Report NEP-ETS-2014-12-24

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-ETS

The following items were announced in this report:

• Hyeongwoo Kim & Deockhyun Ryu, 2014. "A Nonparametric Study of Real Exchange Rate Persistence over a Century," Auburn Economics Working Paper Series auwp2014-15, Department of Economics, Auburn University.
• Andrew Harvey & Stephen Thiele, 2014. "Testing against Changing Correlation," Cambridge Working Papers in Economics 1439, Faculty of Economics, University of Cambridge.
• Maurice J.G. Bun & Martin A. Carree & Arturas Juodis, 2014. "On Maximum Likelihood estimation of dynamic panel data models," UvA-Econometrics Working Papers 14-04, Universiteit van Amsterdam, Dept. of Econometrics.
• YABE, Ryota & 矢部, 竜太, 2014. "Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models," Discussion Papers 2014-20, Graduate School of Economics, Hitotsubashi University.
• YABE, Ryota & 矢部, 竜太, 2014. "Asymptotic Distribution of the Conditional Sum of Squares Estimator Under Moderate Deviation From a Unit Root in MA(1)," Discussion Papers 2014-19, Graduate School of Economics, Hitotsubashi University.
• Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Documentos de Trabajo del ICAE 2014-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Rossi, Barbara & Inoue, Atsushi & Jin, Lu, 2014. "Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters," CEPR Discussion Papers 10168, C.E.P.R. Discussion Papers.
• Ryo Okui & Takahide Yanagi, 2014. "Panel Data Analysis with Heterogeneous Dynamics," KIER Working Papers 906, Kyoto University, Institute of Economic Research.
• W. Robert Reed, 2014. "Unit Root Tests, Size Distortions, and Cointegrated Data," Working Papers in Economics 14/28, University of Canterbury, Department of Economics and Finance.
• CARPANTIER, Jean-François & DUFAYS, Arnaud, 2014. "Specific Markov-switching behaviour for ARMA parameters," LIDAM Discussion Papers CORE 2014014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Gustavo Fruet Dias & Fotis Papailias, 2014. "Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach," CREATES Research Papers 2014-55, Department of Economics and Business Economics, Aarhus University.
• Kerstin Gärtner & Mark Podolskij, 2014. "On non-standard limits of Brownian semi-stationary," CREATES Research Papers 2014-50, Department of Economics and Business Economics, Aarhus University.