Report NEP-ETS-2008-01-05

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:bep:unimip:1063 is not listed on IDEAS anymore

• Luis Fernando Melo & John Jairo León & Dagoberto Saboya, 2007. "Cointegration Vector Estimation By Dols For A Three-Dimensional Panel," Borradores de Economia 4391, Banco de la Republica.
• Maria S. Heracleous, 2007. "Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue," Economics Working Papers ECO2007/60, European University Institute.
• Sarantis Tsiaplias, 2007. "A Metropolis-in-Gibbs Sampler for Estimating Equity Market Factors," Melbourne Institute Working Paper Series wp2007n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
• Turgut Kisinbay, 2007. "The Use of Encompassing Tests for Forecast Combinations," IMF Working Papers 07/264, International Monetary Fund.
• Chudik, Alexander & Pesaran, M. Hashem, 2007. "Infinite Dimensional VARs and Factor Models," IZA Discussion Papers 3206, Institute of Labor Economics (IZA).
• Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," Discussion Papers 07-35, University of Copenhagen. Department of Economics.
• Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007. "Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate," Discussion Papers 07-34, University of Copenhagen. Department of Economics.
• Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics.
• Altavilla, Carlo & Ciccarelli, Matteo, 2007. "Information combination and forecast (st)ability evidence from vintages of time-series data," Working Paper Series 0846, European Central Bank.