## Report NEP-ETS-1999-07-12

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.Subscribe to this report: email, RSS or Twitter.

Other reports in NEP-ETS

The following items were announced in this report:

- Mehmet Caner & Lutz Kilian, 1999.
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**Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for Applied Work**," Computing in Economics and Finance 1999 511, Society for Computational Economics. - Christopher T. Downing, 1999.
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**Nonparametric Estimation of Multifactor Continuous Time Interest-Rate Models**," Computing in Economics and Finance 1999 111, Society for Computational Economics. - Pieter J. van der Sluis & George J. Jiang, 1999.
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**Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection**," Computing in Economics and Finance 1999 313, Society for Computational Economics. - J. H. Chesnut, 1999.
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**Regional Variations in Median Household Income: a Neural Network Approach**," Computing in Economics and Finance 1999 641, Society for Computational Economics. - Stephen G. Hall & Jennifer V. Greenslade & S. G. Brian Henry, 1999.
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**On the Identification of Cointegrated Systems in Small Samples: Practical Procedures with an Application to UK Wages and Prices**," Computing in Economics and Finance 1999 643, Society for Computational Economics. - Item repec:boc:bococf:312 is not listed on IDEAS anymore
- Michel Juillard & Fabrice Collard, 1999.
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**Stochastic Simulations of a Non-Linear Phillips Curve Model**," Computing in Economics and Finance 1999 144, Society for Computational Economics. - Maria Odejar, 1999.
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**Bayesian Analysis of the Stochastic Switching Regression Model Using Markov Chain Monte Carlo Methods**," Computing in Economics and Finance 1999 822, Society for Computational Economics. - Romulo A. Chumacero, 1999.
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**Estimating Stationary ARMA Models Efficiently**," Computing in Economics and Finance 1999 1333, Society for Computational Economics. - Theophile Azomahou, 1999.
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**Estimation of Spatial Panel-Data Models Using a Minimum-Distance Estimator**," Computing in Economics and Finance 1999 1322, Society for Computational Economics. - Esben P. Hoeg, 1999.
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**Estimation and Computation of Long-Memory Continuous-Time Models**," Computing in Economics and Finance 1999 1242, Society for Computational Economics. - Filippo Altissimo, 1999.
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**Change of Measure in Monte Carlo Integration via Gibbs Sampling with an application to Stochastic Volatility Models**," Computing in Economics and Finance 1999 821, Society for Computational Economics. - Jonathan Hill, 1999.
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**Alpha-Stable Consistent Model Specification Tests for Heavy-Tailed Neural Networks Environments**," Computing in Economics and Finance 1999 1041, Society for Computational Economics. - Simone Manganelli & Robert F. Engle, 1999.
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**Modeling a Time-Varying Order Statistic**," Computing in Economics and Finance 1999 952, Society for Computational Economics. - Francesc Marmol & Juan J. Dolado, 1999.
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**Asymptotic Inference for Nonstationary Fractionally Integrated Processes**," Computing in Economics and Finance 1999 513, Society for Computational Economics. - Mark J. Jensen, 1999.
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**An Approximate Wavelet MLE of Short- and Long-Memory Parameters**," Computing in Economics and Finance 1999 1243, Society for Computational Economics. - Jose-Manuel Rey & Manuel MorĂ¡n, 1999.
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**A Formalism for the Dimensional Analysis of Time Series**," Computing in Economics and Finance 1999 1331, Society for Computational Economics. - Antonio Mele & Fabio Fornari, 1999.
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**Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis**," Computing in Economics and Finance 1999 912, Society for Computational Economics. - Philipp Sibbertsen, 1999.
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**S-Estimation in the Linear Regression Model with Long-Memory Error Terms**," Computing in Economics and Finance 1999 512, Society for Computational Economics. - Claudia Panseri & Giovanni Urga & Annalisa Cristini, 1999.
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**The Application of the Kalman Filter to the Fisher Equation: Italian and German Term Structure of Interest Rates**," Computing in Economics and Finance 1999 941, Society for Computational Economics. - Eric Jacquier & Nicholas G. Polson & Peter Rossi, 1999.
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**Stochastic Volatility: Univariate and Multivariate Extensions**," Computing in Economics and Finance 1999 112, Society for Computational Economics. - Nikolay Gospodinov, 1999.
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**Median Unbiased Forecasts for Highly Persistent Autoregressive Processes**," Computing in Economics and Finance 1999 533, Society for Computational Economics. - Kaushik Mitra & Seppo Honkapohja, 1999.
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**Learning with Bounded Memory in Stochastic Models**," Computing in Economics and Finance 1999 221, Society for Computational Economics. - Todd E. Clark & Michael McCracken, 1999.
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**Tests of Equal Forecast Accuracy and Encompassing for Nested Models**," Computing in Economics and Finance 1999 1241, Society for Computational Economics. - Antonio Mele & Fabio Fornari, 1999.
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**ARCH Models and Option Pricing: the Continuous-Time Connection**," Computing in Economics and Finance 1999 113, Society for Computational Economics.