Report NEP-ETS-2011-09-16This 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:
- Stefano Grassi & Tommaso Proietti, 2011. "Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search," CREATES Research Papers 2011-30, School of Economics and Management, University of Aarhus.
- Yushu Li, 2011. "Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems," CREATES Research Papers 2011-29, School of Economics and Management, University of Aarhus.
- Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009," CREATES Research Papers 2011-28, School of Economics and Management, University of Aarhus.
- Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers 2011-27, School of Economics and Management, University of Aarhus.
- Oleg Sokolinskiy & Dick van Dijk, 2011. "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers 11-125/4, Tinbergen Institute.
- Eo, Yunjong & Morley, James, 2011. "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," Working Papers 2011-07, University of Sydney, School of Economics.
- Andreea Halunga & Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models," The School of Economics Discussion Paper Series 1118, Economics, The University of Manchester.
- Antonio E. Noriega & Daniel Ventosa-Santaulària, 2011. "A Simple Test for Spurious Regressions," Working Papers 2011-05, Banco de México.
- Peter Fuleky, 2011. "On the Choice of the Unit Period in Time Series Models," Working Papers 2011-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.