Report NEP-ECM-2002-02-22

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.

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Other reports in NEP-ECM

The following items were announced in this report:

• Charles R. Nelson & Jeremy M. Piger & Eric Zivot, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis.
• Daniel G. Sullivan, 2001. "A note on the estimation of linear regression models with Heteroskedastic measurement errors," Working Paper Series WP-01-23, Federal Reserve Bank of Chicago.
• Hernán Rubio & Luis Firinguetti, 2002. "The Distribution of Stochastic Shrinkage Parameters in Ridge Regression," Working Papers Central Bank of Chile 137, Central Bank of Chile.
• Sheila Dolmas & Evan F. Koenig & Jeremy M. Piger, 2002. "The use and abuse of 'real-time' data in economic forecasting," Working Papers 2001-015, Federal Reserve Bank of St. Louis.
• Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
• Item repec:fip:fedlwp:2001-012a is not listed on IDEAS anymore

• Post, G.T., 2002. "Testing for Third-Order Stochastic Dominance with Diversification Possibilities," ERIM Report Series Research in Management ERS-2002-02-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.).
• Raymond J.G.M. Florax & Hendrik Folmer & Sergio J. Rey, 2002. "Specification Searches in Spatial Econometrics: The Relevance of Hendry's Methodology," Urban/Regional 0202001, University Library of Munich, Germany.
• Item repec:fip:fedfap:2000-21 is not listed on IDEAS anymore

• Item repec:fth:vander:01-w29 is not listed on IDEAS anymore

• Rómulo Chumacero, 2001. "Testing for unit roots using economics," Working Papers Central Bank of Chile 102, Central Bank of Chile.
• Michael J. Dueker & Katrin Wesche, 2005. "Forecasting macro variables with a Qual VAR business cycle turning point index," Working Papers 2001-019, Federal Reserve Bank of St. Louis.
• Naoto Kunitomo & Makoto Takaoka, 2002. "On RegARIMA Model, RegSSARMA Model and Seasonality," CIRJE F-Series CIRJE-F-146, CIRJE, Faculty of Economics, University of Tokyo.
• Michael Creel, 2002. "Graduate Econometrics Lecture Notes," UFAE and IAE Working Papers 505.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
• Patrice Bertail & Christian Haefke & Dimitris N. Politis & Halbert White, 2001. "A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks," Economics Working Papers 599, Department of Economics and Business, Universitat Pompeu Fabra.
• Hjelm, Göran & Johansson, Martin W, 2002. "A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models," Working Papers 2002:3, Lund University, Department of Economics.
• Piotr Kokoszka & Michael Wolf, 2002. "Subsampling the mean of heavy-tailed dependent observations," Economics Working Papers 600, Department of Economics and Business, Universitat Pompeu Fabra.
• Item repec:fip:fedlwp:2001-016a is not listed on IDEAS anymore