Report NEP-ETS-2007-05-19This 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.
The following items were announced in this report:
- Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0657, Faculty of Economics, University of Cambridge.
- DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0660, Faculty of Economics, University of Cambridge.
- Pagan, A. & Pesaran, M.H., 2007. "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables," Cambridge Working Papers in Economics 0662, Faculty of Economics, University of Cambridge.
- Badi H. Baltagi & Chihwa Kao & Long Liu, 2007. "Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors: The Case of Stationary and Non-Stationary Regressors and Residuals," Center for Policy Research Working Papers 93, Center for Policy Research, Maxwell School, Syracuse University.
- Ashton de Silva & Rob J. Hyndman & Ralph D. Snyder, 2007. "The vector innovation structural time series framework: a simple approach to multivariate forecasting," Monash Econometrics and Business Statistics Working Papers 3/07, Monash University, Department of Econometrics and Business Statistics.
- Ana Beatriz Galv�o, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
- W. Robert Reed & Haichun Ye, 2007. "A Monte Carlo Evaluation of Some Common Panel Data Estimators when Serial Correlation and Cross-sectional Dependence are Both Present," Working Papers in Economics 07/01, University of Canterbury, Department of Economics and Finance.
- Wagner, Martin & Hlouskova, Jaroslava, 2007. "The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study," Economics Series 210, Institute for Advanced Studies.
- Mika Meitz & Pentti Saikkonen, 2007. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Economics Series Working Papers 327, University of Oxford, Department of Economics.
- Mika Meitz & Pentti Saikkonen, 2007. "Stability of nonlinear AR-GARCH models," Economics Series Working Papers 328, University of Oxford, Department of Economics.
- Item repec:ven:wpaper:03_07 is not listed on IDEAS anymore
- Chihying, Hsiao & Chen, Pu, 2007. "Learning Causal Relations in Multivariate Time Series Data," Economics Discussion Papers 2007-15, Kiel Institute for the World Economy.
- Westerlund, Joakim & Basher, Syed A., 2007. "Mixed Signals Among Tests for Panel Cointegration," MPRA Paper 3261, University Library of Munich, Germany.