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Report NEP-ETS-2017-01-15
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:
- Barnichon, Regis & Brownlees, Christian, 2016, "Impulse Response Estimation By Smooth Local Projections," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11726, Dec.
- Bógalo, Juan & Poncela, Pilar & Senra, Eva, 2017, "Automatic Signal Extraction for Stationary and Non-Stationary Time Series by Circulant SSA," MPRA Paper, University Library of Munich, Germany, number 76023, Jan.
- Rinke, Saskia & Busch, Marie & Leschinski, Christian, 2017, "Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-584, Jan.
- Hirsch, Tristan & Rinke, Saskia, 2017, "Changes in Persistence in Outlier Contaminated Time Series," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-583, Jan.
- D.S.G. Pollock, 2017, "Stochastic processes of limited frequency and the effects of oversampling," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 17/03, Jan.
- D.S.G. Pollock, 2017, "Trends Cycles And Seasons: Econometric Methods Of Signal Extraction," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 17/02, Jan.
- D.S.G. Pollock, 2017, "Econometric Filters," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 17/01, Jan.
- Javier Hualde & Morten Ø. Nielsen, 2019, "Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends," Working Paper, Economics Department, Queen's University, number 1376, Mar.
- Jean-Marie Dufour & Richard Luger, 2016, "Identification-robust moment-based tests for Markov-switching in autoregressive models," CIRANO Working Papers, CIRANO, number 2016s-63, Dec.
- Ana Paula Martins, 2016, "Estimation of Possibly Non-Stationary First-Order Auto-Regressive Processes," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2016/21, Nov.
- Feldkircher, Martin & Huber, Florian, 2016, "Adaptive Shrinkage in Bayesian Vector Autoregressive Models," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 221, Mar.
- Huber, Florian & Kastner, Gregor & Feldkircher, Martin, 2016, "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 235, Sep.
- Carlos Viana de Carvalho & Ricardo Masini & Marcelo Cunha Medeiros, 2016, "The perils of Counterfactual Analysis with Integrated Processes," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 654, Dec.
- Yuta Yamauchi & Yasuhiro Omori, 2016, "Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations ," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1029, Nov.
- Huber, Florian & Fischer, Manfred M., 2015, "A Markov switching factor-augmented VAR model for analyzing US business cycles and monetary policy," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 201, Aug.