Report NEP-ETS-1999-07-28

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:

• Joon Y. Park & Peter C. B. Phillips, 1999. "Nonstationary Binary Choice," Working Paper Series no5, Institute of Economic Research, Seoul National University.
• Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert F. Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," NBER Working Papers 7213, National Bureau of Economic Research, Inc.
• Joon Y. Park & Jonghan park, 1999. "Longrun Relationships Evolving Over Time," Working Paper Series no8, Institute of Economic Research, Seoul National University.
• Item repec:dgr:kubcen:199944 is not listed on IDEAS anymore

• Yun-Yeong Kim & Joon Y. Park, 1999. "The Asymptotic Variance Bound for Instrumental Variables Estimators," Working Paper Series no10, Institute of Economic Research, Seoul National University.
• Item repec:dgr:kubcen:1998141 is not listed on IDEAS anymore

• Joachim Inkmann, 1999. "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," CoFE Discussion Paper 99-04, Center of Finance and Econometrics, University of Konstanz.
• Yoosoon Chang & Joon Y. Park, 1999. "Nonstationary Index Models," Working Paper Series no7, Institute of Economic Research, Seoul National University.
• Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," NBER Working Papers 7214, National Bureau of Economic Research, Inc.
• Michael Belledin & Christian Schlag, 1999. "An Empirical Comparison of Alternative Stochastic Volatility Models," Working Paper Series: Finance and Accounting 38, Department of Finance, Goethe University Frankfurt am Main.
• Joon Y. Park & Yoon-Jae Whang, 1999. "Random Walk or Chaos: A Formal Test on the Lyapunov Exponent," Working Paper Series no9, Institute of Economic Research, Seoul National University.
• Joon Y. Park & Peter C. B. Phillips, 1999. "Nonlinear Regressions with Integrated Time Series," Working Paper Series no6, Institute of Economic Research, Seoul National University.