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Report NEP-ETS-2013-04-20
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:
- Hendrik Kaufmannz & Robinson Kruse, 2013, "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-10, 04.
- Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega, 2013, "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-11, Nov.
- Martin M. Andreasen & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2013, "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-12, Nov.
- Josep Lluís Carrion-i-Silvestre & María Dolores Gadea, 2013, "“GLS based unit root tests for bounded processes”," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 201302, Apr, revised Apr 2013.
- Dimitri O. Ledenyov & Viktor O. Ledenyov, 2013, "On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems," Papers, arXiv.org, number 1304.4807, Apr.
- Thilo A. Schmitt & Desislava Chetalova & Rudi Schafer & Thomas Guhr, 2013, "Non-Stationarity in Financial Time Series and Generic Features," Papers, arXiv.org, number 1304.5130, Apr, revised May 2013.
- Conrad, Christian & Weber, Enzo, 2013, "Measuring Persistence in Volatility Spillovers," Working Papers, University of Heidelberg, Department of Economics, number 0543, Apr.
- Susanne M. Schennach, 2013, "Long memory via networking," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP13/13, Apr.
- El Montasser, Ghassen & Boufateh, Talel & Issaoui, Fakhri, 2013, "The seasonal KPSS test when neglecting seasonal dummies: a Monte Carlo analysis," MPRA Paper, University Library of Munich, Germany, number 46226, Apr.
- Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian, 2013, "Relevant States and Memory in Markov Chain Bootstrapping and Simulation," MPRA Paper, University Library of Munich, Germany, number 46250.
- Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2013, "Realized Stochastic Volatility with Leverage and Long Memory," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-880, Mar.
- Tinkl, Fabian, 2013, "Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 03/2013, revised 2013.