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Report NEP-ETS-2019-01-07
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:
- Yiu Lim Lui & Weilin Xiao & Jun Yu, 2018, "Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 22-2018, Dec.
- Stefan Richter & Weining Wang & Wei Biao Wu, 2018, "A supreme test for periodic explosive GARCH," Papers, arXiv.org, number 1812.03475, Dec.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018, "Generating Univariate Fractional Integration within a Large VAR(1)," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1844, Dec.
- Peter Pedroni, 2018, "Panel Cointegration Techniques and Open Challenges," Department of Economics Working Papers, Department of Economics, Williams College, number 2018-09, Oct.
- Daniel J. Lewis, 2018, "Robust inference in models identified via heteroskedasticity," Staff Reports, Federal Reserve Bank of New York, number 876, Dec.
- Qiang Zhang & Rui Luo & Yaodong Yang & Yuanyuan Liu, 2018, "Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series," Papers, arXiv.org, number 1811.03711, Nov.
- Keiji Nagai & Yoshihiko Nishiyama & Kohtaro Hitomi, 2018, "Sequential test for unit root in AR(1) model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1003, Oct.
- Sébastien Laurent & Shuping Shi, 2018, "Volatility Estimation and Jump Detection for drift-diffusion Processes," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1843, Dec.
- María Gil & Javier J. Pérez & A. Jesús Sánchez & Alberto Urtasun, 2018, "Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data," Working Papers, Banco de España, number 1842, Dec.
- Javier Franco-Pedroso & Joaquin Gonzalez-Rodriguez & Maria Planas & Jorge Cubero & Rafael Cobo & Fernando Pablos, 2018, "The ETS challenges: a machine learning approach to the evaluation of simulated financial time series for improving generation processes," Papers, arXiv.org, number 1811.07792, Nov.
- Otilia Boldea & Adriana Cornea-Madeira & Alastair R. Hall, 2018, "Bootstrapping Structural Change Tests," Papers, arXiv.org, number 1811.04125, Nov.
- Yaein Baek, 2018, "Estimation of a Structural Break Point in Linear Regression Models," Papers, arXiv.org, number 1811.03720, Nov, revised Jun 2020.
- Paul Labonne & Martin Weale, 2018, "Temporal disaggregation of overlapping noisy quarterly data using state space models: Estimation of monthly business sector output from Value Added Tax data in the UK," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2018-18, Dec.
- Evzen Kocenda & Karen Poghosyan, 2018, "Nowcasting real GDP growth with business tendency surveys data: A cross country analysis," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1002, Sep.