Report NEP-ETS-2012-10-27This 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:
- Javier Hualde, 2012. "A simple test for the equality of integration orders," Documentos de Trabajo - Lan Gaiak Departamento de EconomÃa - Universidad PÃºblica de Navarra 1206, Departamento de Economía - Universidad Pública de Navarra.
- Wojciech Charemza & Yuriy Kharin & Vladislav Maevskiy, 2012. "Bilinear forecast risk assessment for non-systematic inflation: Theory and evidence," Discussion Papers in Economics 12/22, Department of Economics, University of Leicester.
- Blazej Mazur & Mateusz Pipien, 2012. "On the empirical importance of periodicity in the volatility of financial time series," National Bank of Poland Working Papers 124, National Bank of Poland, Economic Institute.
- Bai, Jushan & Li, Kunpeng, 2012. "Maximum likelihood estimation and inference for approximate factor models of high dimension," MPRA Paper 42099, University Library of Munich, Germany, revised 19 Oct 2012.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
- Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, Marseille, France.