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Report NEP-ECM-2004-03-03
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:
- Steve Lawford, 2004, "Finite-sample quantiles of the Jarque-Bera test," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-03, Feb.
- Ahlgren, Niklas & Nyblom, Jukka, 2003, "A General Test for the Cointegrating Rank in Vector Autoregressive Models," Working Papers, Hanken School of Economics, number 499, Dec.
- Eklund, Bruno & Teräsvirta, Timo, 2003, "Testing constancy of the error covariance matrix in vector models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 549, Nov, revised 18 Jan 2006.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004, "A Feasible Central Limit Theory for Realised Volatility Under Leverage," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W03, Feb.
- Andrew Bauer & Nicholas Haltom & Juan F. Rubio-Ramirez, 2003, "Using the Kalman filter to smooth the shocks of a dynamic stochastic general equilibrium model," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2003-32.
- Charles S. Bos & Neil Shephard, 2004, "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W02, Feb.
- van Ours, Jan C. & Van den Berg, Gerard & van Lomwel, A Gijsbert C, 2003, "Nonparametric Estimation of a Dependent Competing Risks Model for Unemployment Durations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4120, Nov.
- Marcet, Albert & Ravn, Morten, 2004, "The HP-Filter in Cross-Country Comparisons," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4244, Feb.
- Bofinger, Peter & Schmidt, Robert & Leitner, Johannes, 2004, "Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4230, Feb.
- Lippi, Marco & Reichlin, Lucrezia & Forni, Mario, 2003, "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4133, Dec.
- Stephane Hess & John Polak, 2003, "An alternative method to the scrambled Halton sequence for removing correlation between standard Halton sequences in high dimensions," ERSA conference papers, European Regional Science Association, number ersa03p406, Aug.
- Schlicht, Ekkehart, 2004, "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," Discussion Papers in Economics, University of Munich, Department of Economics, number 304, Feb.
- Farmer, Roger & Beyer, Andreas, 2003, "Identifying the Monetary Transmission Mechanism Using Structural Breaks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4106, Nov.
- Harry Bowen & Margarethe Wiersema, 2003, "Modelling limited dependent variables: methods and guidelines for researchers in strategic management," Vlerick Leuven Gent Management School Working Paper Series, Vlerick Leuven Gent Management School, number 2003-30, Dec.
- Jorgen Lauridsen & Reinhold Kosfeld, 2003, "A Test Strategy for Spurious Spatial Regression, Spatial Nonstationarity, and Spatial Cointegration," ERSA conference papers, European Regional Science Association, number ersa03p42, Aug.
- David F. Hendry & Carlos Santos, 2004, "Regression Models with Data-based Indicator Variables," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W04, Feb.