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Report NEP-ETS-2014-06-02
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, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Jean-David Fermanian & Hassan Malongo, 2014, "On the stationarity of Dynamic Conditional Correlation models," Papers, arXiv.org, number 1405.6905, May, revised Mar 2016.
- Sergey A. Kamenshchikov, 2014, "Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series," Papers, arXiv.org, number 1405.6990, May, revised Sep 2014.
- Sun, Yixiao, 2014, "Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt8479f4s2, May.
- Ghysels, Eric & Miller, J. Isaac, 2013, "Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9654, Sep.
- Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2013, "Testing for Granger Causality with Mixed Frequency Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9655, Sep.
- Mackowiak, Bartosz & Jarocinski, Marek, 2013, "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9686, Oct.
- Marcellino, Massimiliano & Foroni, Claudia, 2014, "Markov-Switching Mixed-Frequency VAR Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9815, Feb.
- Kilian, Lutz & Inoue, Atsushi, 2014, "Joint Confidence Sets for Structural Impulse Responses," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9892, Mar.
- Giannone, Domenico & Banbura, Marta & Lenza, Michele, 2014, "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9931, Apr.
- Carlomagno, Guillermo & Espasa, Antoni, 2014, "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws141309, May.
- Yiannis Karavias & Elias Tzavalis, 2014, "A fixed-T version of Breitung's panel data unit root test and its asymptotic local power," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 14/02, Feb.
- Cláudia Duarte, 2014, "Autoregressive augmentation of MIDAS regressions," Working Papers, Banco de Portugal, Economics and Research Department, number w201401.