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Report NEP-ETS-2016-01-18
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:
- Jakob Guldbæk Mikkelsen & Eric Hillebrand & Giovanni Urga, 2015, "Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-61, 12.
- Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016, "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-01, Jan.
- John Goddard & Enrico Onali, 2016, "Long memory and multifractality: A joint test," Papers, arXiv.org, number 1601.00903, Jan.
- Lucas Lacasa & Ryan Flanagan, 2016, "Irreversibility of financial time series: a graph-theoretical approach," Papers, arXiv.org, number 1601.01980, Jan.
- Tomasz Wieladek, 2016, "The varying coefficient Bayesian panel VAR model," Bank of England working papers, Bank of England, number 578, Jan.
- Kim, Min Seong & Sun, Yixiao & Yang, Jingjing, 2016, "A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt2240n3n5, Jan.
- Hwang, Jungbin & Sun, Yixiao, 2016, "Simple, Robust, and Accurate F and t Tests in Cointegrated Systems," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt82k1x4rd, Jan.
- Shanika L Wickramasuriya & George Athanasopoulos & Rob J Hyndman, 2015, "Forecasting hierarchical and grouped time series through trace minimization," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/15.
- Li, Dong & Ling, Shiqing & Zhu, Ke, 2016, "ZD-GARCH model: a new way to study heteroscedasticity," MPRA Paper, University Library of Munich, Germany, number 68621, Jan.
- Youssef, Ahmed & Abonazel, Mohamed R., 2015, "Alternative GMM Estimators for First-order Autoregressive Panel Model: An Improving Efficiency Approach," MPRA Paper, University Library of Munich, Germany, number 68674, Sep.
- Youssef, Ahmed H. & El-Sheikh, Ahmed A. & Abonazel, Mohamed R., 2014, "Improving the Efficiency of GMM Estimators for Dynamic Panel Models," MPRA Paper, University Library of Munich, Germany, number 68675, Jun.
- Youssef, Ahmed H. & El-Sheikh, Ahmed A. & Abonazel, Mohamed R., 2014, "New GMM Estimators for Dynamic Panel Data Models," MPRA Paper, University Library of Munich, Germany, number 68676, Oct.