Report NEP-ECM-2003-02-10

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:

• Item repec:cla:levrem:506439000000000172 is not listed on IDEAS anymore

• Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation for Research in Economics, Yale University.
• Gonçalves, Sí­lvia & Kilian, Lutz, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank.
• Victoria Zinde-Walsh & Peter C.B. Phillips, 2003. "Fractional Brownian Motion as a Differentiable Generalized Gaussian Process," Cowles Foundation Discussion Papers 1391, Cowles Foundation for Research in Economics, Yale University.
• Inoue, Atsushi & Kilian, Lutz, 2002. "In-sample or out-of-sample tests of predictability: which one should we use?," Working Paper Series 195, European Central Bank.
• Ulrich K. Müller, 2002. "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002 2002-26, Department of Economics, University of St. Gallen.
• Pesaran, H.M. & Timmermann, A., 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics 0306, Faculty of Economics, University of Cambridge.
• Hyungsik Roger Moon & Peter C.B. Phillips, 2003. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Cowles Foundation Discussion Papers 1390, Cowles Foundation for Research in Economics, Yale University.
• Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, University Library of Munich, Germany.
• David Aadland, 2002. "Detrending Time-Aggregated Data," Macroeconomics 0301007, University Library of Munich, Germany.
• Item repec:cla:levrem:506439000000000168 is not listed on IDEAS anymore

• Pesaran, H.M., 2003. "Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence," Cambridge Working Papers in Economics 0305, Faculty of Economics, University of Cambridge.
• Evzen Kocenda, 2003. "An Alternative to the BDS Test: Integration Across The Correlation Integral," Econometrics 0301004, University Library of Munich, Germany.
• Roberto Leon-Gonzalez, "undated". "Data Augmentation in Limited-Dependent Variable Models," Discussion Papers 02/09, Department of Economics, University of York.
• Bun, M.J.G. & Carree, M.A., 2002. "Bias-corrected estimation in dynamic panel data models," Research Memorandum 025, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
• Marcelle Chauvet & Jeremy M. Piger, 2002. "Identifying business cycle turning points in real time," FRB Atlanta Working Paper 2002-27, Federal Reserve Bank of Atlanta.
• Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation for Research in Economics, Yale University.