Report NEP-ETS-2014-06-22
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.
Other reports in NEP-ETS
The following items were announced in this report:
- Monfort, A. & Renne, J.-P. & Roussellet, G., 2014. "A Quadratic Kalman Filter," Working papers 486, Banque de France.
- Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Working Papers in Economics 14/16, University of Canterbury, Department of Economics and Finance.
- Varang Wiriyawit & Benjamin Wong, 2014. "Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?," CAMA Working Papers 2014-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Anton Skrobotov, 2016. "On Trend Breaks and Initial Condition in Unit Root Testing," Working Papers 0097, Gaidar Institute for Economic Policy, revised 2016.
- Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market," SFB 649 Discussion Papers SFB649DP2014-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2016. "Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form," Working Paper 1324, Economics Department, Queen's University.