Report NEP-ETS-2013-01-07

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:

• Jean Jacod & Mark Podolskij, 2012. "A test for the rank of the volatility process: the random perturbation approach," CREATES Research Papers 2012-57, Department of Economics and Business Economics, Aarhus University.
• Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," AMSE Working Papers 1240, Aix-Marseille School of Economics, France, revised Dec 2012.
• Gordon J. Ross, 2012. "Modeling Financial Volatility in the Presence of Abrupt Changes," Papers 1212.6016, arXiv.org.
• Harvey, A. & Luati, A., 2012. "Filtering with heavy tails," Cambridge Working Papers in Economics 1255, Faculty of Economics, University of Cambridge.
• Politis, Dimitris, 2012. "On The Behavior Of Nonparametric Density And Spectral Density Estimators At Zero Points Of Their Support," University of California at San Diego, Economics Working Paper Series qt40g0z0tz, Department of Economics, UC San Diego.
• Prosper Dovonon & Eric Renault, 2012. "Testing for Common GARCH Factors," CIRANO Working Papers 2012s-34, CIRANO.
• Francisco Blasques, 2012. "Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean," Tinbergen Institute Discussion Papers 12-133/III, Tinbergen Institute.
• Kociecki, Andrzej & Rubaszek, Michał & Ca' Zorzi, Michele, 2012. "Bayesian analysis of recursive SVAR models with overidentifying restrictions," Working Paper Series 1492, European Central Bank.
• Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
• Deepa Dhume Datta & Wenxin Du, 2012. "Nonparametric HAC estimation for time series data with missing observations," International Finance Discussion Papers 1060, Board of Governors of the Federal Reserve System (U.S.).
• Michael W. McCracken & Tucker S. McElroy, 2012. "Multi-step ahead forecasting of vector time series," Working Papers 2012-060, Federal Reserve Bank of St. Louis.
• Makram El-Shagi & Gregor von Schweinitz, 2012. "Qual VAR Revisited: Good Forecast, Bad Story," IWH Discussion Papers 12, Halle Institute for Economic Research.
• Ginters Buss, 2012. "Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach," Working Papers 2012/06, Latvijas Banka.
• Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers 135, Center for Policy Research, Maxwell School, Syracuse University.
• Badi H. Baltagi & Long Liu, 2012. "The Hausman-Taylor Panel Data Model with Serial Correlation," Center for Policy Research Working Papers 136, Center for Policy Research, Maxwell School, Syracuse University.
• Badi H. Baltagi & Long Liu, 2012. "Estimation and Prediction in the Random Effects Model with AR(p) Remainder Disturbances," Center for Policy Research Working Papers 138, Center for Policy Research, Maxwell School, Syracuse University.
• Badi H. Baltagi & Georges Bresson, 2012. "A Robust Hausman-Taylor Estimator," Center for Policy Research Working Papers 140, Center for Policy Research, Maxwell School, Syracuse University.
• Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2012. "Small Sample Properties and Pretest Estimation of A Spatial Hausman-Taylor Model," Center for Policy Research Working Papers 141, Center for Policy Research, Maxwell School, Syracuse University.
• Jan F. KIVIET & Garry D.A. PHILLIPS, 2012. "Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models," Economic Growth Centre Working Paper Series 1206, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Ari, Yakup, 2012. "Volatility modelling of foreign exchange rate: discrete GARCH family versus continuous GARCH," MPRA Paper 43330, University Library of Munich, Germany.