Report NEP-ETS-2016-06-14

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:

• Søren Johansen & Bent Nielsen, 2016. "Tightness of M-estimators for multiple linear regression in time series," CREATES Research Papers 2016-18, Department of Economics and Business Economics, Aarhus University.
• Tue Gorgens & Chirok Han & Sen Xue, 2016. "Asymptotic distributions of the quadratic GMM estimator in linear dynamic panel data models," ANU Working Papers in Economics and Econometrics 2016-635, Australian National University, College of Business and Economics, School of Economics.
• Mikosch, Heiner & Neuwirth, Stefan, 2015. "Real-time forecasting with a MIDAS VAR," BOFIT Discussion Papers 13/2015, Bank of Finland, Institute for Economies in Transition.
• Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
• Peter Malec, 2016. "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics 1633, Faculty of Economics, University of Cambridge.
• Del Barrio Castro, T & Rodrigues, PMM & Taylor, AMR, 2015. "Semi-Parametric Seasonal Unit Root Tests," Essex Finance Centre Working Papers 16807, University of Essex, Essex Business School.
• Giorgia Marini, 2016. "A note on the power of panel cointegration tests – An application to health care expenditure and gdp," Public Finance Research Papers 21, Istituto di Economia e Finanza, DSGE, Sapienza University of Rome.