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Report NEP-ETS-2009-06-10
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:
- Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009, "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,03.
- Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009, "MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,07.
- Breitung, Jörg & Eickmeier, Sandra, 2009, "Testing for structural breaks in dynamic factor models," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,05.
- Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009, "Structural Breaks in the International Transmission of Inflation," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 119.
- Yang K. Lu & Pierre Perron, 2008, "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-012, Sep.
- Pierre Perron & Yohei Yamamoto, 2008, "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-006, May.
- Pierre Perron & Zhongjun Qu, 2008, "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-004, Aug.
- Pierre Perron & Jing Zhou, 2008, "Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-011, Jul.
- Zhongjun Qu & Pierre Perron, 2008, "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-007, Jun.
- Pierre Perron & Yohei Yamamoto, 2008, "Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-017, Oct.
- Jing Zhou & Pierre Perron, 2008, "Testing for Breaks in Coefficients and Error Variance: Simulations and Applications," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-010, Jul.