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Report NEP-ECM-2003-10-12
This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ECM
The following items were announced in this report:
- MEDDAHI, Nour, 2002, "ARMA Representation of Integrated and Realized Variances," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2002-20.
- Donald W.K. Andrews, 2003, "Cross-section Regression with Common Shocks," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1428, Jun.
- Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2003, "Long Run Variance Estimation Using Steep Origin Kernels without Truncation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1437, Sep.
- ANDERSEN, Torben G. & BOLLERSLEV, Tim & MEDDAHI, Nour, 2002, "Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2002-21.
- Peter C.B. Phillips & Donggyu Sul, 2003, "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1438, Sep, revised Jun 2004.
- Halbert L. White & Giampiero M. Gallo & Teodosio Pérez Amaral, 2002, "A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0201.
- Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2003, "Incidental Trends and the Power of Panel Unit Root Tests," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1435, Sep.
- Claude Lopez & Christian J. Murray & David H. Papell, 2003, "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics, University Library of Munich, Germany, number 0310009, Oct.
- Donggyu Sul & Peter C.B. Phillips & Choi, Chi-Young, 2003, "Prewhitening Bias in HAC Estimation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1436, Sep.