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Report NEP-ETS-2013-08-31
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:
- Nima Nonejad, 2013, "A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-24, 08.
- Nima Nonejad, 2013, "Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-26, 08.
- Nima Nonejad, 2013, "Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-27, 08.
- Kees Jan van Garderen & H. Peter Boswijk, 2013, "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 13-05, Jun.
- Arturas Juodis, 2013, "First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 13-06, Jun.
- Maurice J.G. Bun & Frank Kleibergen, 2013, "Identification and inference in moments based analysis of linear dynamic panel data models," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 13-07, Jun.
- D. S. Grebenkov & J. Serror, 2013, "Following a Trend with an Exponential Moving Average: Analytical Results for a Gaussian Model," Papers, arXiv.org, number 1308.5658, Aug.
- Roland Langrock & Th'eo Michelot & Alexander Sohn & Thomas Kneib, 2013, "Semiparametric stochastic volatility modelling using penalized splines," Papers, arXiv.org, number 1308.5836, Aug, revised Jun 2014.
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2013, "Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown," MPRA Paper, University Library of Munich, Germany, number 49344, Aug.