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Report NEP-ETS-2010-07-17
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:
- Fulvio Corsi & Davide Pirino & Roberto Reno', 2010, "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2010/11, Jul.
- Tomás del Barrio Castro & Denise R. Osborn, 2010, "HEGY Tests in the Presence of Moving Averages," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 42.
- Michael P. Keane & Robert M. Sauer, 2010, "A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables," Working Papers, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, number 1008, Jul, revised 05 Jul 2010.
- Katarzyna Maciejowska, 2010, "Common factors in nonstationary panel data with a deterministic trend - estimation and distribution theory," Economics Working Papers, European University Institute, number ECO2010/28.
- Katarzyna Maciejowska, 2010, "Estimation methods comparison of SVAR model with the mixture of two normal distributions - Monte Carlo analysis," Economics Working Papers, European University Institute, number ECO2010/27.
- Nyberg, Henri, 2010, "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper, University Library of Munich, Germany, number 23724, Apr.
- Lanne, Markku & Saikkonen, Pentti, 2010, "Noncausal Vector Autoregression," MPRA Paper, University Library of Munich, Germany, number 23717, Apr.
- Lanne, Markku & Luoto, Jani & Saikkonen, Pentti, 2010, "Optimal Forecasting of Noncausal Autoregressive Time Series," MPRA Paper, University Library of Munich, Germany, number 23648, Feb.
- Lanne, Markku & Saikkonen, Pentti, 2009, "GMM Estimation with Noncausal Instruments," MPRA Paper, University Library of Munich, Germany, number 23649, Sep.
- Lanne, Markku & Luoma, Arto & Luoto, Jani, 2009, "Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models," MPRA Paper, University Library of Munich, Germany, number 23646, Sep.