Report NEP-ETS-1999-07-12

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.

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

Other reports in NEP-ETS

The following items were announced in this report:

• Mehmet Caner & Lutz Kilian, 1999. "Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for Applied Work," Computing in Economics and Finance 1999 511, Society for Computational Economics.
• Christopher T. Downing, 1999. "Nonparametric Estimation of Multifactor Continuous Time Interest-Rate Models," Computing in Economics and Finance 1999 111, Society for Computational Economics.
• Pieter J. van der Sluis & George J. Jiang, 1999. "Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection," Computing in Economics and Finance 1999 313, Society for Computational Economics.
• J. H. Chesnut, 1999. "Regional Variations in Median Household Income: a Neural Network Approach," Computing in Economics and Finance 1999 641, Society for Computational Economics.
• Stephen G. Hall & Jennifer V. Greenslade & S. G. Brian Henry, 1999. "On the Identification of Cointegrated Systems in Small Samples: Practical Procedures with an Application to UK Wages and Prices," Computing in Economics and Finance 1999 643, Society for Computational Economics.
• Item repec:boc:bococf:312 is not listed on IDEAS anymore

• Michel Juillard & Fabrice Collard, 1999. "Stochastic Simulations of a Non-Linear Phillips Curve Model," Computing in Economics and Finance 1999 144, Society for Computational Economics.
• Maria Odejar, 1999. "Bayesian Analysis of the Stochastic Switching Regression Model Using Markov Chain Monte Carlo Methods," Computing in Economics and Finance 1999 822, Society for Computational Economics.
• Romulo A. Chumacero, 1999. "Estimating Stationary ARMA Models Efficiently," Computing in Economics and Finance 1999 1333, Society for Computational Economics.
• Theophile Azomahou, 1999. "Estimation of Spatial Panel-Data Models Using a Minimum-Distance Estimator," Computing in Economics and Finance 1999 1322, Society for Computational Economics.
• Esben P. Hoeg, 1999. "Estimation and Computation of Long-Memory Continuous-Time Models," Computing in Economics and Finance 1999 1242, Society for Computational Economics.
• Filippo Altissimo, 1999. "Change of Measure in Monte Carlo Integration via Gibbs Sampling with an application to Stochastic Volatility Models," Computing in Economics and Finance 1999 821, Society for Computational Economics.
• Jonathan Hill, 1999. "Alpha-Stable Consistent Model Specification Tests for Heavy-Tailed Neural Networks Environments," Computing in Economics and Finance 1999 1041, Society for Computational Economics.
• Simone Manganelli & Robert F. Engle, 1999. "Modeling a Time-Varying Order Statistic," Computing in Economics and Finance 1999 952, Society for Computational Economics.
• Francesc Marmol & Juan J. Dolado, 1999. "Asymptotic Inference for Nonstationary Fractionally Integrated Processes," Computing in Economics and Finance 1999 513, Society for Computational Economics.
• Mark J. Jensen, 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Computing in Economics and Finance 1999 1243, Society for Computational Economics.
• Jose-Manuel Rey & Manuel Morán, 1999. "A Formalism for the Dimensional Analysis of Time Series," Computing in Economics and Finance 1999 1331, Society for Computational Economics.
• Antonio Mele & Fabio Fornari, 1999. "Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis," Computing in Economics and Finance 1999 912, Society for Computational Economics.
• Philipp Sibbertsen, 1999. "S-Estimation in the Linear Regression Model with Long-Memory Error Terms," Computing in Economics and Finance 1999 512, Society for Computational Economics.
• Claudia Panseri & Giovanni Urga & Annalisa Cristini, 1999. "The Application of the Kalman Filter to the Fisher Equation: Italian and German Term Structure of Interest Rates," Computing in Economics and Finance 1999 941, Society for Computational Economics.
• Eric Jacquier & Nicholas G. Polson & Peter Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," Computing in Economics and Finance 1999 112, Society for Computational Economics.
• Nikolay Gospodinov, 1999. "Median Unbiased Forecasts for Highly Persistent Autoregressive Processes," Computing in Economics and Finance 1999 533, Society for Computational Economics.
• Kaushik Mitra & Seppo Honkapohja, 1999. "Learning with Bounded Memory in Stochastic Models," Computing in Economics and Finance 1999 221, Society for Computational Economics.
• Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
• Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics.