Report NEP-ETS-2008-07-05This 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:
- Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," CREATES Research Papers 2008-36, Department of Economics and Business Economics, Aarhus University.
- Dennis Kristensen, 2008. "Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data," CREATES Research Papers 2008-37, Department of Economics and Business Economics, Aarhus University.
- D.S.G. Pollock, 2008. "IDEOLOG: A Program for Filtering Econometric Data - A Synopsis of Alternative Methods," Discussion Papers in Economics 08/21, Division of Economics, School of Business, University of Leicester.
- James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc.
- Nikolay Gospodinov & Masayuki Hirukawa, 2008. "Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes," CIRJE F-Series CIRJE-F-573, CIRJE, Faculty of Economics, University of Tokyo.
- Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch, 2008. "Measuring and Modeling Risk Using High-Frequency Data," SFB 649 Discussion Papers SFB649DP2008-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.