Printed from https://ideas.repec.org/n/nep-ets/2006-01-24.html
Report NEP-ETS-2006-01-24
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:
- Niels Haldrup & Andreu Sansó, 2006, "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-01, Jan.
- Frédérick Demers & Annie De Champlain, 2005, "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Staff Working Papers, Bank of Canada, number 05-44, DOI: 10.34989/swp-2005-44.
- Arup Bose, 2006, "Bootstrapping a linear estimator of the ARCH parameters," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2006-03.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramíre & Thomas J. Sargent, 2006, "Economic and VAR Shocks: What Can Go Wrong?," Levine's Bibliography, UCLA Department of Economics, number 122247000000000990, Dec.
- Lobato, Ignacio N. & Velasco, Carlos, 2005, "Efficient wald tests for fractional unit roots," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number we056935, Nov.
- Veiga, Helena, 2006, "Are feedback factors important in modelling financial data?," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws060101, Jan.
- Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2006, "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1545, Jan.
- Peter C. B. Phillips & Chirok Han, 2006, "Gaussian Inference in AR(1) Time Series with or without a Unit Root," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1546, Jan.
- Peter C. B. Phillips, 2006, "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1547, Jan.
- Offer Lieberman & Peter C. B. Phillips, 2006, "Refined Inference on Long Memory in Realized Volatility," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1549, Jan.
- Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006, "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1550, Jan.
- Item repec:dgr:uvatin:20050076 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:20050081 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:20050086 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:20050091 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:20050092 is not listed on IDEAS anymore
- Item repec:dgr:uvatin:20050117 is not listed on IDEAS anymore
- Item repec:hal:papers:halshs-00007801_v1 is not listed on IDEAS anymore
- Shiohama, Takayuki, 2006, "Asymptotically efficient estimation of the change point for semiparametric GARCH models," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number a471, Jan.
- Viviana Fernandez, 2005, "Structural Breakpoints in Volatility in International Markets," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp076, Dec.
- George Athanasopoulos & Farshid Vahid, 2006, "A Complete VARMA Modelling Methodology Based on Scalar Components," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/06, Jan.
- Rob J Hyndman & Muhammad Akram, 2006, "Some Nonlinear Exponential Smoothing Models are Unstable," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/06, Jan.
- Item repec:nus:nusewp:wp0514 is not listed on IDEAS anymore
- Item repec:scp:wpaper:05-43 is not listed on IDEAS anymore
- Luis Alberiko Gil-Alana, 2005, "Structural Change and the Order of Integration in Univariate Time Series," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 20/05, Nov.
- Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2006, "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2006-01, Jan.