Report NEP-ECM-2004-01-25

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:

• Jean-Yves Pitarakis, 2003, "Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification," Econometrics, University Library of Munich, Germany, number 0312004, Dec.
• Rosalia Vazquez-Alvarez, 2003, "Anchoring Bias and Covariate Nonresponse," University of St. Gallen Department of Economics working paper series 2003, Department of Economics, University of St. Gallen, number 2003-19, Dec.
• Naoya Katayama, 2004, "Seasonally and Fractionally Differenced Time Series (revised, August 2006)," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d03-11, Jan.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2003, "Power and bipower variation with stochastic volatility and jumps," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W17, Sep.
• Tommaso Proietti, 2004, "Forecasting and Signal Extraction with Misspecified Models," Econometrics, University Library of Munich, Germany, number 0401002, Jan.
• Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003, "Power variation & stochastic volatility: a review and some new results," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W19, Sep.
• D'Urso, Pierpaolo & Giordani, Paolo, 2003, "A possibilistic approach to latent structure analysis for symmetric fuzzy data," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp03014, Dec.
• Robert Breunig & Alison Stegman, 2003, "Testing for Regime Switching in Singaporean Business Cycles," Departmental Working Papers, The Australian National University, Arndt-Corden Department of Economics, number 2003-20, Sep.
• Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004, "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe02.
• Jones, Barry & Elger, Thomas & Edgerton, David & Dutkowsky, Donald, 2004, "Toward a Unified Approach to Testing for Weak Separability," Working Papers, Lund University, Department of Economics, number 2004:1, Jan.
• Jurgen A. Doornik & Marius Ooms, 2003, "Multimodality in the GARCH Regression Model," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W20, Sep.
• Robert C. Feenstra & Marshall B. Reinsdorf, 2004, "Should Exact Index Numbers Have Standard Errors? Theory and Application to Asian Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 10197, Jan.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2004, "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe01.
• Tommaso Proietti & Filippo Moauro, 2004, "Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints," Econometrics, University Library of Munich, Germany, number 0401003, Jan.
• Bent Nielsen, 2003, "Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W23, Oct.
• Jonathan B. Hill, 2004, "LM-Tests for Linearity Against Smooth Transition Alternatives: A Bootstrap Simulation Study," Econometrics, University Library of Munich, Germany, number 0401004, Jan, revised 05 Jul 2004.
• Item repec:cla:uclaol:278 is not listed on IDEAS anymore

• Bent Nielsen, 2003, "Power of tests for unit roots in the presence of a linear trend," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W22, Nov.
• Naoya Katayama, 2004, "Asymptotic Prediction Mean Squared Error for Strongly Dependent Processes with Estimated Parameters," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d03-10, Jan.
• Richard Luger, 2004, "Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates," Staff Working Papers, Bank of Canada, number 04-2, DOI: 10.34989/swp-2004-2.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2003, "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W21, Nov.
• Villani, Mattias & Warne, Anders, 2003, "Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 156, Dec.
• Nielsen, Jens Perch & Tanggaard, Carsten & Jones, M. C., 2003, "Local Linear Density Estimation for Filtered Survival Data, with Bias Correction," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 03-9, Dec.

Report NEP-ECM-2004-01-25

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: