribano & Genaro Sucarrat, 2011. "Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations," Working Papers, Instituto MadrileÃ±o de Estudios Avanzados (IMDEA) Ciencias Sociales 2011-09, Instituto MadrileÃ±o de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Fabio Busetti & Silvestro di Sanzo, 2011. "Bootstrap LR tests of stationarity, common trends and cointegration," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 799, Bank of Italy, Economic Research and International Relations Area.
- Martin Burda & John Maheu, 2011. "Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Papers tecipa-438, University of Toronto, Department of Economics.
- T. De Groote & G. Everaert, 2011. "Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 11/723, Ghent University, Faculty of Economics and Business Administration.
- Andersson, Fredrik N. G., 2011. "Band Spectrum Regressions using Wavelet Analysis," Working Papers 2011:22, Lund University, Department of Economics.
- Michèle Chavoix-Mannato, 2011. "Working Party on Financial Statistics: Proceedings of the Workshop on Securitisation," OECD Statistics Working Papers 2011/3, OECD Publishing.
- Item repec:pav:wpaper:255 is not listed on IDEAS anymore
- Item repec:dgr:eureir:1765023582 is not listed on IDEAS anymore
- Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers 11-090/4, Tinbergen Institute.
- Mario Forni & Luca Gambetti, 2011. "Sufficient information in structural VARs," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics 062, University of Modena and Reggio E., Dept. of Economics.
- Item repec:ner:carlos:info:hdl:10016/5817 is not listed on IDEAS anymore
- Item repec:ner:carlos:info:hdl:10016/2770 is not listed on IDEAS anymore
- David E. Giles & Ryan T. Godwin, 2011. "Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values," Econometrics Working Papers 1110, Department of Economics, University of Victoria.