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Report NEP-ETS-2021-02-22
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:
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2022, "Extensions to IVX Methods of Inference for Return Predictability," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 29779, Feb.
- Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020, "Common Components Structural VARs," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 147, Dec.
- MartÃn Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021, "Aggregate Output Measurements: a Common Trend Approach," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2021_03, Feb.
- Hidalgo, Javier & Lee, Jungyoon & Seo, Myung Hwan, 2019, "Robust inference for threshold regression models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100333, Jun.
- Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020, "Asymmetric Effects of Monetary Policy Easing and Tightening," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 146, Dec.
- Rui Fan & Ji Hyung Lee & Youngki Shin, 2021, "Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach," Papers, arXiv.org, number 2101.11568, Jan, revised Dec 2022.
- Peter Z. Schochet, 2021, "Statistical Power for Estimating Treatment Effects Using Difference-in-Differences and Comparative Interrupted Time Series Designs with Variation in Treatment Timing," Papers, arXiv.org, number 2102.06770, Feb, revised Oct 2021.
- Item repec:bof:bofrdp:2021_001 is not listed on IDEAS anymore
- Francis X. Diebold & Maximilian Gobel, 2021, "A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting," Papers, arXiv.org, number 2101.10359, Jan, revised Jan 2022.
- Mario Forni & Luca Gambetti & Luca Sala, 2020, "Macroeconomic Uncertainty and Vector Autoregressions," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 148, Dec.
- Christoph Hanck & Till Massing, 2021, "Testing for Nonlinear Cointegration under Heteroskedasticity," Papers, arXiv.org, number 2102.08809, Feb, revised Oct 2024.
- Harvey, David I & Leybourne, Stephen J & Taylor, AM Robert, 2021, "Simple Tests for Stock Return Predictability with Good Size and Power Properties," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 29814, Feb.
- Riza Demirer & Rangan Gupta & He Li & Yu You, 2021, "Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models," Working Papers, University of Pretoria, Department of Economics, number 202112, Feb.
- Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2021, "Identification and Inference Under Narrative Restrictions," Papers, arXiv.org, number 2102.06456, Feb.