Report NEP-ETS-2011-08-02This 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:
- Gustavo A. Sánchez, 2011. "Technical tips on time series with Stata," Mexican Stata Users' Group Meetings 2011, Stata Users Group 03, Stata Users Group, revised 03 Aug 2011.
- E. Otranto, 2011. "Classification of Volatility in Presence of Changes in Model Parameters," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201113, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Milan Rippel & Ivo Jánský, 2011. "Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 2011/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
- Vogelsang, Timothy J. & Wagner, Martin, 2011. "A Fixed-b Perspective on the Phillips-Perron Unit Root Tests," Economics Series, Institute for Advanced Studies 272, Institute for Advanced Studies.
- Dominique Guegan & Philippe de Peretti, 2011. "Tests of Structural Changes in Conditional Distributions with Unknown Changepoints," Documents de travail du Centre d'Economie de la Sorbonne, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 11042, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- González, Andrés & Hubrich, Kirstin & Teräsvirta, Timo, 2011. "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series, European Central Bank 1363, European Central Bank.
- Athanasopoulos, George & Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 713, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Gabriele La Spada & Fabrizio Lillo, 2011. "The effect of round-off error on long memory processes," Papers, arXiv.org 1107.4476, arXiv.org, revised Mar 2013.