Report NEP-ETS-2010-10-30

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:

• MOON, Hyungsik Roger & PERRON, Benoit, 2010. "Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel," Cahiers de recherche 2010-04, Universite de Montreal, Departement de sciences economiques.
• Morten Ø. Nielsen & S Johansen, 2010. "A Necessary Moment Condition For The Fractional Functional Central Limit Theorem," Working Paper 1244, Economics Department, Queen's University.
• Søren Johansen, 2010. "The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level," Discussion Papers 10-27, University of Copenhagen. Department of Economics.
• Søren Johansen, 2010. "An Extension of Cointegration to Fractional Autoregressive Processes," Discussion Papers 10-28, University of Copenhagen. Department of Economics.
• Monteiro, André A., 2010. "A semiparametric state space model," DES - Working Papers. Statistics and Econometrics. WS ws103418, Universidad Carlos III de Madrid. Departamento de Estadística.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes," Documents de travail du Centre d'Economie de la Sorbonne 10067, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Eric Hillebrand & Marcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).