Report NEP-ETS-2002-12-02

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:

• George Kapetanios, 2002. "A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models," Working Papers 467, Queen Mary University of London, School of Economics and Finance.
• George Kapetanios & Yongcheol Shin, 2002. "Unit Root Tests in Three-Regime SETAR Models," Working Papers 465, Queen Mary University of London, School of Economics and Finance.
• He, Changli & Teräsvirta, Timo, 2002. "An application of the analogy between vector ARCH and vector random coefficient autoregressive models," SSE/EFI Working Paper Series in Economics and Finance 516, Stockholm School of Economics.
• Gonzalo Camba-Mendez & George Kapetanios, 2002. "Bootstrap Statistical Tests of Rank Determination for System Identification," Working Papers 468, Queen Mary University of London, School of Economics and Finance.
• R. A. L. Carter & A. Zellner, 2002. "The ARAR Error Model for Univariate Time Series and Distributed Lag Models," University of Western Ontario, Departmental Research Report Series 20025, University of Western Ontario, Department of Economics.
• George Kapetanios, 2002. "A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models," Working Papers 475, Queen Mary University of London, School of Economics and Finance.
• Eliasson, Ann-Charlotte & Teräsvirta, Timo, 2002. "Error correction in DHSY," SSE/EFI Working Paper Series in Economics and Finance 517, Stockholm School of Economics.
• George Kapetanios, 2002. "Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting," Working Papers 466, Queen Mary University of London, School of Economics and Finance.
• George Kapetanios, 2002. "Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations," Working Papers 470, Queen Mary University of London, School of Economics and Finance.
• Eugenie Hol & Siem Jan Koopman, 2002. "Stock Index Volatility Forecasting with High Frequency Data," Tinbergen Institute Discussion Papers 02-068/4, Tinbergen Institute.
• George Kapetanios & Yongcheol Shin, 2002. "GLS Detrending for Nonlinear Unit Root Tests," Working Papers 472, Queen Mary University of London, School of Economics and Finance.
• George Kapetanios, 2002. "Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks," Working Papers 469, Queen Mary University of London, School of Economics and Finance.
• Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
• George Kapetanios, 2002. "Measuring Conditional Persistence in Time Series," Working Papers 474, Queen Mary University of London, School of Economics and Finance.
• Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002. "Common factors in conditional distributions," SSE/EFI Working Paper Series in Economics and Finance 515, Stockholm School of Economics.
• Kyriakos Chourdakis, 2002. "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers 464, Queen Mary University of London, School of Economics and Finance.
• George Kapetanios, 2002. "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers 473, Queen Mary University of London, School of Economics and Finance.