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Report NEP-ETS-2019-04-22
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:
- Alexander Chudik & Georgios Georgiadis, 2019, "Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 356, Mar, DOI: 10.24149/gwp356.
- Guo, Gangzheng & Wang, Shaoping & Sun, Yixiao, 2018, "Testing for Moderate Explosiveness in the Presence of Drift," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt2k26h10n, Jul.
- Liu, Cheng & Sun, Yixiao, 2019, "A Simple and Trustworthy Asymptotic t Test in Difference-in-Differences Regressions," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt0ck2109g, Mar.
- Schlicht, Ekkehart, 2019, "VC - A method for estimating time-varying coefficients in linear models," Economics Discussion Papers, Kiel Institute for the World Economy, number 2019-22.
- Mika Meitz & Pentti Saikkonen, 2019, "Subgeometrically ergodic autoregressions," Papers, arXiv.org, number 1904.07089, Apr, revised Mar 2020.
- Anshul Verma & Pierpaolo Vivo & Tiziana Di Matteo, 2019, "A memory-based method to select the number of relevant components in Principal Component Analysis," Papers, arXiv.org, number 1904.05931, Apr, revised Oct 2019.
- Ye, Xiaoqing & Sun, Yixiao, 2018, "Heteroscedasticity and Autocorrelation Robust F and t Tests in Stata," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt0bb8d0s9, Jul.
- Hyeongwoo Kim & Kyunghwan Ko, 2019, "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2019-03, Apr.
- Th'eophile Griveau-Billion & Ben Calderhead, 2019, "A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour," Papers, arXiv.org, number 1904.08153, Apr, revised Jan 2020.
- Yoshimasa Uematsu & Takashi Yamagata, 2019, "Estimation of Weak Factor Models," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1053, Apr.
- Alain Hecq & Li Sun, 2019, "Identification of Noncausal Models by Quantile Autoregressions," Papers, arXiv.org, number 1904.05952, Apr.
- Quast, Josefine & Wolters, Maik H., 2019, "Reliable real-time output gap estimates based on a modified Hamilton filter," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 133.
- Roberto Casarin & Stefano Grassi & Francesco Ravazzollo & Herman K. van Dijk, 2019, "Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-025/III, Apr.