Printed from https://ideas.repec.org/n/nep-ets/2005-03-13.html
Report NEP-ETS-2005-03-13
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:
- Roger Hammersland, 2004, "Large T and small N : A three-step approach to the identification of cointegrating relationships in time series models with a small cross-sectional dimension," Working Paper, Norges Bank, number 2004/15, Nov.
- Pesaran, M.H. & Yamagata. T., 2005, "Testing Slope Homogeneity in Large Panels," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0513, Mar.
- Jean-Marie Dufour & Tarek Jouini, 2005, "Asymptotic distribution of a simple linear estimator for VARMA models in echelon form," CIRANO Working Papers, CIRANO, number 2005s-06, Feb.
- Anthony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 1998, "A structural cointegrating VAR approach to macroeconometric modelling," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 8, Oct.
- Michel Normandin, 2004, "Econometric Inference, Cyclical Fluctuations, and Superior Information," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 04-13, Dec.
- Jeroen V.K. Rombouts & Marno Verbeek, 2004, "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 04-14, Dec.
- Angela Huang, 2004, "Examining finite-sample problems in the application of cointegration tests for long-run bilateral exchange rates," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP 2004/08, Oct.
- Nabyl Belgrade, 2004, "Market inflation seasonality management," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b04051, Apr.
- John Stachurski & Cuong Le Van, 2004, "Parametric continuity of stationary distributions," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b04059, Jun.
- Cuong Le Van & John Stachurski, 2004, "Equivalent conditions for irreducibility of discrete time Markov chains," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b04061, Jun.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005, "Volatility Forecasting," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 05-011, Feb.