Report NEP-ETS-2005-10-04

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:

• Michael J. Dueker, 2006. "Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models," Working Papers 2005-057, Federal Reserve Bank of St. Louis.
• Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
• Item repec:tcd:wpaper:tep4 is not listed on IDEAS anymore

• Bauer, Dietmar & Wagner, Martin, 2005. "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Series 174, Institute for Advanced Studies.
• Wagner, Martin, 2005. "On PPP, Unit Roots and Panels," Economics Series 176, Institute for Advanced Studies.
• Kunst, Robert M., 2005. "Approaches for the Joint Evaluation of Hypothesis Tests: Classical Testing, Bayes Testing, and Joint Confirmation," Economics Series 177, Institute for Advanced Studies.
• Monti, Francesca V., 2003. "Implementing optimal control in cointegrated I(1) structural VAR models," Working Paper Series 0288, European Central Bank.
• Morana, Claudio, 2004. "A structural common factor approach to core inflation estimation and forecasting," Working Paper Series 0305, European Central Bank.
• Morana, Claudio, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Working Paper Series 0321, European Central Bank.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2004. "Estimating the rank of the spectral density matrix," Working Paper Series 0349, European Central Bank.
• Mohr, Matthias, 2005. "A trend-cycle(-season) filter," Working Paper Series 0499, European Central Bank.
• Christian Dreger & Hans-Eggert Reimers, 2004. "Panel Seasonal Unit Root Test With An Application for Unemployment Data," IWH Discussion Papers 191, Halle Institute for Economic Research.