Report NEP-ETS-2000-07-03This 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.
The following items were announced in this report:
- Kichian, Maral, 2000. "GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide," Working Papers 00-2, Bank of Canada.
- Wouter J. den Haan & Andrew T. Levin, 2000. "Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order," NBER Technical Working Papers 0255, National Bureau of Economic Research, Inc.
- James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
- Tkacz, Greg, 2000. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Working Papers 00-5, Bank of Canada.
- Kenneth D. West, 2000. "Encompassing Tests When No Model Is Encompassing," NBER Technical Working Papers 0256, National Bureau of Economic Research, Inc.
- Tkacz, Greg, 2000. "Non-Parametric and Neural Network Models of Inflation Changes," Working Papers 00-7, Bank of Canada.