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Report NEP-ETS-2004-08-09
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:
- Daniel L. Thornton, 2005, "Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates," Working Papers, Federal Reserve Bank of St. Louis, number 2004-010, DOI: 10.20955/wp.2004.010.
- James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2004, "Normalization in econometrics," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-13.
- Hsiao, Cheng & Pesaran, M. Hashem, 2004, "Random Coefficient Panel Data Models," IZA Discussion Papers, Institute of Labor Economics (IZA), number 1236, Aug.
- Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006, "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers, Federal Reserve Bank of St. Louis, number 2003-024, DOI: 10.20955/wp.2003.024.
- Christopher A. Sims & Tao Zha, 2004, "Were there regime switches in U.S. monetary policy?," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-14.
- Lucio Sarno & Daniel L. Thornton, 2003, "The efficient market hypothesis and identification in structural VARs," Working Papers, Federal Reserve Bank of St. Louis, number 2003-032, DOI: 10.20955/wp.2003.032.
- Michael J. Dueker & Christopher J. Neely, 2006, "Can Markov switching models predict excess foreign exchange returns?," Working Papers, Federal Reserve Bank of St. Louis, number 2001-021, DOI: 10.20955/wp.2001.021.
- Michel Normandin & Louis Phaneuf, 2003, "Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 03-04, Oct.
- Kaushik Mitra, 2004, "Is more data better?," Royal Holloway, University of London: Discussion Papers in Economics, Department of Economics, Royal Holloway University of London, number 04/19, Jul, revised Jul 2004.
- Christopher A. Sims & Tao Zha, 2004, "MCMC method for Markov mixture simultaneous-equation models: a note," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-15.
- Todd E. Clark & Kenneth D. West, 2004, "Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 04-03.
- James M. Nason & Byron G. Scott & Elizabeth C. Wakerly, 2004, "Common trends and common cycles in Canada: who knew so much has been going on?," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-5.
- Stanislav Radchenko, 2004, "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics, University Library of Munich, Germany, number 0408001, Aug.