Report NEP-ETS-2010-02-05

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• David Hendry & Grayham E. Mizon, 2010. "Econometric Modelling of Changing Time Series," Economics Series Working Papers 475, University of Oxford, Department of Economics.
• Item repec:oxf:wpaper:470 is not listed on IDEAS anymore

• Jennifer Castle & David Hendry, 2010. "A Low-Dimension Portmanteau Test for Non-linearity," Economics Series Working Papers 471, University of Oxford, Department of Economics.
• Neil Shephard & Thomas Flury, 2009. "Learning and filtering via simulation: smoothly jittered particle filters," Economics Series Working Papers 469, University of Oxford, Department of Economics.
• Ba Chu & Roman Kozhan, 2009. "Spurious Regressions of Stable AR(p) Processes with Structural Breaks," Working Papers wp09-04, Warwick Business School, Finance Group.
• Ingmar Nolte & Valeri Voev, 2009. "Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise," Working Papers wp09-02, Warwick Business School, Finance Group.
• Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Testing for unit roots in the presence of a possible break in trend and non-stationary volatility," Discussion Papers 09/05, University of Nottingham, Granger Centre for Time Series Econometrics.
• Markus Reiss, 2010. "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," Papers 1001.3006, arXiv.org.
• B. Kaulakys & M. Alaburda & V. Gontis, 2010. "Point Processes Modeling of Time Series Exhibiting Power-Law Statistics," Papers 1001.2639, arXiv.org.
• Bence Toth & Fabrizio Lillo & J. Doyne Farmer, 2010. "Segmentation algorithm for non-stationary compound Poisson processes," Papers 1001.2549, arXiv.org, revised Feb 2011.