Report NEP-ETS-2007-03-10

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:

• Fabio Busetti & Andrew Harvey, 2007. "Testing for trend," Temi di discussione (Economic working papers) 614, Bank of Italy, Economic Research and International Relations Area.
• Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0701, Faculty of Economics, University of Cambridge.
• DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0702, Faculty of Economics, University of Cambridge.
• Pagan, A. & Pesaran, M.H., 2007. "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables," Cambridge Working Papers in Economics 0704, Faculty of Economics, University of Cambridge.
• Doppelhofer, G. & Cuaresma, J.C., 2007. "Nonlinearities in Cross-Country Growth Regressions: A Bayesian Averaging of Thresholds (BAT) Approach," Cambridge Working Papers in Economics 0706, Faculty of Economics, University of Cambridge.
• Timmermann, Allan & Elliott, Graham, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers.
• George Kapetanios & Zacharias Psaradakis, 2007. "Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence," Working Papers 587, Queen Mary University of London, School of Economics and Finance.
• George Kapetanios & Andrew P. Blake, 2007. "Boosting Estimation of RBF Neural Networks for Dependent Data," Working Papers 588, Queen Mary University of London, School of Economics and Finance.
• Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary University of London, School of Economics and Finance.
• Andrea Carriero, 2007. "A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates," Working Papers 591, Queen Mary University of London, School of Economics and Finance.
• Norman Swanson & Geetesh Bhardwaj, 2006. "A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects," Departmental Working Papers 200613, Rutgers University, Department of Economics.
• Valentina Corradi & Norman Swanson & Geetesh Bhardwaj, 2006. "A Simulation Based Specification Test for Diffusion Processes," Departmental Working Papers 200614, Rutgers University, Department of Economics.
• Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Inference for Integrated Volatility," Departmental Working Papers 200616, Rutgers University, Department of Economics.
• Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics.
• Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures," Departmental Working Papers 200620, Rutgers University, Department of Economics.
• Valentina Corradi & Norman Swanson, 2006. "Predictive Density Evaluation. Revised," Departmental Working Papers 200621, Rutgers University, Department of Economics.
• Kakamu, Kazuhiko & Polasek, Wolfgang, 2007. "Cross-sectional Space-time Modeling Using ARNN(p, n) Processes," Economics Series 203, Institute for Advanced Studies.
• Urzúa, Carlos M., 2007. "A Back-of-the-Envelope Rule to Identify Atheoretical VARs," EGAP Working Papers 2007-03, Tecnológico de Monterrey, Campus Ciudad de México.
• Archontakis, Theofanis & Lemke, Wolfgang, 2007. "Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure," Discussion Paper Series 1: Economic Studies 2007,02, Deutsche Bundesbank.
• Razzak, Weshah, 2003. "A Perspective on Unit Root and Cointegration in Applied Macroeconomics," MPRA Paper 1970, University Library of Munich, Germany, revised 2007.
• Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006. "Characteristic function approach to the sum of stochastic variables," MPRA Paper 1984, University Library of Munich, Germany.
• López, Fernando & Chasco, Coro, 2007. "Time-trend in spatial dependence: Specification strategy in the first-order spatial autoregressive model," MPRA Paper 1985, University Library of Munich, Germany.
• Mishra, SK, 2007. "Completing correlation matrices of arbitrary order by differential evolution method of global optimization: A Fortran program," MPRA Paper 2000, University Library of Munich, Germany.
• Everts, Martin, 2006. "Band-Pass Filters," MPRA Paper 2049, University Library of Munich, Germany.