Report NEP-ETS-2002-07-08

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• da Silva Lopes, Artur C. B., 2002. "The Order of Integration for Quarterly Macroeconomic Time series: a Simple Testing Strategy," Royal Economic Society Annual Conference 2002 55, Royal Economic Society.
• Granger, Clive W.J. & Gawon Yoon, 2002. "Hidden Cointegration," Royal Economic Society Annual Conference 2002 92, Royal Economic Society.
• Wallis, Kenneth F., 2002. "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," Royal Economic Society Annual Conference 2002 181, Royal Economic Society.
• Kapetanios, George & Simon Price, 2002. "Estimation and Inference in a Non-Linear State Space Model: Durable Consumption," Royal Economic Society Annual Conference 2002 110, Royal Economic Society.
• Clarida, Richard H. & Mark P. Taylor, 2002. "Nonlinear Permanent -Temporary Decompositions in Macroeconomics and Finance," Royal Economic Society Annual Conference 2002 51, Royal Economic Society.
• Sugita, Katsuhiro, 2002. "Testing for Cointegration Rank Using Bayes Factors," Royal Economic Society Annual Conference 2002 171, Royal Economic Society.
• Hendry, David F & Michael P. Clements, 2002. "Economic Forecasting: Some Lessons from Recent Research," Royal Economic Society Annual Conference 2002 99, Royal Economic Society.
• Sarno, Lucio & Giorgio Valente, 2002. "Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Royal Economic Society Annual Conference 2002 160, Royal Economic Society.
• Taylor, Nicholas, 2002. "Autoregressive hidden Markov switching\\models of count data," Royal Economic Society Annual Conference 2002 174, Royal Economic Society.
• Banerjee, Anindya & Massimiliano Marcellino & Chiara Osbat, 2002. "Testing for PPP: Should We Use Panel Methods?," Royal Economic Society Annual Conference 2002 13, Royal Economic Society.
• Lee, Young-Sook, 2002. "Intraday Predictability of Overnight Interest Rates," Royal Economic Society Annual Conference 2002 122, Royal Economic Society.
• Aslanidis, Nektarios & Denise R. Osborn & Marianne Sensier, 2002. "Smooth Transition Regression Models in UK Stock Returns," Royal Economic Society Annual Conference 2002 11, Royal Economic Society.
• Sensier, Marianne & Dick van Dijk, 2002. "Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series," Royal Economic Society Annual Conference 2002 164, Royal Economic Society.
• Matas-Mir, Antoni & Denise R Osborn, 2002. "Does Seasonality Change over the Business Cycle? An Investigation using Monthly Industrial Production Series," Royal Economic Society Annual Conference 2002 139, Royal Economic Society.
• Garratt, Anthony & Kevin Lee & M Hashem Pesaran & Yongcheol Shin, 2002. "Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy," Royal Economic Society Annual Conference 2002 82, Royal Economic Society.
• Galv“o, Ana Beatriz C., 2002. "Structural Breaks and Non-Linearities for Predicting the Probability of US Recessions using the Spread," Royal Economic Society Annual Conference 2002 78, Royal Economic Society.