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Report NEP-ECM-2018-04-02
This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ECM
The following items were announced in this report:
- Thomai Filippeli & Richard Harrison & Konstantinos Theodoridis, 2018, "DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation," Bank of England working papers, Bank of England, number 716, Mar.
- James G. MacKinnon & Matthew D. Webb, 2018, "Wild Bootstrap Randomization Inference For Few Treated Clusters," Working Paper, Economics Department, Queen's University, number 1404, Jun.
- Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2018, "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics," Papers, arXiv.org, number 1803.04894, Mar, revised Mar 2019.
- David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2018, "Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty," Papers, arXiv.org, number 1803.03573, Mar.
- Christopoulos, Dimitris & McAdam, Peter & Tzavalis, Elias, 2018, "Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier," Working Paper Series, European Central Bank, number 2136, Mar.
- Elhorst, J. Paul & Gross, Marco & Tereanu, Eugen, 2018, "Spillovers in space and time: where spatial econometrics and Global VAR models meet," Working Paper Series, European Central Bank, number 2134, Feb.
- Mengheng Li & Siem Jan (S.J.) Koopman, 2018, "Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-027/III, Mar.
- Rothfelder, Mario, 2018, "Three essays on time-varying parameters and time series networks," Other publications TiSEM, Tilburg University, School of Economics and Management, number fc7a10c0-7eee-479a-ac22-b.
- Zihao Yuan, 2018, "A Nonparametric Approach to Measure the Heterogeneous Spatial Association: Under Spatial Temporal Data," Papers, arXiv.org, number 1803.02334, Mar, revised Mar 2018.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018, "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1159.
- Paolo Gorgi & Siem Jan (S.J.) Koopman & Mengheng Li, 2018, "Forecasting economic time series using score-driven dynamic models with mixed-data sampling," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-026/III, Mar.
- Marta Banbura & Andries van Vlodrop, 2018, "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-025/IV, Mar.
- Martin Iseringhausen, 2018, "The Time-Varying Asymmetry Of Exchange Rate Returns: A Stochastic Volatility Stochastic Skewness Model," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 18/944, Mar.