Report NEP-ETS-2010-01-16

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:

• Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
• Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Limit theorems for functionals of higher order differences of Brownian semi-stationary processes," CREATES Research Papers 2009-60, Department of Economics and Business Economics, Aarhus University.
• Russell Davidson, 2009. "Size distortion of bootstrap tests: application to a unit root test," Working Papers halshs-00443561, HAL.
• James G. MacKinnon, 2010. "Critical Values For Cointegration Tests," Working Paper 1227, Economics Department, Queen's University.
• Zaichao Du, 2009. "Nonparametric Bootstrap Tests for Independence of Generalized Errors," Caepr Working Papers 2009-023, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
• J. Carlos Escanciano, 2009. "Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models," Caepr Working Papers 2009-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
• Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2009. "Some problems in the testing of DSGE models," Cardiff Economics Working Papers E2009/31, Cardiff University, Cardiff Business School, Economics Section.
• Ramses H. Mena & Stephen G. Walker, 2009. "On a Construction of Markov Models in Continuous Time," ICER Working Papers - Applied Mathematics Series 25-2009, ICER - International Centre for Economic Research.
• Ramses H. Mena & Matteo Ruggiero & Stephen G. Walker, 2009. "Geometric Stick-Breaking Processes for Continuous-Time Nonparametric Modeling," ICER Working Papers - Applied Mathematics Series 26-2009, ICER - International Centre for Economic Research.
• Silvia Loriga & Paolo Naticchioni, 2010. "Short and long term evaluations of Public Employment Services in Italy," Working Papers - Dipartimento di Economia 10-DEISFOL, Dipartimento di Economia, Sapienza University of Rome, revised 2010.
• Jean-Philippe Cayen & Marc-André Gosselin & Sharon Kozicki, 2009. "Estimating DSGE-Model-Consistent Trends for Use in Forecasting," Staff Working Papers 09-35, Bank of Canada.
• Item repec:bep:unimip:1084 is not listed on IDEAS anymore

• Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
• D. Sornette & A. Saichev & V. Filimonov, 2009. "Most Efficient Homogeneous Volatility Estimators," Working Papers CCSS-09-00007, ETH Zurich, Chair of Systems Design.
• Jin Seo Cho & Chirok-Han & Peter C. B. Phillips, 2009. "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities," Discussion Paper Series 0917, Institute of Economic Research, Korea University.
• Álvarez, Adolfo, 2009. "Recombining dependent data: an Order Statistics," DES - Working Papers. Statistics and Econometrics. WS ws098526, Universidad Carlos III de Madrid. Departamento de Estadística.
• Emanuel Moench & Serena Ng & Simon M. Potter, 2009. "Dynamic hierarchical factor models," Staff Reports 412, Federal Reserve Bank of New York.
• Jouchi Nakajima & Yasuhiro Omori, 2009. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution," CIRJE F-Series CIRJE-F-701, CIRJE, Faculty of Economics, University of Tokyo.
• Wei-Xing Zhou, 2009. "Finite-size effect and the components of multifractality in financial volatility," Papers 0912.4782, arXiv.org.
• Tetsuya Takaishi, 2009. "Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo," Papers 1001.0024, arXiv.org.