Report NEP-ECM-2003-05-16

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:

• Gusztav Morvai & Benjamin Weiss, 2002. "Forecasting for stationary times series," Discussion Paper Series dp300, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
• Item repec:diw:diwwpp:dp345 is not listed on IDEAS anymore

• Romera, Rosario, 2003. "An overview of probabilistic and time series models in finance," DES - Working Papers. Statistics and Econometrics. WS ws032405, Universidad Carlos III de Madrid. Departamento de Estadística.
• Paulo M. M. Rodrigues & A. M. Robert Taylor, 2003. "On Tests for Double Differencing: Some Extensions and the Role of Initial Values," Economic Working Papers at Centro de Estudios Andaluces E2003/23, Centro de Estudios Andaluces.
• Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods qf0215, Department of Economics, University of Insubria.
• Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002. "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers 02-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
• Yosef Rinott & Michael Tam, 2002. "Monotone Regrouping, Regression, and Simpson’s Paradox," Discussion Paper Series dp305, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
• David S. Bates, 2003. "Maximum Likelihood Estimation of Latent Affine Processes," NBER Working Papers 9673, National Bureau of Economic Research, Inc.
• Stefano Maria Iacus & Davide La Torre, 2002. "On fractal distribution function estimation and applications," Departmental Working Papers 2002-07, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
• Christiansen, Charlotte, 2003. "Multivariate Term Structure Models with Level and Heteroskedasticity Effects," Finance Working Papers 02-19, University of Aarhus, Aarhus School of Business, Department of Business Studies.
• Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria.
• Jaime A. Londoño, 2003. "Parametric Estimation Of Diffusion Processes Sampled At First Exit Time," Econometrics 0305002, University Library of Munich, Germany, revised 16 Feb 2004.
• Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria.
• Stefano Maria Iacus & Davide La Torre, 2002. "Approximating distribution functions by iterated function systems," Departmental Working Papers 2002-03, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
• Konstantin A. KHOLODILIN, 2002. "Dealing with Structural Changes in the Common Dynamic Factor Model : Deterministic Mechanism," LIDAM Discussion Papers IRES 2002042, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
• Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods qf0213, Department of Economics, University of Insubria.
• Bruno Bassan & Yosef Rinott & Yehuda Vardi, 2002. "On stochastic comparisons of excess times," Discussion Paper Series dp302, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
• Larry Goldstein & Yosef Rinott, 2002. "A Permutation Test for Matching," Discussion Paper Series dp301, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.