Report NEP-ETS-2011-12-13

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:

• Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," DSS Empirical Economics and Econometrics Working Papers Series 2011/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
• Klein, Ingo & Tinkl, Fabian, 2011. "Some critical remarks on Zhang's gamma test for independence," Discussion Papers 87/2010, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
• Xiangjin Shen & Hiroki Tsurumi, 2011. "Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models," Departmental Working Papers 201126, Rutgers University, Department of Economics.
• Cristina Fuentes-Albero & Leonardo Melosi, 2011. "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers 201131, Rutgers University, Department of Economics.
• Norman R. Swanson & Nii Ayi Armah, 2011. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments," Departmental Working Papers 201105, Rutgers University, Department of Economics.
• Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011. "Predictive Inference for Integrated Volatility," Departmental Working Papers 201108, Rutgers University, Department of Economics.
• Norman R. Swanson & Lili Cai, 2011. "In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008," Departmental Working Papers 201102, Rutgers University, Department of Economics.
• Norman R. Swanson & Valentina Corradi, 2011. "Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models," Departmental Working Papers 201112, Rutgers University, Department of Economics.
• Søren Johansen & Bent Nielsen, 2011. "Asymptotic theory for iterated one-step Huber-skip estimators," Discussion Papers 11-29, University of Copenhagen. Department of Economics.
• Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Ola L{o}vsletten & Martin Rypdal, 2011. "Approximated maximum likelihood estimation in multifractal random walks," Papers 1112.0105, arXiv.org, revised Feb 2012.
• Vladimir Soloviev & Vladimir Saptsin & Dmitry Chabanenko, 2011. "Markov Chains application to the financial-economic time series prediction," Papers 1111.5254, arXiv.org.
• Chang-Shuai Li, 2011. "Common persistence in conditional variance: A reconsideration," Papers 1112.1363, arXiv.org.