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Report NEP-ETS-2019-03-25
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:
- Simon Beyeler, 2019, "Streamlining Time-varying VAR with a Factor Structure in the Parameters," Working Papers, Swiss National Bank, Study Center Gerzensee, number 19.03, Mar.
- Yiru Wang & Barbara Rossi, 2019, "VAR-based Granger-causality test in the presence of instabilities," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1642, Jan.
- Matteo Mogliani & Anna Simoni, 2019, "Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction," Papers, arXiv.org, number 1903.08025, Mar, revised Jun 2020.
- Abhijit Sen Gupta & Tara Iyer, 2019, "Quarterly Forecasting Model for India’s Economic Growth: Bayesian Vector Autoregression Approach," ADB Economics Working Paper Series, Asian Development Bank, number 573, Mar.
- Patrick Marsh, 2019, "The role of information in nonstationary regression," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 19/04, Apr.
- Patrick Marsh, 2019, "Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 19/03, Mar.
- Patrick Marsh, 2019, "Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 19/02, Feb.
- Leopoldo Catania & Roberto Di Mari & Paolo Santucci de Magistris, 2019, "Dynamic discrete mixtures for high frequency prices," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 19/05, May.
- Katsuto Tanaka & Weilin Xiao & Jun Yu, 2019, "Maximum Likelihood Estimation for the Fractional Vasicek Model," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 8-2019, Mar.
- Carlos Arturo Soto Campos & Leopoldo S'anchez Cant'u & Zeus Hern'andez Veleros, 2019, "Dynamic Hurst Exponent in Time Series," Papers, arXiv.org, number 1903.07809, Mar.
- James G. MacKinnon, 2019, "How cluster-robust inference is changing applied econometrics," Working Paper, Economics Department, Queen's University, number 1413, Mar.