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Report NEP-ETS-2020-11-09
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:
- Pellatt , Daniel & Sun, Yixiao, 2020, "Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt19f0d9wz, Oct.
- Tu, Yundong & Yao, Qiwei & Zhang, Rongmao, 2020, "Error-correction factor models for high-dimensional cointegrated time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 106994, Jul.
- Chaojun Li & Yan Liu, 2020, "Asymptotic Properties of the Maximum Likelihood Estimator in Regime-Switching Models with Time-Varying Transition Probabilities," Papers, arXiv.org, number 2010.04930, Oct, revised Dec 2021.
- Zongwu Cai & Xiyuan Liu, 2020, "A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202017, Oct, revised Oct 2020.
- Bin Chen & Kenwin Maung, 2020, "Time-varying Forecast Combination for High-Dimensional Data," Papers, arXiv.org, number 2010.10435, Oct.
- Kang, Natasha & Marmer, Vadim, 2020, "Modeling Long Cycles," Economics working papers, Vancouver School of Economics, number vadim_marmer-2020-3, Oct, revised 26 Oct 2020.
- Ioannis P. Antoniades & Giuseppe Brandi & L. G. Magafas & T. Di Matteo, 2020, "The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool," Papers, arXiv.org, number 2010.08890, Oct, revised Dec 2020.
- Ollech, Daniel & Webel, Karsten, 2020, "A random forest-based approach to identifying the most informative seasonality tests," Discussion Papers, Deutsche Bundesbank, number 55/2020.
- Joshua C.C. Chan & Rodney W. Strachan, 2020, "Bayesian State Space Models in Macroeconometrics," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-90, Oct.
- S. Borağan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2020, "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 27991, Oct.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2020, "Measuring Uncertainty and Its Effects in the COVID-19 Era," Working Papers, Federal Reserve Bank of Cleveland, number 20-32R, Oct, revised 05 Jan 2022, DOI: 10.26509/frbc-wp-202032r.
- Todd Henry & Peter C.B. Phillips, 2020, "Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2259, Oct.
- Bhattacharya, Rudrani & Kapoor, Mrigankshi, 2020, "Forecasting Consumer Price Index Inflation in India: Vector Error Correction Mechanism Vs. Dynamic Factor Model Approach for Non-Stationary Time Series," Working Papers, National Institute of Public Finance and Policy, number 20/323, Oct.
- Tetsuo Kurosaki & Young Shin Kim, 2020, "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Papers, arXiv.org, number 2010.08900, Oct.
- Pandey, Radhika & Sapre, Amey & Sinha, Pramod, 2020, "What do we gain from Seasonal Adjustment of the Indian Index of Industrial Production (IIP)?," Working Papers, National Institute of Public Finance and Policy, number 20/322, Oct.
- Christian Glocker & Serguei Kaniovski, 2020, "Macroeconometric Forecasting Using a Cluster of Dynamic Factor Models," WIFO Working Papers, WIFO, number 614, Oct.
- Bo Zhang & Bao H. Nguyen, 2020, "Real-Time Forecasting of the Australian Macroeconomy Using Flexible Bayesian VARs," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-91, Oct.
- Christiane Baumeister & Pierre Guerin, 2020, "A Comparison of Monthly Global Indicators for Forecasting Growth," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-93, Oct.
- Edward S. Knotek & Saeed Zaman, 2020, "Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach," Working Papers, Federal Reserve Bank of Cleveland, number 20-31, Oct, DOI: 10.26509/frbc-wp-202031.
- Lam, Clifford, 2020, "High-dimensional covariance matrix estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101667, Mar.