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Report NEP-ETS-2020-06-22
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:
- Pierre Perron & Mototsugu Shintaniz & Tomoyoshi Yabu, 2020, "Trigonometric Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2020-012, Jan.
- Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020, "Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2020-009, Mar.
- Alessandro Casini & Pierre Perron, 2020, "Continuous Record Asymptotics for Change-Point Models," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2020-013, Mar.
- Alessandra Amendola & Vincenzo Candila & Fabrizio Cipollini & Giampiero M. Gallo, 2020, "Doubly Multiplicative Error Models with Long- and Short-run Components," Papers, arXiv.org, number 2006.03458, Jun.
- Mohitosh Kejriwal & Pierre Perron & Xuewen Yu, 2020, "A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2020-011, Feb.
- Rustam Ibragimov & Rasmus Pedersen & Anton Skrobotov, 2020, "New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence," Papers, arXiv.org, number 2006.01212, Jun, revised Nov 2023.
- Sander Barendse & Andrew J. Patton, 2020, "Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter," Economics Series Working Papers, University of Oxford, Department of Economics, number 909, May.