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.
• Item repec:cdl:ucsdec:qt40g0z0tz is not listed on IDEAS anymore

• 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.