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Report NEP-ETS-2016-05-08
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:
- Leopoldo Catania & Nima Nonejad, 2016, "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers, arXiv.org, number 1605.00230, May, revised Nov 2016.
- Hernández Juan R., 2016, "Unit Root Testing in ARMA Models: A Likelihood Ratio Approach," Working Papers, Banco de México, number 2016-03, Apr.
- Benjamin K. Johannsen & Elmar Mertens, 2016, "A Time Series Model of Interest Rates With the Effective Lower Bound," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-033, Apr, DOI: 10.17016/FEDS.2016.033.
- Yongchen Zhao, 2015, "Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms," Working Papers, The George Washington University, The Center for Economic Research, number 2015-005, Dec.
- Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2016, "Dynamic Factor model with infinite dimensional factor space: forecasting," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 120, Apr.
- Fernando E. Alvarez & Katarína Borovičková & Robert Shimer, 2016, "Decomposing Duration Dependence in a Stopping Time Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 22188, Apr.
- Kollmann, Robert, 2016, "Tractable Likelihood-Based Estimation of Non-Linear DSGE Models Using Higher-Order Approximations," MPRA Paper, University Library of Munich, Germany, number 70350.
- Givens, Gregory, 2016, "Do data revisions matter for DSGE estimation?," MPRA Paper, University Library of Munich, Germany, number 70932, Apr.
- Richard T. Baillie & George Kapetanios & Fotis Papailias, 2015, "Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes," Working Paper series, Rimini Centre for Economic Analysis, number 15-46, Dec.
- Richard T. Baillie & Kun Ho Kim, 2016, "Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VAR Approaches," Working Paper series, Rimini Centre for Economic Analysis, number 16-04, Mar.
- Elena Andreou, 2016, "On the use of high frequency measures of volatility in MIDAS regressions," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 03-2016, Apr.