Report NEP-ETS-2003-04-02

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:

• Item repec:dgr:eureir:2003315 is not listed on IDEAS anymore

• Viliam Druska & William C. Horrace, 2003. "Generalized Moments Estimation for Panel Data," NBER Technical Working Papers 0291, National Bureau of Economic Research, Inc.
• Pérez, Ana, 2001. "Properties of the sample autocorrelations in autoregressive stochastic volatllity models," DES - Working Papers. Statistics and Econometrics. WS ws011208, Universidad Carlos III de Madrid. Departamento de Estadística.
• Felix Chan & Michael McAleer, 2003. "On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models," CIRJE F-Series CIRJE-F-216, CIRJE, Faculty of Economics, University of Tokyo.
• Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo.
• Heino Bohn Nielsen, 2003. "Cointegration Analysis in the Presence of Outliers," Discussion Papers 03-05, University of Copenhagen. Department of Economics.
• Zonglu He & Koichi Maekawa & Michael McAleer, 2003. "Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors," CIRJE F-Series CIRJE-F-215, CIRJE, Faculty of Economics, University of Tokyo.
• H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford.