Report NEP-ETS-2006-10-28

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:cep:stiecm:/2006/502 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2006/503 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2006/504 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2006/505 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2006/506 is not listed on IDEAS anymore

• Item repec:cep:stiecm:/2006/509 is not listed on IDEAS anymore

• Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
• Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR).
• Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
• Reichlin, Lucrezia & Giannone, Domenico, 2006. "Does Information Help Recovering Structural Shocks from Past Observations?," CEPR Discussion Papers 5725, C.E.P.R. Discussion Papers.
• Benati, Luca, 2006. "Drift and Breaks in Labour Productivity," CEPR Discussion Papers 5801, C.E.P.R. Discussion Papers.
• Reichlin, Lucrezia & Giannone, Domenico & De Mol, Christine, 2006. "Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?," CEPR Discussion Papers 5829, C.E.P.R. Discussion Papers.
• Veiga, Helena, 2006. "Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH," DES - Working Papers. Statistics and Econometrics. WS ws066016, Universidad Carlos III de Madrid. Departamento de Estadística.
• Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation for Research in Economics, Yale University.
• Offer Lieberman & Peter C.B. Phillips, 2006. "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," Cowles Foundation Discussion Papers 1586, Cowles Foundation for Research in Economics, Yale University.
• Chang Sik Kim & Peter C.B. Phillips, 2006. "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers 1587, Cowles Foundation for Research in Economics, Yale University.
• José Fajardo & Ernesto Mordecki, 2006. "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers 2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
• Tatsuma Wada & Pierre Perron, 2005. "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2005-44, Boston University - Department of Economics.