Report NEP-ETS-2004-05-02This 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:
- Allan Timmermann & M. Hashem Pesaran, 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," CESifo Working Paper Series 990, CESifo Group Munich.
- Xibin Zhang & Maxwell L. King & Rob J. Hyndman, 2004. "Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC," Monash Econometrics and Business Statistics Working Papers 9/04, Monash University, Department of Econometrics and Business Statistics.
- M. Hashem Pesaran, 2003. "Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence," CESifo Working Paper Series 869, CESifo Group Munich.
- Ioannis A. Venetis & Agustin Duarte & Ivan Paya, 2004. "The long memory story of ex post real interest rates. Can it be supported?," Econometrics 0404004, EconWPA.
- D.S. Poskitt & Jing Zhang, 2004. "Estimating Components in Finite Mixtures and Hidden Markov Models," Monash Econometrics and Business Statistics Working Papers 10/04, Monash University, Department of Econometrics and Business Statistics.