Report NEP-ETS-2002-03-14

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:

• Serena Ng & Pierre Perron, 2001. "PPP May not Hold After all: A Further Investigation," Economics Working Paper Archive 466, The Johns Hopkins University,Department of Economics.
• Item repec:dgr:vuarem:1998-62 is not listed on IDEAS anymore

• Item repec:fip:fedfpb:01-08 is not listed on IDEAS anymore

• Lars Peter Hansen & Thomas J. Sargent, 1981. "Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time," Staff Report 74, Federal Reserve Bank of Minneapolis.
• Item repec:wop:cirano:2002s21 is not listed on IDEAS anymore

• Erlandsson, Ulf, 2002. "Regime Switches in Swedish Interest Rates," Working Papers 2002:5, Lund University, Department of Economics, revised 04 Mar 2005.
• Marcelle Chauvet & Chinhui Juhn & Simon M. Potter, 2001. "Markov switching in disaggregate unemployment rates," Staff Reports 132, Federal Reserve Bank of New York.
• Mariam Camarero & Cecilio Tamarit, "undated". "A panel cointegration approach to the estimation of the peseta real exchange rate," Working Papers on International Economics and Finance 01-08, FEDEA.
• Jon Faust & John H. Rogers & Jonathan H. Wright, 2001. "Exchange rate forecasting: the errors we've really made," International Finance Discussion Papers 714, Board of Governors of the Federal Reserve System (U.S.).
• Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Economics Working Paper Archive 467, The Johns Hopkins University,Department of Economics.
• Jushan Bai & Serena Ng, 2001. "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive 469, The Johns Hopkins University,Department of Economics.
• Franses, Philip Hans & Lucas, André, 1997. "Outlier robust cointegration analysis," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
• Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
• Item repec:wop:calsdi:2001-19 is not listed on IDEAS anymore

• Robert B. Litterman, 1984. "Specifying vector autoregressions for macroeconomic forecasting," Staff Report 92, Federal Reserve Bank of Minneapolis.
• Robert B. Litterman, 1982. "A use of index models in macroeconomic forecasting," Staff Report 78, Federal Reserve Bank of Minneapolis.
• Item repec:wop:calsdi:2002-02 is not listed on IDEAS anymore

• Lars Peter Hansen & Thomas J. Sargent, 1981. "Instrumental variables procedures for estimating linear rational expectations models," Staff Report 70, Federal Reserve Bank of Minneapolis.
• Hanzon, Bernard & Ober, Raimund J., 1997. "A state-space calculus for rational probability density functions and applications to non-Gaussian filtering," Serie Research Memoranda 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
• Lars Peter Hansen & Thomas J. Sargent, 1981. "The dimensionality of the aliasing problem in models with rational spectral densities," Staff Report 72, Federal Reserve Bank of Minneapolis.
• Melvin Hinich & Warren E. Weber, 1992. "Estimating linear filters with errors in variables using the Hilbert transform," Staff Report 96, Federal Reserve Bank of Minneapolis.
• Lars Peter Hansen & Thomas J. Sargent, 1980. "Methods for estimating continuous time Rational Expectations models from discrete time data," Staff Report 59, Federal Reserve Bank of Minneapolis.
• Lars Peter Hansen & Thomas J. Sargent, 1981. "A note on Wiener-Kolmogorov prediction formulas for rational expectations models," Staff Report 69, Federal Reserve Bank of Minneapolis.
• Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
• Item repec:dgr:vuarem:1997-41 is not listed on IDEAS anymore

• Robert B. Litterman, 1984. "Forecasting with Bayesian vector autoregressions four years of experience," Staff Report 95, Federal Reserve Bank of Minneapolis.
• Melvin Hinich & Warren E. Weber, 1981. "A method for estimating distributed lags when observations are randomly missing," Staff Report 65, Federal Reserve Bank of Minneapolis.
• Montfort, Kees van & Bijleveld, Catrien, 1997. "Dynamic analysis of multivariate panel data with nonlinear transformations," Serie Research Memoranda 0054, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
• Lawrence J. Christiano, 1985. "A method for estimating the timing interval in a linear econometric model, with an application to Taylor's model of staggered contracts," Staff Report 101, Federal Reserve Bank of Minneapolis.
• Item repec:fip:fedfpb:01-09 is not listed on IDEAS anymore

• Oscar Bajo-Rubio & Simón Sosvilla-Rivero & Fernando Fernández-Rodríguez, "undated". "Non-Linear Forecasting Methods: Some Applications to the Analysis of Financial Series," Working Papers 2002-01, FEDEA.