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Report NEP-ETS-2017-01-29
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:
- John Chao & Peter C.B. Phillips, 2017, "Uniform Inference in Panel Autoregression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2071, Jan.
- Jianning Kong & Peter C.B. Phillips & Donggyu Sul, 2017, "Weak s- Convergence: Theory and Applications," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2072, Jan.
- Alonso Fernández, Andrés Modesto & Bastos, Guadalupe & García-Martos, Carolina, 2017, "BIAS correction for dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 24029, Jan.
- Alessandro Barbarino & Efstathia Bura, 2017, "A Unified Framework for Dimension Reduction in Forecasting," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-004, Jan, DOI: 10.17016/FEDS.2017.004.
- Georgiev, I & Rodrigues, PMM & Taylor, AMR, 2017, "Unit Root Tests and Heavy-Tailed Innovations," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 18832, Jan.
- Luis J. Álvarez, 2017, "Business cycle estimation with high-pass and band-pass local polynomial regression," Working Papers, Banco de España, number 1702, Jan.
- Enrique Moral-Benito & Paul Allison & Richard Williams, 2017, "Dynamic panel data modelling using maximum likelihood: an alternative to Arellano-Bond," Working Papers, Banco de España, number 1703, Jan.
- Rub'en Loaiza-Maya & Michael S. Smith & Worapree Maneesoonthorn, 2017, "Time Series Copulas for Heteroskedastic Data," Papers, arXiv.org, number 1701.07152, Jan.
- Chia-Lin Chang & Michael McAleer, 2018, "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-015/III, Mar.
- Arnaud Dufays & Jeroen V.K. Rombouts, 2016, "Sparse Change-point HAR Models for Realized Variance," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1607.
- Arnaud Dufays & Maciej Augustyniak & Luc Bauwens, 2016, "A new approach to volatility modeling: the High-Dimensional Markov model," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1609.
- Jean-Marie Dufour & Richard Luger, 2017, "Identification-robust moment-based tests for Markov-switching in autoregressive models," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1701.