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Report NEP-ETS-2007-06-11
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:chf:rpseri:rp03 is not listed on IDEAS anymore
- Alastair R. Hall & Atsushi Inoue & James M. Nason & Barbara Rossi, 2007, "Information criteria for impulse response function matching estimation of DSGE models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2007-10.
- Giampiero Gallo & Margherita Velucchi, 2007, "On the Interaction between Ultra–high Frequency Measures of Volatility," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2007_01, May.
- Christian T. Brownlees & Giampiero Gallo, 2007, "Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2007_02, May.
- Teräsvirta, Timo & Zhao, Zhenfang, 2007, "Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 662, Jun, revised 01 Aug 2007.
- Robert M. de Jong & Tiemen Woutersen, 2007, "Dynamic time series binary choice," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 538, Jun.
- Badi H. Baltagi & Georges Bresson & Alain Pirotte, 2006, "Panel Unit Root Tests and Spatial Dependence," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 88, Dec.
- Gael M. Martin & Andrew Reidy & Jill Wright, 2007, "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/07, Jun.
- Item repec:qmw:qmwecw:wp601 is not listed on IDEAS anymore
- Item repec:qmw:qmwecw:wp602 is not listed on IDEAS anymore
- Michael McAller & Marcelo C. Medeiros, 2007, "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 544, Apr.
- Arvid Raknerud & Terje Skjerpen & Anders Rygh Swensen, 2007, "Forecasting key macroeconomic variables from a large number of predictors: A state space approach," Discussion Papers, Statistics Norway, Research Department, number 504, May.
- Qian Chen & David E. Giles, 2007, "A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle," Econometrics Working Papers, Department of Economics, University of Victoria, number 0703, May.
- Paul Turner, 2007, "Testing for cointegration using the Johansen approach: Are we using the correct critical values?," Discussion Paper Series, Department of Economics, Loughborough University, number 2007_12, May, revised May 2007.
- Theodoridis, Konstantinos, 2007, "Dynamic Stochastic General Equilibrium (DSGE) Priors for Bayesian Vector Autoregressive (BVAR) Models: DSGE Model Comparison," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2007/15, Jun.