Report NEP-ETS-2016-02-04

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:

• Yunus Emre Ergemen, 2016. "System Estimation of Panel Data Models under Long-Range Dependence," CREATES Research Papers 2016-02, Department of Economics and Business Economics, Aarhus University.
• Markku Lanne & Jani Luoto, 2016. "Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression," CREATES Research Papers 2016-04, Department of Economics and Business Economics, Aarhus University.
• Sidi Mohamed Aly, 2016. "Moment explosions, implied volatility and local volatility at extreme strikes," Papers 1601.06995, arXiv.org, revised Aug 2016.
• Adil Yilmaz & Gazanfer Unal, 2016. "Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes," Papers 1601.08099, arXiv.org, revised Feb 2016.
• Alessandro Stringhi & Silvia Figini, 2016. "How to improve accuracy for DFA technique," Papers 1602.00629, arXiv.org.
• Trino-Manuel Ñíguez & Javier Perote, 2016. "Multivariate moments expansion density: application of the dynamic equicorrelation model," Working Papers 1602, Banco de España.
• Andrew Binning & Junior Maih, 2015. "Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models," Working Papers No 12/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• W. Robert Reed, 2016. "Univariate Unit Root Tests Perform Poorly When Data Are Cointegrated," Working Papers in Economics 16/01, University of Canterbury, Department of Economics and Finance.
• Sergi Jiménez-Martín & José María Labeaga, 2016. "Monte Carlo evidence on the estimation of AR(1) panel data sample selection models," Working Papers 2016-01, FEDEA.
• KALNINA, Ilze, 2015. "Inference for nonparametric high-frequency estimators with an application to time variation in betas," Cahiers de recherche 2015-08, Universite de Montreal, Departement de sciences economiques.
• Chrystalleni Aristidou & David Harvey & Stephen Leybourne, 2016. "The impact of the initial condition on covariate augmented unit root tests," Discussion Papers 16/01, University of Nottingham, Granger Centre for Time Series Econometrics.
• Emilio Zanetti Chini, 2016. "Generalizing smooth transition autoregressions," DEM Working Papers Series 114, University of Pavia, Department of Economics and Management.