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Report NEP-ETS-2018-04-23
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:
- Merce, Emilian & Merce, Cristian Calin & Pocol, Cristina Bianca, 2017, "Autocorrelation - Prevalence of identification of collinearity cause," MPRA Paper, University Library of Munich, Germany, number 85090, Nov.
- Offer Lieberman & Peter C.B. Phillips, 2017, "Hybrid Stochastic Local Unit Roots," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2113, Nov.
- Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017, "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2114, Dec.
- Alessandro Casini & Pierre Perron, 2018, "Continuous Record Laplace-based Inference about the Break Date in Structural Change Models," Papers, arXiv.org, number 1804.00232, Mar, revised May 2020.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018, "Bayesian vector autoregressions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87393, Mar.
- Joris de Wind, 2017, "Exact Nonlinear and Non-Gaussian Kalman Smoother for State Space Models with Implicit Functions and Equality Constraints," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 359, Sep.
- Joris de Wind, 2017, "SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 360, Sep.
- Ke Zhu, 2018, "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers, arXiv.org, number 1804.02348, Apr, revised Aug 2018.
- Qiying Wang & Peter C.B. Phillips & Ioannis Kasparis, 2017, "Latent Variable Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2111, Sep.
- Anna Bykhovskaya & Peter C. B. Phillips, 2017, "Point Optimal Testing with Roots That Are Functionally Local to Unity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2107, Sep.
- Degui Li & Peter C.B. Phillips & Jiti Gao, 2017, "Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2109, Sep.
- Anna Bykhovskaya & Peter C. B. Phillips, 2017, "Boundary Limit Theory for Functional Local to Unity Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2108, Sep.
- Elmar Mertens & James M. Nason, 2018, "Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility," BIS Working Papers, Bank for International Settlements, number 713, Apr.
- Haroon Mumtaz, 2018, "A generalised stochastic volatility in mean VAR," Working Papers, Queen Mary University of London, School of Economics and Finance, number 855, Mar.
- Lisa Sella & Gianna Vivaldo & Andreas Groth & Michael Ghil, 2016, "Economic Cycles and Their Synchronization: A Comparison of Cyclic Modes in Three European Countries," Post-Print, HAL, number hal-01701122, Sep, DOI: 10.1007/s41549-016-0003-4.