Report NEP-ETS-2008-05-24

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:cty:dpaper:0808 is not listed on IDEAS anymore

• Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652, Cowles Foundation for Research in Economics, Yale University.
• Peter C.B. Phillips, 2008. "Unit Root Model Selection," Cowles Foundation Discussion Papers 1653, Cowles Foundation for Research in Economics, Yale University.
• Peter C.B. Phillips, 2008. "Local Limit Theory and Spurious Nonparametric Regression," Cowles Foundation Discussion Papers 1654, Cowles Foundation for Research in Economics, Yale University.
• Peter C.B. Phillips & Tassos Magdalinos, 2008. "Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past," Cowles Foundation Discussion Papers 1655, Cowles Foundation for Research in Economics, Yale University.
• Peter C.B. Phillips, 2008. "Long Memory and Long Run Variation," Cowles Foundation Discussion Papers 1656, Cowles Foundation for Research in Economics, Yale University.
• Qiying Wang & Peter C.B. Phillips, 2008. "Structural Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1657, Cowles Foundation for Research in Economics, Yale University.
• Xu Cheng & Peter C.B. Phillips, 2008. "Semiparametric Cointegrating Rank Selection," Cowles Foundation Discussion Papers 1658, Cowles Foundation for Research in Economics, Yale University.
• Peter C.B. Phillips & Tassos Magdalinos & Liudas Giraitis, 2008. "Smoothing Local-to-Moderate Unit Root Theory," Cowles Foundation Discussion Papers 1659, Cowles Foundation for Research in Economics, Yale University.
• Item repec:hal:papers:halshs-00275254_v2 is not listed on IDEAS anymore

• Silja Kinnebrock & Mark Podolskij, 2008. "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," OFRC Working Papers Series 2008fe25, Oxford Financial Research Centre.
• Andrea Vaona, 2008. "The sensitivity of nonparametric misspecification tests to disturbance autocorrelation," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0803, USI Università della Svizzera italiana.