Report NEP-ETS-2004-03-14

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:

• George Kapetanios & Yongcheol Shin, 2003. "GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks," Edinburgh School of Economics Discussion Paper Series 108, Edinburgh School of Economics, University of Edinburgh.
• Dietmar Bauer, 2004. "Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations," Cowles Foundation Discussion Papers 1452, Cowles Foundation for Research in Economics, Yale University.
• Yongcheol Shin & Andy Snell, 2002. "Mean Group Tests for Stationarity in Heterogeneous Panels," Edinburgh School of Economics Discussion Paper Series 107, Edinburgh School of Economics, University of Edinburgh.
• Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," SSE/EFI Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004.
• George Kapetanios & Yongcheol Shin, 2003. "Unit Root Tests in Three-Regime SETAR Models," Edinburgh School of Economics Discussion Paper Series 104, Edinburgh School of Economics, University of Edinburgh.
• Daniel Levy, 2004. "Cointegration in Frequency Domain," Econometrics 0402005, University Library of Munich, Germany.