Report NEP-ETS-2018-04-02This 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.
The following items were announced in this report:
- Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2018. "DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation," Bank of England working papers 716, Bank of England.
- Luis Uzeda, 2018. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Staff Working Papers 18-14, Bank of Canada.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Rothfelder, Mario, 2018. "Three essays on time-varying parameters and time series networks," Other publications TiSEM fc7a10c0-7eee-479a-ac22-b, Tilburg University, School of Economics and Management.
- Naoki Awaya & Yasuhiro Omori, 2018. "Particle rolling MCMC with double block sampling: conditional SMC update approach," CIRJE F-Series CIRJE-F-1080, CIRJE, Faculty of Economics, University of Tokyo.
- Paolo Gorgi & Siem Jan (S.J.) Koopman & Mengheng Li, 2018. "Forecasting economic time series using score-driven dynamic models with mixed-data sampling," Tinbergen Institute Discussion Papers 18-026/III, Tinbergen Institute.
- Mengheng Li & Siem Jan (S.J.) Koopman, 2018. "Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction," Tinbergen Institute Discussion Papers 18-027/III, Tinbergen Institute.
- Marta Banbura & Andries van Vlodrop, 2018. "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers 18-025/IV, Tinbergen Institute.
- Elhorst, J. Paul & Gross, Marco & Tereanu, Eugen, 2018. "Spillovers in space and time: where spatial econometrics and Global VAR models meet," Working Paper Series 2134, European Central Bank.