Report NEP-ETS-2001-09-10

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Lanne, Markku & Lütkepohl, Helmut, 2001. "Unit root tests for time series with level shifts: A comparison of different proposals," SFB 373 Discussion Papers 2001,5, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
• Jaebeom Kim & Masao Ogaki & Min-Seok Yang, 2001. "Structural Error Correction Models: Instrumental Variables Methods and Application to an Exchange Rate Model," Working Papers 01-01, Ohio State University, Department of Economics.
• Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2001. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," International Finance Discussion Papers 707, Board of Governors of the Federal Reserve System (U.S.).
• Horst, Ulrich, 2001. "Asymptotics of locally interacting Markov chains with global signals," SFB 373 Discussion Papers 2001,29, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
• Item repec:wop:humbsf:2001-24 is not listed on IDEAS anymore

• Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
• Föllmer, Hans & Horst, Ulrich, 2001. "Convergence of locally and globally interacting Markov chains," SFB 373 Discussion Papers 2001,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
• Item repec:wop:humbsf:2001-39 is not listed on IDEAS anymore

• Candelon, Bertrand & Gil-Alaña, Luis A., 2001. "Fractional integration and business cycle features," SFB 373 Discussion Papers 2001,46, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
• Item repec:wop:humbsf:2001-27 is not listed on IDEAS anymore

• Härdle, Wolfgang & Herwartz, Helmut & Spokoiny, Vladimir G., 2001. "Time inhomogeneous multiple volatility modelling," SFB 373 Discussion Papers 2001,7, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
• Chen, Song Xi & Härdle, Wolfgang & Kleinow, Torsten, 2000. "An empirical likelihood goodness-of-fit test for time series," SFB 373 Discussion Papers 2001,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
• Item repec:wop:humbsf:2001-59 is not listed on IDEAS anymore

• Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Normal modified stable processes," Economics Papers 2001-W6, Economics Group, Nuffield College, University of Oxford.
• Kyungho Jang, 2001. "Impulse Response Analysis with Long Run Restrictions on Error Correction Models," Working Papers 01-04, Ohio State University, Department of Economics.
• Küchler, Uwe & Vasiliev, Vjatscheslav A., 2001. "On guaranteed parameter estimation of stochastic differential equations with time delay by noisy observations," SFB 373 Discussion Papers 2001,14, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
• Item repec:wop:humbsf:2001-60 is not listed on IDEAS anymore

• Charles R. Nelson, 1987. "Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root," NBER Technical Working Papers 0063, National Bureau of Economic Research, Inc.
• Gil-Alaña, Luis A., 2001. "A joint test of fractional cyclic integration and a linear time trend," SFB 373 Discussion Papers 2001,26, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
• Steven A. Weinberg, 2001. "Interpreting the volatility smile: an examination of the information content of option prices," International Finance Discussion Papers 706, Board of Governors of the Federal Reserve System (U.S.).
• Item repec:wop:humbsf:2001-38 is not listed on IDEAS anymore

• Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000. "Unemployment and input prices: A fractional cointegration approach," SFB 373 Discussion Papers 2001,56, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
• Kyungho Jang & Masao Ogaki, 2001. "The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach," Working Papers 01-02, Ohio State University, Department of Economics.
• Item repec:wop:humbsf:2001-30 is not listed on IDEAS anymore