Report NEP-ECM-2005-01-02

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.

Other reports in NEP-ECM

The following items were announced in this report:

• Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2004-14, Department of Economics and Business Economics, Aarhus University.
• Item repec:cep:stiecm:/2004/468 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2004/471 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2004/474 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2004/476 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2004/479 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2004/480 is not listed on IDEAS anymore

• M. Hashem Pesaran & Paolo Zaffaroni, 2004. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series 1358, CESifo.
• Item repec:dgr:eureri:30001977 is not listed on IDEAS anymore

• Cysne, Rubens Penha, 2004. "On the statistical estimation of diffusion processes - a partial survey," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 570, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Villani, Mattias & Larsson, Rolf, 2004. "The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis," Working Paper Series 175, Sveriges Riksbank (Central Bank of Sweden).
• Katarina Juselius, 2004. "Inflation, Money Growth, and I(2) Analysis," Discussion Papers 04-31, University of Copenhagen. Department of Economics.
• David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria.
• Gultekin Isiklar, 2004. "On aggregation bias in fixed-event forecast efficiency tests," Econometrics 0412011, University Library of Munich, Germany, revised 28 Dec 2004.
• Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Richard Harrison & George Kapetanios & Tony Yates, 2004. "Forecasting with measurement errors in dynamic models," Bank of England working papers 237, Bank of England.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2003. "Realized Beta: Persistence and Predictability," PIER Working Paper Archive 04-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Mar 2004.
• Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Manuel Santos, 2004. "Convergence Properties of the Likelihood of Computed Dynamic Models," PIER Working Paper Archive 04-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• ANNAERT, Jan & CLAES, Anouk G.P. & DE CEUSTER, Marc J.K., 2003. "Does the Compass Rose pattern matter for testing normality?," Working Papers 2003020, University of Antwerp, Faculty of Business and Economics.
• BRYS, Guy & HUBERT, Mia & STRUYF ,Anja, 2004. "Goodness-of-fit tests based on a robust measure of skewness," Working Papers 2004018, University of Antwerp, Faculty of Business and Economics.
• George Kapetanios & Tony Yates, 2004. "Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models," Bank of England working papers 238, Bank of England.
• David Mandy & Sandor Fridli, 2004. "Exact FGLS Asymptotics for MA Errors," Working Papers 0405, Department of Economics, University of Missouri, revised 16 Dec 2004.
• Item repec:umc:wpaper:0406 is not listed on IDEAS anymore

• Item repec:umc:wpaper:0420 is not listed on IDEAS anymore

• Alan Manning, 2004. "Instrumental Variables for Binary Treatments with Heterogeneous Treatment Effects: A Simple Exposition," CEP Discussion Papers dp0619, Centre for Economic Performance, LSE.