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Report NEP-ETS-2011-11-21
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:
- Søren Johansen, 2011, "The analysis of nonstationary time series using regression, correlation and cointegration - with an application to annual mean temperature and sea level," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome, number 2011/4, Nov.
- Xibin Zhang & Maxwell L. King, 2011, "Bayesian semiparametric GARCH models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 24/11, Nov.
- Rossen, Anja, 2011, "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers, Hamburg Institute of International Economics (HWWI), number 113.
- Charles A. Fleischman & John M. Roberts, 2011, "From many series, one cycle: improved estimates of the business cycle from a multivariate unobserved components model," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-46.
- Costantini, Mauro & Lupi, Claudio, 2011, "A Simple Panel-CADF Test for Unit Roots," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp11062, Nov.
- J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2011, "Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations," Papers, arXiv.org, number 1111.2462, Nov, revised May 2013.