Report NEP-ETS-2008-02-16

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:

• E. Otranto, 2008. "Clustering Heteroskedastic Time Series by Model-Based Procedures," Working Paper CRENoS 200801, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Economics Working Papers ECO2008/15, European University Institute.
• Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers ECO2008/16, European University Institute.
• Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Economics Working Papers ECO2008/17, European University Institute.
• Tucker S. McElroy & Thomas M. Trimbur, 2007. "Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering," Finance and Economics Discussion Series 2007-68, Board of Governors of the Federal Reserve System (U.S.).
• Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process: a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08004, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Dominique Guegan, 2008. "Effect of noise filtering on predictions: on the routes of chaos," Documents de travail du Centre d'Economie de la Sorbonne b08008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• McCAUSLAND, William J. & MILLER, Shirley & PELLETIER, Denis, 2007. "A New Approach to Drawing States in State Space Models," Cahiers de recherche 2007-06, Universite de Montreal, Departement de sciences economiques.
• Ioannis Kasparis, 2008. "Functional Form Misspecification in Regressions with a Unit Root," University of Cyprus Working Papers in Economics 2-2008, University of Cyprus Department of Economics.
• Gregor W. Smith, 2008. "Us Inflation Dynamics 1981-2007: 13,193 Quarterly Observations," Working Paper 1155, Economics Department, Queen's University.