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Report NEP-ETS-2006-10-14
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:
- Guglielmo Maria Caporale & Christoph Hanck, 2006, "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series, CESifo, number 1811.
- Richard G. Anderson & Hailong Qian & Robert H. Rasche, 2006, "Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators," Working Papers, Federal Reserve Bank of St. Louis, number 2006-050, DOI: 10.20955/wp.2006.050.
- William T. Gavin & Kevin L. Kliesen, 2006, "Forecasting inflation and output: comparing data-rich models with simple rules," Working Papers, Federal Reserve Bank of St. Louis, number 2006-054, DOI: 10.20955/wp.2006.054.
- Patrick J. Kehoe, 2006, "How to advance theory with structural VARs: use the Sims-Cogley-Nason approach," Staff Report, Federal Reserve Bank of Minneapolis, number 379, DOI: 10.21034/sr.379.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006, "Subsampling realised kernels," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W10, Aug.
- Fabio C. Bagliano & Claudio Morana, 2006, "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 28.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006, "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2006/25, Oct.
- Patrick Marsh, 2006, "Constructing Optimal Tests on a Lagged Dependent Variable," Discussion Papers, Department of Economics, University of York, number 06/19, Oct.
- Jun Yu & Renate Meyer, 2004, "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers, Singapore Management University, School of Economics, number 23-2004, Nov.
- B. da Silva Lopes, Artur C., 2005, "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper, University Library of Munich, Germany, number 125, Oct, revised May 2006.
- Basher, Syed A. & Westerlund, Joakim, 2006, "Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models," MPRA Paper, University Library of Munich, Germany, number 136.