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Report NEP-ETS-2011-05-24
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:
- Stefano Grassi & Tommaso Proietti, 2011, "Characterizing economic trends by Bayesian stochastic model specification search," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-16, May.
- Tom Engsted & Thomas Q. Pedersen, 2011, "Bias-correction in vector autoregressive models: A simulation study," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-18, May.
- Stefano Grassi & Paolo Santucci de Magistris, 2011, "When Long Memory Meets the Kalman Filter: A Comparative Study," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-14, May.
- Søren Johansen & Theis Lange, 2011, "Some econometric results for the Blanchard-Watson bubble model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-17, May.
- Ryota Yabe, 2011, "Limiting Distribution of the Score Statistic under Moderate Deviation from a Unit Root in MA(1)," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd10-170, Feb.
- Eiji Kurozumi & Khashbaatar Dashtseren, 2011, "Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-187, Apr.
- Shigeru Iwata & Han Li, 2011, "Why are Trend Cycle Decompositions of Alternative Models So Different?," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd10-171, Mar.
- Daisuke Nagakura, 2011, "How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd10-172, Mar.
- Massimiliano Caporin & Gabriel G. Velo, 2011, "Modeling and forecasting realized range volatility," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0128, Feb.
- Espasa, Antoni & Mayo, Iván, 2012, "Forecasting aggregates and disaggregates with common features," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws110805, Aug.
- Cristina Amado & Timo Teräsvirta, 2011, "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," NIPE Working Papers, NIPE - Universidade do Minho, number 15/2011.
- Luís Francisco Aguiar & Maria Joana Soares, 2011, "The Continuous Wavelet Transform: A Primer," NIPE Working Papers, NIPE - Universidade do Minho, number 16/2011.
- Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith, 2011, "Forecasting Equicorrelation," NCER Working Paper Series, National Centre for Econometric Research, number 72, Apr, revised 29 Aug 2011.