Report NEP-ETS-2020-06-15This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti issued this report. It is usually issued weekly.
The following items were announced in this report:
- Helmut Lütkepohl, 2020. "Structural Vector Autoregressive Models with More Shocks than Variables Identiﬁed via Heteroskedasticity," Discussion Papers of DIW Berlin 1871, DIW Berlin, German Institute for Economic Research.
- Canepa, Alessandra, 2020. "Improvement on the LR Test Statistic on the Cointegrating Relations in VAR Models: Bootstrap Methods and Applications," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202007, University of Turin.
- , 2020. "exuber: Recursive Right-Tailed Unit Root Testing with R," Globalization Institute Working Papers 383, Federal Reserve Bank of Dallas.
- Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends and cycles in macroeconomic time series," Papers 2005.05266, arXiv.org, revised May 2020.
- Tobias Hartl, 2020. "Macroeconomic Forecasting with Fractional Factor Models," Papers 2005.04897, arXiv.org.
- Andrii Babii & Eric Ghysels & Jonas Striaukas, 2020. "Machine Learning Time Series Regressions with an Application to Nowcasting," Papers 2005.14057, arXiv.org, revised Dec 2020.
- Håvard Hungnes, 2020. "Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations," Discussion Papers 931, Statistics Norway, Research Department.
- Neeti Mathur & Himanshu Mathur, 2020. "Application of GARCH Models For Volatility Modelling of Stock Market Returns: Evidences From BSE India," Proceedings of Business and Management Conferences 10112533, International Institute of Social and Economic Sciences.
- Olivier Damette & Stéphane Goutte, 2020. "Weather, pollution and Covid-19 spread: a time series and Wavelet reassessment," Working Papers halshs-02629139, HAL.
- Adam Golinski & Peter Spencer, 2020. "Modeling the Covid-19 Epidemic Using Time Series Econometrics," Discussion Papers 20/06, Department of Economics, University of York.
- Jaqueson K. Galimberti, 2020. "Information weighting under least squares learning," CAMA Working Papers 2020-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.