Report NEP-ETS-2005-12-20

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Whitney K. Newey & Frank Windmeijer, 2005, "GMM with many weak moment conditions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP18/05, Dec.
• Jushan Bai & Chihwa Kao, 2005, "On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 75, Dec.
• Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005, "The Myth of Long-Horizon Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 11841, Dec.
• Yuriy Gorodnichenko, 2005, "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics, University Library of Munich, Germany, number 0512011, Dec.
• Joao Amaro de Matos & Marcelo Fernandes, 2004, "Testing the Markov property with ultra-high frequency financial data," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp462.