Report NEP-ETS-2002-02-15

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:

• Leachman, Lori L., 2001. "Multicointegration, Sustainability of Fiscal Practices and the Role of Fiscal Institutions," Working Papers 01-04, Duke University, Department of Economics.
• Daniel G. Sullivan, 2001. "A note on the estimation of linear regression models with Heteroskedastic measurement errors," Working Paper Series WP-01-23, Federal Reserve Bank of Chicago.
• E A Akkerman, 2002. "The use of the new MATLAB Financial Kit for development of economical and financial models," Computer Programs 0201001, University Library of Munich, Germany.
• Allan Timmermann & Massimo Guidolin, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," FMG Discussion Papers dp397, Financial Markets Group.
• Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
• Item repec:fip:fedfap:2000-21 is not listed on IDEAS anymore

• Atsushi Inoue & Mototsugu Shintani, 2001. "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers 0129, Vanderbilt University Department of Economics, revised Aug 2003.
• Rómulo Chumacero, 2001. "Testing for unit roots using economics," Working Papers Central Bank of Chile 102, Central Bank of Chile.
• Item repec:fip:fedlwp:2001-019a is not listed on IDEAS anymore

• Naoto Kunitomo & Makoto Takaoka, 2002. "On RegARIMA Model, RegSSARMA Model and Seasonality," CIRJE F-Series CIRJE-F-146, CIRJE, Faculty of Economics, University of Tokyo.
• Rómulo Chumacero, 2001. "Estimating ARMA Models Efficiently," Working Papers Central Bank of Chile 92, Central Bank of Chile.
• Raimundo Soto & Matías Tapia, 2001. "Seasonal cointegration and the stability of the demand for money," Working Papers Central Bank of Chile 103, Central Bank of Chile.
• Mark W. French, 2001. "Estimating changes in trend growth of total factor productivity: Kalman and H-P filters versus a Markov-switching framework," Finance and Economics Discussion Series 2001-44, Board of Governors of the Federal Reserve System (U.S.).
• Lucio Sarno & Daniel L. Thornton, 2002. "The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation," Working Papers 2000-032, Federal Reserve Bank of St. Louis.
• Ming Chien Lo & Jeremy M. Piger, 2003. "Is the response of output to monetary policy asymmetric? evidence from a regime-switching coefficients model," Working Papers 2001-022, Federal Reserve Bank of St. Louis.
• Hjelm, Göran & Johansson, Martin W, 2002. "A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models," Working Papers 2002:3, Lund University, Department of Economics.
• Piotr Kokoszka & Michael Wolf, 2002. "Subsampling the mean of heavy-tailed dependent observations," Economics Working Papers 600, Department of Economics and Business, Universitat Pompeu Fabra.