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Report NEP-ETS-2007-05-12
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:
- Gary Koop & Simon M. Potter, 2007, "A flexible approach to parametric inference in nonlinear time series models," Staff Reports, Federal Reserve Bank of New York, number 285.
- Ralph D. Snyder & Gael M. Martin & Phillip Gould & Paul D. Feigin, 2007, "An Assessment of Alternative State Space Models for Count Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/07, May.
- Alfred A Haug & Christie Smith, 2007, "Local linear impulse responses for a small open economy," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2007/09, Apr.
- Item repec:pse:psecon:2007-11 is not listed on IDEAS anymore
- Christian Gillitzer & Jonathan Kearns, 2007, "Forecasting with Factors: The Accuracy of Timeliness," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2007-03, Apr.
- Francesco Audrino & Peter Bühlmann, 2007, "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-11, Apr.
- Renee Fry & Adrian Pagan, 2007, "Some Issues in Using Sign Restrictions for Identifying Structural VARs," NCER Working Paper Series, National Centre for Econometric Research, number 14, Apr.
- Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2007, "True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2007-06.
- Herwartz, Helmut, 2007, "A note on model selection in (time series) regression models - General-to-specific or specific-to-general?," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2007-09.
- Kilin, Fiodar, 2006, "Accelerating the calibration of stochastic volatility models," MPRA Paper, University Library of Munich, Germany, number 2975, Dec, revised 22 Apr 2007.
- Item repec:pra:mprapa:3002 is not listed on IDEAS anymore
- Albu, Lucian-Liviu, 2006, "Non-linear models: applications in economics," MPRA Paper, University Library of Munich, Germany, number 3100.
- Di Iorio, Francesca & Fachin, Stefano, 2007, "Cointegration testing in dependent panels with breaks," MPRA Paper, University Library of Munich, Germany, number 3139, May.
- Vanessa Berenguer-Rico & Josep Lluís Carrion-i-Silvestre, 2007, "Multicointegration, polynomial cointegration and I(2) cointegration with structural breaks. An application to the sustainability of the US external deficit," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 200709, May, revised May 2007.
- Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007, "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 200710, May, revised May 2007.
- Jun Ma, 2006, "A Closed-Form Asymptotic Variance-Covariance Matrix for the Maximum Likelihood Estimator of the GARCH(1,1) Model," Working Papers, University of Washington, Department of Economics, number UWEC-2006-11-R, Oct, revised Oct 2006.
- Jun Ma & Charles Nelson & Richard Startz, 2007, "Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified," Working Papers, University of Washington, Department of Economics, number UWEC-2006-14-P, Mar, revised Mar 2007.
- Item repec:udb:wpaper:uwec-2006-16 is not listed on IDEAS anymore
- Ying Gu & Eric Zivot, 2006, "A Comparison of Univariate Stochastic Volatility Models for U.S. Short Rates Using EMM Estimation," Working Papers, University of Washington, Department of Economics, number UWEC-2006-17, Aug.