Printed from https://ideas.repec.org/n/nep-ecm/2005-07-03.html
Report NEP-ECM-2005-07-03
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:
- Libero Monteforte, 2004, "Aggregation bias in macro models: does it matter foir the euro area?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 534, Dec.
- Baíllo, Amparo & Molina, Isabel, 2005, "Mean squared errors of small area estimators under a unit-level multivariate model," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws054007, Jun.
- James H. Stock & Mark W. Watson, 2005, "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 11467, Jul.
- Jeremy Large, 2005, "Estimating quadratic variation when quoted prices jump by a constant increment," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe05.
- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005, "Limit theorems for multipower variation in the presence of jumps," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe06.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005, "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe08.
- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005, "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe09.
- Juan Carlos Escanciano, 2005, "A Consistent Diagnostic Test for Regression Models Using Projections," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 09/05, May.
- Hsiang-Tai Lee & Jonathan Yoder, 2005, "A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios," Econometrics, University Library of Munich, Germany, number 0506009, Jun.
- Donggyu Sul, 2005, "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics, University Library of Munich, Germany, number 0506010, Jun.
- Robert L. Hicks & Kurt Schnier, 2005, "Dynamic Discrete Choice Modeling: Monte Carlo Analysis," Working Papers, Economics Department, William & Mary, number 18, Jun.
- T. Bojdecki & Luis G. Gorostiza & A. Talarczyk, 2004, "Functional Limit Theorems for Occupation Time Fluctuations of Branching Systems in the Case of Long-Range Dependence," RePAd Working Paper Series, Département des sciences administratives, UQO, number lrsp-TRS402, Jul.
- Raluca Balan & George Stoica, 2004, "A Weighted Weak Law of Large Numbers for Free Random Variables," RePAd Working Paper Series, Département des sciences administratives, UQO, number lrsp-TRS403, Aug.
- Junsoo Lee & Mark C. Strazicich, 2004, "Minimum LM Unit Root Test with One Structural Break," Working Papers, Department of Economics, Appalachian State University, number 04-17.