Report NEP-ETS-2004-12-02

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-ETS

The following items were announced in this report:

• Jean-Pierre Florens & Marine Carrasco, 2004. "On the Asymptotic Efficiency of GMM," Econometric Society 2004 North American Winter Meetings 436, Econometric Society.
• Item repec:cte:wbrepe:wb045922 is not listed on IDEAS anymore

• Heather M. Anderson & Chin Nam Low, 2004. "Random Walk Smooth Transition Autoregressive Models," Monash Econometrics and Business Statistics Working Papers 22/04, Monash University, Department of Econometrics and Business Statistics, revised May 2005.
• Edith Madsen, 2004. "Estimating Cointegrating Relations from a Cross Section," CAM Working Papers 2004-21, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
• Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society.
• Clifford Attfield, 2004. "Stochastic Trends, Demographics and Demand Systems," Bristol Economics Discussion Papers 04/563, School of Economics, University of Bristol, UK.
• Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society.
• George-Levi Gayle & Christelle Viauroux, "undated". "Root-N Consistent Semiparametric Estimators of a Dynamic Panel Sample Selection Model," GSIA Working Papers 2004-E62, Carnegie Mellon University, Tepper School of Business.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "The Stochastic Unit Root Model And Fractional Integration: An Extension To The Seasonal Case," Economics and Finance Discussion Papers 04-15, Economics and Finance Section, School of Social Sciences, Brunel University.
• Steven Lugauer, "undated". "Out of Sample Tests of Model Specification," GSIA Working Papers 2004-E56, Carnegie Mellon University, Tepper School of Business.
• David F. Hendry, 2004. "Unpredictability and the Foundations of Economic Forecasting," Economics Papers 2004-W15, Economics Group, Nuffield College, University of Oxford.
• Stepana Lazarova, 2004. "Testing for structural change in regression with long memory processes," Econometric Society 2004 North American Winter Meetings 501, Econometric Society.
• Frank Schorfheide & Hyungsik Roger Moon, 2004. "Bayesian Inference for Econometric Models using Empirical Likelihood Functions," Econometric Society 2004 North American Winter Meetings 284, Econometric Society.
• Simon M. Potter & Edward E. Leamer, 2004. "A Nonlinear Model of the Business Cycle," Econometric Society 2004 North American Winter Meetings 490, Econometric Society.
• Heather M. Anderson & Chin Nam Low & Ralph Snyder, 2004. "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition," Monash Econometrics and Business Statistics Working Papers 21/04, Monash University, Department of Econometrics and Business Statistics.
• Clifford Attfield, 2004. "A Comparison of the Translog and Almost Ideal Demand Models," Bristol Economics Discussion Papers 04/564, School of Economics, University of Bristol, UK.
• Robert de Jong, 2004. "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings 324, Econometric Society.
• Vidal-Sanz, Jose M., 2004. "Computing continuous-time growth models with boundary conditions via wavelets," DEE - Working Papers. Business Economics. WB wb045619, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
• Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society.
• Item repec:dgr:kubcen:2004112 is not listed on IDEAS anymore

• Luc Bauwens & Jeroen Rombouts, 2004. "Bayesian Clustering Of Similar Multivariate Garch Models," Econometric Society 2004 North American Winter Meetings 370, Econometric Society.