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Report NEP-ETS-2009-12-11
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:
- D.S. Poskitt, 2009, "Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/09, Nov.
- Carlos Sánchez-González & Tere M. García-Muñoz, 2009, "Recursive linear estimation for discrete time systems in the presence of different multiplicative observation noises," ThE Papers, Department of Economic Theory and Economic History of the University of Granada., number 09/09, Nov.
- Daisuke Nagakura, 2009, "Inconsistency of a Unit Root Test against Stochastic Unit Root Processes," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 09-E-23, Oct.
- Giordani, Paolo & Villani, Mattias, 2009, "Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 234, Oct.
- Item repec:hhs:bofrdp:2009_032 is not listed on IDEAS anymore
- Item repec:dgr:eureir:1765017303 is not listed on IDEAS anymore
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009, "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2009_023.
- Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009, "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W12, Oct.
- Jouni Sohkanen & B. Nielsen, 2009, "Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W09, Aug.
- B. Nielsen, 2009, "Test for cointegration rank in general vector autoregressions," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W10, Sep.
- Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2009, "Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors," Working Paper Series, European Central Bank, number 1115, Nov.