Report NEP-ETS-2011-08-22

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:

• Tanaka, Katsuto & 田中, 勝人, 2011. "Distributions of Quadratic Functionals of the Fractional Brownian Motion Based on a Martingale Approximation," Discussion Papers 2011-06, Graduate School of Economics, Hitotsubashi University.
• Tanaka, Katsuto & 田中, 勝人, 2011. "Linear Nonstationary Models : A Review of the Work of Professor P.C.B. Phillips," Discussion Papers 2011-05, Graduate School of Economics, Hitotsubashi University.
• Tanaka, Katsuto & 田中, 勝人, 2011. "Distributions of the Maximum Likelihood and Minimum Contrast Estimators Associated with the Fractional Ornstein-Uhlenbeck Process," Discussion Papers 2011-07, Graduate School of Economics, Hitotsubashi University.
• Atsushi Inoue & Barbara Rossi, 2011. "Out-of-sample forecast tests robust to the choice of window size," Working Papers 11-31, Federal Reserve Bank of Philadelphia.
• A. Saichev & D. Sornette, 2011. "Time-Bridge Estimators of Integrated Variance," Papers 1108.2611, arXiv.org.