Report NEP-ETS-2009-12-11This 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:
- D.S. Poskitt, 2009. "Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory," Monash Econometrics and Business Statistics Working Papers 12/09, Monash University, Department of Econometrics and Business Statistics.
- 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 09/09, Department of Economic Theory and Economic History of the University of Granada..
- Daisuke Nagakura, 2009. "Inconsistency of a Unit Root Test against Stochastic Unit Root Processes," IMES Discussion Paper Series 09-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
- Giordani, Paolo & Villani, Mattias, 2009. "Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction," Working Paper Series 234, Sveriges Riksbank (Central Bank of Sweden).
- Crowley, Patrick M, 2009. "How do you make a time series sing like a choir? Using the Hilbert-Huang transform to extract embedded frequencies from economic or financial time series," Research Discussion Papers 32/2009, .
- 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 2009_023, ULB -- Universite Libre de Bruxelles.
- Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Papers 2009-W12, Economics Group, Nuffield College, University of Oxford.
- Jouni Sohkanen & B. Nielsen, 2009. "Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends," Economics Papers 2009-W09, Economics Group, Nuffield College, University of Oxford.
- B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
- Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2009. "Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors," Working Paper Series 1115, European Central Bank.