Report NEP-ETS-2012-08-23This 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:
- Lanouar Charfeddine & Dominique Guegan, 2012. "Breaks or long memory behaviour : an empirical investigation," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00722032, HAL.
- Dominique Guegan & Philippe De Peretti, 2012. "An Omnibus Test to Detect Time-Heterogeneity in Time Series," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00721327, HAL.
- Javier Hualde, 2012. "Estimation of the cointegrating rank in fractional cointegration," Documentos de Trabajo - Lan Gaiak Departamento de EconomÃa - Universidad PÃºblica de Navarra, Departamento de EconomÃa - Universidad PÃºblica de Navarra 1205, Departamento de EconomÃa - Universidad PÃºblica de Navarra.
- Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers, Ã–rebro University, School of Business 2012:12, Ã–rebro University, School of Business.
- Falk Brauning & Siem Jan Koopman, 2012. "Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis," Tinbergen Institute Discussion Papers 12-042/4, Tinbergen Institute.
- Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012. "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers 12-059/4, Tinbergen Institute.
- Siem Jan Koopman & Thuy Minh Nguyen, 2012. "Fast Efficient Importance Sampling by State Space Methods," Tinbergen Institute Discussion Papers 12-008/4, Tinbergen Institute.
- Geert Mesters & Siem Jan Koopman, 2012. "Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time," Tinbergen Institute Discussion Papers 12-009/4, Tinbergen Institute, revised 18 Mar 2014.
- Yves Dominicy & Siegfried HÃ¶rmann & David Veredas & Hiroaki Ogata, 2012. "Marginal quantiles for stationary processes," Banco de Espaï¿½a Working Papers 1228, Banco de Espaï¿½a.
- Lorenzo Ricci & David Veredas, 2012. "TailCoR," Banco de Espaï¿½a Working Papers 1227, Banco de Espaï¿½a.
- Julieta Fuentes & Pilar Poncela & Julio RodrÃguez, 2012. "Sparse partial least squares in time series for macroeconomic forecasting," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa ws122216, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa.
- Item repec:ner:carlos:info:hdl:10016/15032 is not listed on IDEAS anymore
- Taeyoung Doh & Michael Connolly, 2012. "The state space representation and estimation of a time-varying parameter VAR with stochastic volatility," Research Working Paper, Federal Reserve Bank of Kansas City RWP 12-04, Federal Reserve Bank of Kansas City.
- Mark J. Jensen & John M. Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," Working Paper, Federal Reserve Bank of Atlanta 2012-09, Federal Reserve Bank of Atlanta.
- Rosen Azad Chowdhury & Bill Russell, 2012. "The Difference, System and â€˜Double-Dâ€™ GMM Panel Estimators in the Presence of Structural Breaks," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee 268, Economic Studies, University of Dundee.
- Zhu, Ke, 2012. "A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach," MPRA Paper 40382, University Library of Munich, Germany.
- Galimberti, Jaqueson K., 2012. "A tutorial note on the properties of ARIMA optimal forecasts," MPRA Paper 40303, University Library of Munich, Germany, revised 27 Jul 2012.
- Bildirici, Melike & Ersin, Ã–zgÃ¼r, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.