Report NEP-ECM-2004-03-14

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Terje Skjerpen, 2004. "The dynamic factor model revisited: the identification problem remains," Discussion Papers 369, Statistics Norway, Research Department.
• Marco Vega, 2004. "Policy Makers Priors and Inflation Density Forecasts," Econometrics 0403005, University Library of Munich, Germany.
• George Kapetanios & Yongcheol Shin, 2003. "GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks," Edinburgh School of Economics Discussion Paper Series 108, Edinburgh School of Economics, University of Edinburgh.
• Michael ARTIS & Mathias HOFFMANN & Dilip NACHANE & Juan TORO, 2004. "The detection of hidden periodicities: A comparison of alternative methods," Economics Working Papers ECO2004/10, European University Institute.
• Yoon-Jae Whang, 2004. "Smoothed Empirical Likelihood Methods for Quantile Regression Models," Cowles Foundation Discussion Papers 1453, Cowles Foundation for Research in Economics, Yale University.
• Yongcheol Shin & Andy Snell, 2002. "Mean Group Tests for Stationarity in Heterogeneous Panels," Edinburgh School of Economics Discussion Paper Series 107, Edinburgh School of Economics, University of Edinburgh.
• Laura Serlenga & Yongcheol Shin & Andy Snell, 2002. "A Panel Data Approach to Testing Anomaly Effects in Factor Pricing Models," Edinburgh School of Economics Discussion Paper Series 88, Edinburgh School of Economics, University of Edinburgh.
• Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," SSE/EFI Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004.
• Tobías, Aureli & Saez, Marc, 2004. "Time-series regression models to study the short-term effects of environmental factors on health," Working Papers of the Department of Economics, University of Girona 11, Department of Economics, University of Girona.
• Konstantin A., Kholodilin, 2003. "Identifying and Forecasting the Turns of the Japanese Business Cycle," LIDAM Discussion Papers IRES 2003008, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
• Jose T.A.S. Ferreira & Mark F.J. Steel, 2004. "A Constructive Representation of Univariate Skewed Distributions," Econometrics 0403002, University Library of Munich, Germany.
• Gevorgyan Ruben & Melikyan Narine, 2004. "Missing Data Problem and the Empirical Yield Curve Analysis. An Example of T-bills Market in Armenia," EERC Working Paper Series 04-03e, EERC Research Network, Russia and CIS.
• Oliver Linton & Yoon-Jae Whang, 2004. "A Quantilogram Approach to Evaluating Directional Predictability," Cowles Foundation Discussion Papers 1454, Cowles Foundation for Research in Economics, Yale University.
• P.J.G. Vlaar & A.H.J. den Reijer, 2003. "Forecasting inflation: An art as well as a science!," DNB Staff Reports (discontinued) 107, Netherlands Central Bank.
• George Kapetanios & Yongcheol Shin, 2003. "Unit Root Tests in Three-Regime SETAR Models," Edinburgh School of Economics Discussion Paper Series 104, Edinburgh School of Economics, University of Edinburgh.
• Daniel Levy, 2004. "Cointegration in Frequency Domain," Econometrics 0402005, University Library of Munich, Germany.
• Henk Don, 2004. "How econometric models help policy makers; theory and practice," CPB Discussion Paper 27, CPB Netherlands Bureau for Economic Policy Analysis.