Report NEP-ETS-2014-06-14This 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.
The following items were announced in this report:
- Andrew Papanicolaou, 2014. "Stochastic Analysis Seminar on Filtering Theory," Papers 1406.1936, arXiv.org, revised Oct 2016.
- Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, FGV EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Chudik, Alexander & Pesaran, M. Hashem, 2014. "Theory and practice of GVAR modeling," Globalization Institute Working Papers 180, Federal Reserve Bank of Dallas.
- Yamamoto, Yohei, 2014. "A Modified Confidence Set for the Structural Break Date in Linear Regression Models," Discussion Papers 2014-08, Graduate School of Economics, Hitotsubashi University.
- Rob J Hyndman & Alan Lee & Earo Wang, 2014. "Fast computation of reconciled forecasts for hierarchical and grouped time series," Monash Econometrics and Business Statistics Working Papers 17/14, Monash University, Department of Econometrics and Business Statistics.
- Yuanhua Feng & Chen Zhou, 2013. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," Working Papers CIE 59, Paderborn University, CIE Center for International Economics.
- Yuanhua Feng, 2013. "Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects," Working Papers CIE 65, Paderborn University, CIE Center for International Economics.
- Eric Ghysels & J. Isaac Miller, 2014. "On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests," Working Papers 1403, Department of Economics, University of Missouri.