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 Mastodon, or Bluesky.

Other reports in NEP-ETS

The following items were announced in this report:

• Mehmet Caner & Lutz Kilian, 1999, "Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for Applied Work," Computing in Economics and Finance 1999, Society for Computational Economics, number 511, Mar.
• Christopher T. Downing, 1999, "Nonparametric Estimation of Multifactor Continuous Time Interest-Rate Models," Computing in Economics and Finance 1999, Society for Computational Economics, number 111, Mar.
• Pieter J. van der Sluis & George J. Jiang, 1999, "Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection," Computing in Economics and Finance 1999, Society for Computational Economics, number 313, Mar.
• J. H. Chesnut, 1999, "Regional Variations in Median Household Income: a Neural Network Approach," Computing in Economics and Finance 1999, Society for Computational Economics, number 641, Mar.
• Stephen G. Hall & Jennifer V. Greenslade & S. G. Brian Henry, 1999, "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, Society for Computational Economics, number 643, Mar.
• Item repec:boc:bococf:312 is not listed on IDEAS anymore

• Michel Juillard & Fabrice Collard, 1999, "Stochastic Simulations of a Non-Linear Phillips Curve Model," Computing in Economics and Finance 1999, Society for Computational Economics, number 144, Mar.
• Maria Odejar, 1999, "Bayesian Analysis of the Stochastic Switching Regression Model Using Markov Chain Monte Carlo Methods," Computing in Economics and Finance 1999, Society for Computational Economics, number 822, Mar.
• Romulo A. Chumacero, 1999, "Estimating Stationary ARMA Models Efficiently," Computing in Economics and Finance 1999, Society for Computational Economics, number 1333, Mar.
• Theophile Azomahou, 1999, "Estimation of Spatial Panel-Data Models Using a Minimum-Distance Estimator," Computing in Economics and Finance 1999, Society for Computational Economics, number 1322, Mar.
• Esben P. Hoeg, 1999, "Estimation and Computation of Long-Memory Continuous-Time Models," Computing in Economics and Finance 1999, Society for Computational Economics, number 1242, Mar.
• Filippo Altissimo, 1999, "Change of Measure in Monte Carlo Integration via Gibbs Sampling with an application to Stochastic Volatility Models," Computing in Economics and Finance 1999, Society for Computational Economics, number 821, Mar.
• Jonathan Hill, 1999, "Alpha-Stable Consistent Model Specification Tests for Heavy-Tailed Neural Networks Environments," Computing in Economics and Finance 1999, Society for Computational Economics, number 1041, Mar.
• Simone Manganelli & Robert F. Engle, 1999, "Modeling a Time-Varying Order Statistic," Computing in Economics and Finance 1999, Society for Computational Economics, number 952, Mar.
• Francesc Marmol & Juan J. Dolado, 1999, "Asymptotic Inference for Nonstationary Fractionally Integrated Processes," Computing in Economics and Finance 1999, Society for Computational Economics, number 513, Mar.
• Mark J. Jensen, 1999, "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Computing in Economics and Finance 1999, Society for Computational Economics, number 1243, Mar.
• Jose-Manuel Rey & Manuel Morán, 1999, "A Formalism for the Dimensional Analysis of Time Series," Computing in Economics and Finance 1999, Society for Computational Economics, number 1331, Mar.
• Antonio Mele & Fabio Fornari, 1999, "Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis," Computing in Economics and Finance 1999, Society for Computational Economics, number 912, Mar.
• Philipp Sibbertsen, 1999, "S-Estimation in the Linear Regression Model with Long-Memory Error Terms," Computing in Economics and Finance 1999, Society for Computational Economics, number 512, Mar.
• Claudia Panseri & Giovanni Urga & Annalisa Cristini, 1999, "The Application of the Kalman Filter to the Fisher Equation: Italian and German Term Structure of Interest Rates," Computing in Economics and Finance 1999, Society for Computational Economics, number 941, Mar.
• Eric Jacquier & Nicholas G. Polson & Peter Rossi, 1999, "Stochastic Volatility: Univariate and Multivariate Extensions," Computing in Economics and Finance 1999, Society for Computational Economics, number 112, Mar.
• Nikolay Gospodinov, 1999, "Median Unbiased Forecasts for Highly Persistent Autoregressive Processes," Computing in Economics and Finance 1999, Society for Computational Economics, number 533, Mar.
• Kaushik Mitra & Seppo Honkapohja, 1999, "Learning with Bounded Memory in Stochastic Models," Computing in Economics and Finance 1999, Society for Computational Economics, number 221, Mar.
• Todd E. Clark & Michael McCracken, 1999, "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999, Society for Computational Economics, number 1241, Mar.
• Antonio Mele & Fabio Fornari, 1999, "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999, Society for Computational Economics, number 113, Mar.

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 Mastodon, or Bluesky.

Other reports in NEP-ETS

The following items were announced in this report: