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Report NEP-ETS-2020-05-18
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:
- Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2020, "Nonlinear common trends for the global crude oil market: Markov-switching score-driven models of the multivariate t-distribution," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 30346, May.
- Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2020, "Dynamic stochastic general equilibrium inference using a score-driven approach," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 30347, May.
- Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020, "Fractional trends in unobserved components models," Papers, arXiv.org, number 2005.03988, May, revised May 2020.
- Danilo Leiva-Leon & Luis Uzeda, 2020, "Endogenous Time Variation in Vector Autoregressions," Staff Working Papers, Bank of Canada, number 20-16, May, DOI: 10.34989/swp-2020-16.
- Sium Bodha Hannadige & Jiti Gao & Mervyn J. Silvapulle & Param Silvapulle, 2020, "Forecasting a Nonstationary Time Series with a Mixture of Stationary and Nonstationary Factors as Predictors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/20.
- Samuel Brien & Michael Jansson & Morten Ørregaard Nielsen, 2022, "Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order," Working Paper, Economics Department, Queen's University, number 1429, Mar.
- Niko Hauzenberger & Florian Huber & Gary Koop, 2020, "Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods," Papers, arXiv.org, number 2005.03906, May, revised May 2023.
- Franses, Ph.H.B.F., 2020, "An introduction to time-varying lag autoregression," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2020-05, Apr.
- Bago, Jean-Louis & Akakpo, Koffi & Rherrad, Imad & Ouédraogo, Ernest, 2020, "Volatility Spillover and International Contagion of Housing Bubbles," MPRA Paper, University Library of Munich, Germany, number 100098, May.
- Jamshid Ardalankia & Jafar Askari & Somaye Sheykhali & Emmanuel Haven & G. Reza Jafari, 2020, "Mapping Coupled Time-series Onto Complex Network," Papers, arXiv.org, number 2004.13536, Apr, revised Aug 2020.