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Report NEP-ETS-2004-08-16
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:
- Katsumi Shimotsu & Alex Maynard, 2004, "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 518, Aug.
- Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2004, "Purchasing power parity and the unit root tests: a robust analysis," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 552, Jul.
- Pilar Grau-Carles, 2004, "Test for long memory processes. A bootstrap approach," Computing in Economics and Finance 2004, Society for Computational Economics, number 111, Aug.
- Myunghwan Seo, 2004, "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 494, Aug.
- Denis Pelletier, 2004, "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 230, Aug.
- Alain Noullez & Alessandra Iacobucci, 2004, "A Frequency-selective Filter for Short-Length Time Series," Computing in Economics and Finance 2004, Society for Computational Economics, number 128, Aug.
- Sainan Jin & Peter Phillips & Yixiao Sun, 2004, "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 299, Aug.
- Yang Yang & Tae-Hwy Lee, 2004, "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 512, Aug.
- Stan Radchenko & Oleg Korenok, 2004, "The role of permanent and transitory components in business cycle volatility moderation," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 149, Aug.
- Aaron Smallwood, 2004, "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004, Society for Computational Economics, number 23, Aug.
- Joon Y. Park & Heetaik Chung, 2004, "Nonstationary Nonlinear Heteroskedasticity in Regression," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 508, Aug.
- Rodney W. Strachan & Herman K. van Dijk, 2004, "The Value of Structural Information in the VAR Model," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 45, Aug.
- Dietmar Maringer & Peter Winker, 2004, "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004, Society for Computational Economics, number 155, Aug.
- David Heath & Eckhard Platen, 2004, "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 128, Jun.
- Kirstin Hubrich, 2004, "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Computing in Economics and Finance 2004, Society for Computational Economics, number 230, Aug.
- Daniela Hristova, 2004, "Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices," Computing in Economics and Finance 2004, Society for Computational Economics, number 47, Aug.
- Peter C. B. Phillips & Chirok Han, 2004, "GMM with Many Moment Conditions," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 525, Aug.
- PeterTillmann, 2004, "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004, Society for Computational Economics, number 53, Aug.
- S. Manzan, 2004, "Nonlinear Mean Reversion in Stock Prices," Computing in Economics and Finance 2004, Society for Computational Economics, number 264, Aug.
- Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2004, "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Econometric Society 2004 Latin American Meetings, Econometric Society, number 198, Aug.
- Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2004, "Spurious and hidden volatility," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws042007, Jul.
- D.S.P Rao & Rambaldi & A.N., 2004, "A Constrained State-Space Approach to the Prediction of Comparable Real Income Across Countries," Econometric Society 2004 Australasian Meetings, Econometric Society, number 154, Aug.
- Robert Taylor & Peter Burridge, 2004, "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 125, Aug.
- Peter Vlaar & Ard den Reijer, 2004, "Forecasting inflation: An art as well as a science!," Computing in Economics and Finance 2004, Society for Computational Economics, number 148, Aug.
- Garland Durham, 2004, "Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 294, Aug.
- Rana Chatterjee, 2004, "Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: Evidence From The Uk And Germany," Computing in Economics and Finance 2004, Society for Computational Economics, number 346, Aug.
- Lennart F. Hoogerheide & Johan F. Kaashoek, 2004, "Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling," Computing in Economics and Finance 2004, Society for Computational Economics, number 74, Aug.