Report NEP-ETS-2013-12-15

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:

• Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2013. "Long- versus medium-run identification in fractionally integrated VAR models," University of Regensburg Working Papers in Business, Economics and Management Information Systems 476, University of Regensburg, Department of Economics.
• Osmani Teixeira de Carvalho Guillén & Alain Hecq & João Victor Issler & Diogo Saraiva, 2013. "Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," Working Papers Series 330, Central Bank of Brazil, Research Department.
• Heinemann, A., 2013. "Sieve bootstrapping in the Lee-Carter model," Research Memorandum 069, Maastricht University, Graduate School of Business and Economics (GSBE).
• Rotta, Pedro Nielsen & Pereira, Pedro L. Valls, 2013. "Analysis of contagion from the constant conditional correlation model with Markov regime switching," Textos para discussão 340, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
• Item repec:hal:journl:hal-00914830 is not listed on IDEAS anymore

• Felix Chan, 2013. "Advantages of Non-Normality in Testing Cointegration Rank," Bankwest Curtin Economics Centre Working Paper series WP1306, Bankwest Curtin Economics Centre (BCEC), Curtin Business School.
• Bayraci, Selcuk & Demiralay, Sercan, 2013. "Conditional Autoregregressive Range (CARR) Based Volatility Spillover Index For the Eurozone Markets," MPRA Paper 51909, University Library of Munich, Germany.
• Brandon J. Bates & Mikkel Plagborg-Møller & James H. Stock & Mark W. Watson, "undated". "Consistent factor estimation in dynamic factor models with structural instability," Working Paper 84631, Harvard University OpenScholar.
• Barbara Rossi & Atsushi Inoue, 2012. "Out-of-sample forecast tests robust to the choice of window size," Economics Working Papers 1404, Department of Economics and Business, Universitat Pompeu Fabra.