Report NEP-ETS-2006-02-12

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:

• Hendry, David & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
• Markku Lanne & Pentti Saikkonen, 2005. "Modeling Conditional Skewness in Stock Returns," Economics Working Papers ECO2005/14, European University Institute.
• Stefanie A. Haller, 2005. "The Impact of Multinational Entry on Domestic Market Structure and R&D," Economics Working Papers ECO2005/16, European University Institute.
• Markku Lanne & Helmut Luetkepohl, 2005. "Structural Vector Autoregressions with Nonnormal Residuals," Economics Working Papers ECO2005/25, European University Institute.
• Timothy Halliday, 2006. "Identifying State Dependence in Non-Stationary Processes," Working Papers 200601, University of Hawaii at Manoa, Department of Economics.
• Kazuhiko Hayakawa, 2006. "The Asymptotic Properties of the System GMM Estimator in Dynamic Panel Data Models When Both N and T are Large," Hi-Stat Discussion Paper Series d05-129, Institute of Economic Research, Hitotsubashi University.
• Kazuhiko Hayakawa, 2006. "Efficient GMM Estimation of Dynamic Panel Data Models Where Large Heterogeneity May Be Present," Hi-Stat Discussion Paper Series d05-130, Institute of Economic Research, Hitotsubashi University.
• Manganelli, Simone, 2006. "A new theory of forecasting," Working Paper Series 0584, European Central Bank.
• Brüggemann, Ralf & Härdle, Wolfgang Karl & Mungo, Julius & Trenkler, Carsten, 2006. "VAR modeling for dynamic semiparametric factors of volatility strings," SFB 649 Discussion Papers 2006-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• James G. MacKinnon, 2006. "Applications Of The Fast Double Bootstrap," Working Paper 1023, Economics Department, Queen's University.
• Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers ubs0504, University of Brescia, Department of Economics.