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Report NEP-ETS-2006-10-28
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:
- Item repec:cep:stiecm:/2006/502 is not listed on IDEAS anymore
- Item repec:cep:stiecm:/2006/503 is not listed on IDEAS anymore
- Item repec:cep:stiecm:/2006/504 is not listed on IDEAS anymore
- Item repec:cep:stiecm:/2006/505 is not listed on IDEAS anymore
- Item repec:cep:stiecm:/2006/506 is not listed on IDEAS anymore
- Item repec:cep:stiecm:/2006/509 is not listed on IDEAS anymore
- Stanislav Anatolyev, 2005, "Optimal Instruments in Time Series: A Survey," Working Papers, Center for Economic and Financial Research (CEFIR), number w0069, Oct.
- Stanislav Anatolyev, 2006, "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers, Center for Economic and Financial Research (CEFIR), number w0071, Aug.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006, "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5724, Jun.
- Reichlin, Lucrezia & Giannone, Domenico, 2006, "Does Information Help Recovering Structural Shocks from Past Observations?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5725, Jun.
- Benati, Luca, 2006, "Drift and Breaks in Labour Productivity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5801, Aug.
- Reichlin, Lucrezia & Giannone, Domenico & De Mol, Christine, 2006, "Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5829, Sep.
- Ruiz Ortega, Esther & Veiga, Helena, 2006, "Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws066016, Oct.
- Ke-Li Xu & Peter C.B. Phillips, 2006, "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1585, Oct.
- Offer Lieberman & Peter C.B. Phillips, 2006, "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1586, Oct.
- Chang Sik Kim & Peter C.B. Phillips, 2006, "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1587, Oct.
- José Fajardo & Ernesto Mordecki, 2006, "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2006-04, Oct.
- Tatsuma Wada & Pierre Perron, 2005, "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-44, Oct.