Report NEP-ETS-2004-07-18

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:

• Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005, "Estimating the Dynamics of Mutual Fund Alphas and Betas," Yale School of Management Working Papers, Yale School of Management, number ysm353, Mar, revised 01 Apr 2005.
• John C. Chao & Norman Rasmus Swanson, 2004, "Consistent Estimation with a Large Number of Weak Instruments," Yale School of Management Working Papers, Yale School of Management, number ysm374, Jul.
• Laurent Calvet & Adlai Fisher, 2003, "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers, National Bureau of Economic Research, Inc, number 9839, Jul.
• Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004, "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 561, Jul, revised 09 Nov 2004.
• Peter C.B. Phillips & Donggyu Sul, 2004, "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Yale School of Management Working Papers, Yale School of Management, number ysm428, Jul.
• Donald W.K. Andrews, 2004, "Cross-section Regression with Common Shocks," Yale School of Management Working Papers, Yale School of Management, number ysm401, Jul.
• David Berger & Ricardo J. Caballero & Eduardo Engel, 2003, "Missing Aggregate Dynamics: On the Slow Convergence of Lumpy Adjustment Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 9898, Aug.
• Peter C.B. Phillips & Donggyu Sul, 2004, "The Elusive Empirical Shadow of Growth Convergence," Yale School of Management Working Papers, Yale School of Management, number ysm342, Jul.
• Jaroslava HLOUSKOVA & Kurt SCHMIDHEINY & Martin WAGNER, 2004, "Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 04.10, Jun.
• Boriss Siliverstovs, 2003, "Unusual Behaviour of Dickey-Fuller Tests in the Presence of Trend Misspecification: Comment," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 389.
• Giovanni S.F. Bruno, 2004, "Approximating the bias of the LSDV estimator for dynamic panel data models," United Kingdom Stata Users' Group Meetings 2004, Stata Users Group, number 2, Jun.
• Chi-Young Choi & Nelson Mark & Donggyu Sul, 2004, "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 10614, Jul.
• John C. Chao & Norman Rasmus Swanson, 2004, "Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction," Yale School of Management Working Papers, Yale School of Management, number ysm375, Jul.
• Jonathan B. Hill, 2004, "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics, University Library of Munich, Germany, number 0407013, Jul, revised 15 Feb 2006.
• Donald J. Brown, 2004, "Tests of Independence in Separable Econometric Models," Yale School of Management Working Papers, Yale School of Management, number ysm329, Jul.
• Peter C.B. Phillips & Hyungsik Roger Moon & Benoit Perron, 2004, "Incidental Trends and the Power of Panel Unit Root Tests," Yale School of Management Working Papers, Yale School of Management, number ysm414, Jul.
• John Y. Campbell & Motohiro Yogo, 2003, "Efficient Tests of Stock Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 10026, Oct.
• Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2004, "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 10616, Jul.
• Peter C.B. Phillips & Chi-Young Choi & Donggyu Sul, 2004, "Prewhitening Bias in HAC Estimation," Yale School of Management Working Papers, Yale School of Management, number ysm426, Jul.
• Peter C.B. Phillips & Sainan Jin & Yixiao Sun, 2004, "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Yale School of Management Working Papers, Yale School of Management, number ysm347, Jul.
• Peter C.B. Phillips & Sainan Jin & Yixiao Sun, 2004, "Long Run Variance Estimation Using Steep Origin Kernels Without Truncation," Yale School of Management Working Papers, Yale School of Management, number ysm427, Jul.
• Donald W.K. Andrews & Jae-Young Kim, 2004, "End-of-Sample Cointegration Breakdown Tests," Yale School of Management Working Papers, Yale School of Management, number ysm344, Jul.
• Michael W. Brandt & Francis X. Diebold, 2003, "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," NBER Working Papers, National Bureau of Economic Research, Inc, number 9664, May.

Report NEP-ETS-2004-07-18

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: