Econometrics

From University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

0402009: Classifying the Markets Volatility with ARMA Distance Measures

Edoardo Otranto

0402008: The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach

Giancarlo Bruno and Edoardo Otranto

0402007: Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?

Artur Silva Lopes

0402006: ASIMETRÍA, PERSISTENCIA Y NO LINEALIDAD DE LA TASA DE DESEMPLEO ESPAÑOL

Jose Casado and F.Javier Trívez

0402005: Cointegration in Frequency Domain

Daniel Levy

0402004: Consistent Model Specification Tests Against Smooth Transition Alternatives

Jonathan B. Hill

0402003: Pseudo Maximum Likelihood Estimation of Structural Models Involving Fixed-Point Problems

Victor Aguirregabiria

0402002: Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited

Jonathan B. Hill

0402001: Sequential Detection of US Business Cycle Turning Points: Performances of Shiryayev-Roberts, CUSUM and EWMA Procedures

Bakhodir Ergashev

0401009: Random Walks with Drifts, Simulaneous Equation Errors, and Small Samples - Simulating the Bird's Eye View

Horst Entorf

0401008: Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes

Niklas Wagner and Terry A. Marsh

0401007: Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications

Markus Junker, Alexander Szimayer and Niklas Wagner

0401006: Unit Roots, Nonlinear Cointegration and Purchasing Power Parity

Alfred Haug and Syed A. Basher

0401005: Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries

Jesus Clemente Lopez, Antonio Montañés and Marcelo Reyes

0401004: LM-Tests for Linearity Against Smooth Transition Alternatives: A Bootstrap Simulation Study

Jonathan B. Hill

0401003: Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints

Tommaso Proietti and Filippo Moauro

0401002: Forecasting and Signal Extraction with Misspecified Models

Tommaso Proietti

0401001: Strong Orthogonal Decompositions and Non-Linear Impulse Response Functions for Infinite Variance Processes

Jonathan B. Hill

0312005: Offensive Performance, Omitted Variables, and the Value of Speed in Baseball

Theodore Turocy

0312004: Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification

Jean-Yves Pitarakis

0312003: Dating the Italian Business Cycle: A Comparison of Procedures

Giancarlo Bruno and Edoardo Otranto

0312002: Spot price dynamics in deregulated power markets

Marina Resta and Davide Sciutti

0312001: Tests for the consistency of three-level nested logit models with utility maximization

María José Gil-Moltó and Arne Hole

0311009: Testing for Stochastic Cointegration and Evidence for Present Value Models

Brendan McCabe, Stephen Leybourne and David Harris

0311008: Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification

Stephen Leybourne, Tae-Hwan Kim and Paul Newbold

0311007: EXAMINATION OF SOME MORE POWERFUL MODIFICATIONS OF THE DICKEY- FULLER TEST

Stephen Leybourne, Paul Newbold and Tae-Hwan Kim

0311006: On Unit Root Tests and the Initial Observation

Stephen Leybourne and David Harvey

0311005: Panel Stationarity Tests with Cross-sectional Dependence

David Harris, Stephen Leybourne and Brendan McCabe

0311004: Testing and Estimating Persistence in Canadian Unemployment

O. Mikhail, Curtis J. Eberwein and Jagdish Handa

0311003: Mutual information: a dependence measure for nonlinear time series

Andreia Dionisio, Rui Menezes and Diana A. Mendes

0311002: Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter

Roberto Iannaccone and Edoardo Otranto

0311001: the Multi-State Markov Switching Model

Edoardo Otranto

0310006: An Improved Panel Unit Root Test Using GLS-Detrending

Claude Lopez

0310005: Smoothed Empirical Likelihood Methods for Quantile Regression Models

Yoon-Jae Whang

0310004: Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison

Luciano Gutierrez

0310003: An Improved Panel Unit Root Test Using GLS-Detrending

Claude Lopez

0310002: Japanese Public Support For Official Development Assistance

Michael Gagen

0310001: MyQuestLight User’s Guide

Plamen Yossifov

0309004: Central regions and dependency

Karl Mosler

0309003: Maximum Probability/Entropy translating of contiguous categorical observations into frequencies

Marian Grendar and Marian Grendar

0309002: A SETAR model with long-memory dynamics

Gilles Dufrénot, Dominique Guegan and Anne Peguin-Feissolle

0309001: Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model

Gilles Dufrénot, Elisabeth Grimaud, Eug=E9nie Latil and Valérie Mignon

0308005: A Self-Consistent Model for the Forward Price Dynamics

Vlad Makhankov

0308004: Voice or Public Sector Management? An Empirical Investigation of Determinants of Public Sector Performance based on a Survey of Public Officials

Daniel Kaufmann, Gil Mehrez and Tugrul Gurgur

0308003: Structural Equation Models in Human Behavior Genetics

Arthur Goldberger

0308002: Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong

Hai-Chin Yu and Ming-Chang Huang

0308001: Tests of Conditional Predictive Ability

Raffaella Giacomini and Halbert White

0307007: Strongly Consistent Determination of the Rank of Matrix

Zaka Ratsimalahelo

0307006: On Priors for Impulse Responses in Bayesian Structural VAR Models

Andrzej Kocięcki

0307005: Effects of STAR and TAR types nonlinearities on order selection criteria

Venus Liew and Terence Tai Leung Chong