Report NEP-ETS-2007-05-12

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:

• Gary Koop & Simon M. Potter, 2007. "A flexible approach to parametric inference in nonlinear time series models," Staff Reports 285, Federal Reserve Bank of New York.
• Ralph D. Snyder & Gael M. Martin & Phillip Gould & Paul D. Feigin, 2007. "An Assessment of Alternative State Space Models for Count Time Series," Monash Econometrics and Business Statistics Working Papers 4/07, Monash University, Department of Econometrics and Business Statistics.
• Alfred A Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2007/09, Reserve Bank of New Zealand.
• Item repec:pse:psecon:2007-11 is not listed on IDEAS anymore

• Christian Gillitzer & Jonathan Kearns, 2007. "Forecasting with Factors: The Accuracy of Timeliness," RBA Research Discussion Papers rdp2007-03, Reserve Bank of Australia.
• Francesco Audrino & Peter Bühlmann, 2007. "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007 2007-11, Department of Economics, University of St. Gallen.
• Renee Fry & Adrian Pagan, 2007. "Some Issues in Using Sign Restrictions for Identifying Structural VARs," NCER Working Paper Series 14, National Centre for Econometric Research.
• Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2007. "True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence," Economics Working Papers 2007-06, Christian-Albrechts-University of Kiel, Department of Economics.
• Herwartz, Helmut, 2007. "A note on model selection in (time series) regression models - General-to-specific or specific-to-general?," Economics Working Papers 2007-09, Christian-Albrechts-University of Kiel, Department of Economics.
• Kilin, Fiodar, 2006. "Accelerating the calibration of stochastic volatility models," MPRA Paper 2975, University Library of Munich, Germany, revised 22 Apr 2007.
• Item repec:pra:mprapa:3002 is not listed on IDEAS anymore

• Albu, Lucian-Liviu, 2006. "Non-linear models: applications in economics," MPRA Paper 3100, University Library of Munich, Germany.
• Di Iorio, Francesca & Fachin, Stefano, 2007. "Cointegration testing in dependent panels with breaks," MPRA Paper 3139, University Library of Munich, Germany.
• Vanessa Berenguer-Rico & Josep Lluís Carrion-i-Silvestre, 2007. "Multicointegration, polynomial cointegration and I(2) cointegration with structural breaks. An application to the sustainability of the US external deficit," IREA Working Papers 200709, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
• Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
• Jun Ma, 2006. "A Closed-Form Asymptotic Variance-Covariance Matrix for the Maximum Likelihood Estimator of the GARCH(1,1) Model," Working Papers UWEC-2006-11-R, University of Washington, Department of Economics, revised Oct 2006.
• Jun Ma & Charles Nelson & Richard Startz, 2007. "Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified," Working Papers UWEC-2006-14-P, University of Washington, Department of Economics, revised Mar 2007.
• Item repec:udb:wpaper:uwec-2006-16 is not listed on IDEAS anymore

• Ying Gu & Eric Zivot, 2006. "A Comparison of Univariate Stochastic Volatility Models for U.S. Short Rates Using EMM Estimation," Working Papers UWEC-2006-17, University of Washington, Department of Economics.