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Report NEP-ETS-2019-10-14
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:
- Paul Ho, 2019, "Global Robust Bayesian Analysis in Large Models," 2019 Meeting Papers, Society for Economic Dynamics, number 390.
- Matteo Barigozzi & Matteo Luciani, 2019, "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers, arXiv.org, number 1910.03821, Oct, revised Sep 2024.
- Kashif Yousuf & Serena Ng, 2019, "Boosting High Dimensional Predictive Regressions with Time Varying Parameters," Papers, arXiv.org, number 1910.03109, Oct.
- Beaumont, Paul & Smallwood, Aaron, 2019, "Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models," MPRA Paper, University Library of Munich, Germany, number 96314, Sep.
- Bernd Funovits, 2019, "Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs," Papers, arXiv.org, number 1910.04087, Oct.
- Bernd Funovits & Alexander Braumann, 2019, "Identifiability of Structural Singular Vector Autoregressive Models," Papers, arXiv.org, number 1910.04096, Oct, revised Oct 2020.
- Du Nguyen, 2019, "A theorem of Kalman and minimal state-space realization of Vector Autoregressive Models," Papers, arXiv.org, number 1910.02546, Oct.
- Kley, Tobias & Preuss, Philip & Fryzlewicz, Piotr, 2019, "Predictive, finite-sample model choice for time series under stationarity and non-stationarity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101748, Oct.
- Kristoffer Pons Bertelsen, 2019, "Comparing Tests for Identification of Bubbles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-16, Oct.