Report NEP-ETS-2013-04-20This 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:
- Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, School of Economics and Management, University of Aarhus.
- Robinson Kruse & Daniel Ventosa-SantaulÃ ria & Antonio E. Noriega, 2013. "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers 2013-11, School of Economics and Management, University of Aarhus.
- Martin M. Andreasen & JesÃºs FernÃ¡ndez-Villaverde & Juan F. Rubio-RamÃrez, 2013. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," CREATES Research Papers 2013-12, School of Economics and Management, University of Aarhus.
- Josep LluÃs Carrion-i-Silvestre & MarÃa Dolores Gadea, 2013. "â€œGLS based unit root tests for bounded processesâ€," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group 201302, University of Barcelona, Regional Quantitative Analysis Group, revised Apr 2013.
- Dimitri O. Ledenyov & Viktor O. Ledenyov, 2013. "On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems," Papers 1304.4807, arXiv.org.
- Thilo A. Schmitt & Desislava Chetalova & Rudi Sch\"afer & Thomas Guhr, 2013. "Non-Stationarity in Financial Time Series and Generic Features," Papers 1304.5130, arXiv.org, revised May 2013.
- Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," Working Papers 0543, University of Heidelberg, Department of Economics.
- Susanne Schennach, 2013. "Long memory via networking," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP13/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- El Montasser, Ghassen & Boufateh, Talel & Issaoui, Fakhri, 2013. "The seasonal KPSS test when neglecting seasonal dummies: a Monte Carlo analysis," MPRA Paper 46226, University Library of Munich, Germany.
- Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian, 2013. "Relevant States and Memory in Markov Chain Bootstrapping and Simulation," MPRA Paper 46250, University Library of Munich, Germany.
- Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2013. "Realized Stochastic Volatility with Leverage and Long Memory," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-880, CIRJE, Faculty of Economics, University of Tokyo.
- Tinkl, Fabian, 2013. "Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models," IWQW Discussion Paper Series 03/2013, Friedrich-Alexander-UniversitÃ¤t Erlangen-NÃ¼rnberg, Institut fÃ¼r Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW).