Report NEP-FOR-2012-10-06This is the archive for NEP-FOR, a report on new working papers in the area of Forecasting. Rob J Hyndman issued this report. It is usually issued weekly.
The following items were announced in this report:
- Peter C.B. Phillips, 2012. "On Confidence Intervals for Autoregressive Roots and Predictive Regression," Cowles Foundation Discussion Papers 1879, Cowles Foundation for Research in Economics, Yale University.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A flexible semiparametric model for time series," CeMMAP working papers CWP28/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper 1218, Federal Reserve Bank of Cleveland.
- Toni Beutler, 2012. "Forecasting Exchange Rates with Commodity Convenience Yields," Working Papers 12.03, Swiss National Bank, Study Center Gerzensee.
- Kajal Lahiri & George Monokroussos & Yongchen Zhao, 2012. "The yield spread puzzle and the information content of SPF forecasts," Discussion Papers 12-04, University at Albany, SUNY, Department of Economics.
- Brent Meyer & Guhan Venkatu, 2012. "Trimmed-mean inflation statistics: just hit the one in the middle," Working Paper 1217, Federal Reserve Bank of Cleveland.
- Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips, 2012. "Nonparametric Predictive Regression," Cowles Foundation Discussion Papers 1878, Cowles Foundation for Research in Economics, Yale University.
- C. Marbot & D. Roy, 2012. "Projecting the future cost of the French elderly disabled allowance using a microsimulation model," Documents de Travail de la DESE - Working Papers of the DESE g2012-10, Institut National de la Statistique et des Etudes Economiques, DESE.
- Nalan Basturk & Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2012. "The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation," Tinbergen Institute Discussion Papers 12-096/III, Tinbergen Institute.
- Christan Francq & Jean-Michel Zakoian, 2012. "Optimal Predictions of Powers of Conditionally Heteroskedastic Processes," Working Papers 2012-17, Centre de Recherche en Economie et Statistique.