Report NEP-ETS-2010-11-27

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:

• Zongwu Cai & Zhijie Xiao, 2010. "Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients," Boston College Working Papers in Economics 761, Boston College Department of Economics.
• Anne B. Koehler & Ralph D. Snyder & J. Keith Ord & Adrian Beaumont, 2010. "Forecasting Compositional Time Series with Exponential Smoothing Methods," Monash Econometrics and Business Statistics Working Papers 20/10, Monash University, Department of Econometrics and Business Statistics.
• Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," KIER Working Papers 739, Kyoto University, Institute of Economic Research.
• D M Nachane, 2010. "Spectral Analysis of Non-Stationary Time Series," Working Papers id:3191, eSocialSciences.
• Jun Yu, 2010. "Simulation-based Estimation Methods for Financial Time Series Models," Working Papers 19-2010, Singapore Management University, School of Economics.
• Yong Li & Jun Yu, 2010. "A New Bayesian Unit Root Test in Stochastic Volatility Models," Working Papers 21-2010, Singapore Management University, School of Economics, revised Oct 2010.
• Qiankun Zhou & Jun Yu, 2010. "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers 20-2010, Singapore Management University, School of Economics.
• Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2010. "Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time," Working Papers 13-2010, Singapore Management University, School of Economics.
• Zhenlin Yang, 2010. "Bias-Corrected Estimation for Spatial Autocorrelation," Working Papers 12-2010, Singapore Management University, School of Economics.
• John Gibson & Bonggeun Kim & Susan Olivia, 2010. "Can We Trust Cluster-Corrected Standard Errors? An Application of Spatial Autocorrelation with Exact Locations Known," Working Papers in Economics 10/07, University of Waikato.