Report NEP-ETS-2010-06-11This 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:
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "Likelihood inference for a fractionally cointegrated vector autoregressive model," CREATES Research Papers 2010-24, School of Economics and Management, University of Aarhus.
- Alexander Strasak & Nikolaus Umlauf & Ruth Pfeiffer & Stefan Lang, 2010. "Comparing Penalized Splines and Fractional Polynomials for Flexible Modelling of the Effects of Continuous Predictor Variables," Working Papers 2010-11, Faculty of Economics and Statistics, University of Innsbruck.
- Item repec:hal:wpaper:hal-00409861_v2 is not listed on IDEAS anymore
- Melvin. J. Hinich & Phillip Wild & John Foster, 2010. "Testing for the Existence of a Generalized Wiener Process- the Case of Stock Prices," Discussion Papers Series 408, School of Economics, University of Queensland, Australia.
- Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "Combining Non-Replicable Forecasts," Working Papers in Economics 10/35, University of Canterbury, Department of Economics and Finance.
- Seungmoon Choi, 2010. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics Working Papers 2010-11, University of Adelaide, School of Economics.
- Jia Chen & Jiti Gao & Degui Li, 2010. "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," School of Economics Working Papers 2010-10, University of Adelaide, School of Economics.
- Degui Li & Jia Chen & Jiti Gao, 2010. "Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects," School of Economics Working Papers 2010-08, University of Adelaide, School of Economics.
- Hyeongwoo Kim & Nazif Durmaz, 2010. "Bias Correction and Out-of-Sample Forecast Accuracy," Auburn Economics Working Paper Series auwp2010-02, Department of Economics, Auburn University.
- Waldyr Dutra Areosa & Michael McAleer & Marcelo Cunha Medeiros, 2010. "Moment-based estimation of smooth transition regression models with endogenous variables," Textos para discussão 571, Department of Economics PUC-Rio (Brazil).
- Francesco Audrino & Marcelo Cunha Medeiros, 2010. "Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging," Textos para discussão 570, Department of Economics PUC-Rio (Brazil).
- Tsunehiro Ishihara & Yasuhiro Omori, 2010. "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors," CIRJE F-Series CIRJE-F-746, CIRJE, Faculty of Economics, University of Tokyo.
- A. Carriero & G. Kapetanios & M. Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Economics Working Papers ECO2010/17, European University Institute.
- Òscar Jordà & Malte Knüppel & Massimiliano Marcellino, 2010. "Empirical Simultaneous Confidence Regions for Path-Forecasts," Economics Working Papers ECO2010/18, European University Institute.