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Report NEP-ETS-2006-08-05
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:
- Greg Tkacz & Carolyn A. Wilkins, 2006, "Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices," Staff Working Papers, Bank of Canada, number 06-25, DOI: 10.34989/swp-2006-25.
- Yi Zheng & James Rossiter, 2006, "Using Monthly Indicators to Predict Quarterly GDP," Staff Working Papers, Bank of Canada, number 06-26, DOI: 10.34989/swp-2006-26.
- Antonio Diez de los Rios, 2006, "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Staff Working Papers, Bank of Canada, number 06-27, DOI: 10.34989/swp-2006-27.
- Kit Baum, 2006, "Time series filtering techniques in Stata," North American Stata Users' Group Meetings 2006, Stata Users Group, number 2, Jul.
- Kapetanios, G. & Pesaran, M.H. & Yamagata, T., 2006, "Panels with Nonstationary Multifactor Error Structures," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0651, Aug.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006, "Modelling Structural Breaks in the US, UK and Japanese Unemployment Rates," CESifo Working Paper Series, CESifo, number 1734.
- Carlo Altavilla & Paul De Grauwe, 2006, "Forecasting and Combining Competing Models of Exchange Rate Determination," CESifo Working Paper Series, CESifo, number 1747.
- Robert W. Rich & Joseph Tracy, 2006, "The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts," Staff Reports, Federal Reserve Bank of New York, number 253, Jul.
- Tobias Adrian & Joshua V. Rosenberg, 2006, "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports, Federal Reserve Bank of New York, number 254.
- Item repec:imf:imfwpa:06/122 is not listed on IDEAS anymore
- Item repec:imf:imfwpa:06/159 is not listed on IDEAS anymore
- Item repec:imf:imfwpa:06/59 is not listed on IDEAS anymore
- Item repec:pas:camaaa:2006-18 is not listed on IDEAS anymore
- Bertrand Candelon & Gianluca Cubadda, 2006, "Testing for Parameter Stability in Dynamic Models Across Frequencies," CEIS Research Paper, Tor Vergata University, CEIS, number 82, May.
- Tommaso Proietti, 2006, "Measuring Core Inflation by Multivariate Structural Time Series Models," CEIS Research Paper, Tor Vergata University, CEIS, number 83, May.
- Tommaso Proietti, 2006, "On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," CEIS Research Paper, Tor Vergata University, CEIS, number 84, May.
- Masayuki Hirukawa, 2006, "A Two-Stage Plug-In Bandwidth Selection and Its Implementation for Covariance Estimation," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-431, Jun.
- Alicia Pérez Alonso, 2006, "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-18, Jul.
- Schumacher, Christian, 2005, "Forecasting German GDP using alternative factor models based on large datasets," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,24.
- Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005, "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,30.
- Breitung, Jörg & Eickmeier, Sandra, 2005, "Dynamic factor models," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,38.
- Breitung, Jörg & Pesaran, Mohammad Hashem, 2005, "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,42.
- Scharff, Juliane & Nautz, Dieter, 2006, "Inflation and relative price variability in the euro area: evidence from a panel threshold model," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,14.
- Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2006, "Forecasting stock market volatility with macroeconomic variables in real time," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2006,01.
- Jung, Robert & Kukuk, Martin & Liesenfeld, Roman, 2005, "Time Series of Count Data: Modelling and Estimation," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-08.
- Drescher, Daniel, 2005, "Alternative distributions for observation driven count series models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-11.
- Herwartz, Helmut & Xu, Fang, 2006, "Reviewing the sustainability/stationarity of current account imbalances with tests for bounded integration," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-07.