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Report NEP-ETS-2021-03-15
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:
- Alessandro Casini & Pierre Perron, 2021, "Prewhitened Long-Run Variance Estimation Robust to Nonstationarity," Papers, arXiv.org, number 2103.02235, Mar, revised Aug 2024.
- Mustafayeva, Konul & Wang, Weining, 2020, "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-025.
- Alessandro Casini, 2021, "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," Papers, arXiv.org, number 2103.02981, Mar, revised Aug 2024.
- Alessandro Casini & Taosong Deng & Pierre Perron, 2021, "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference," Papers, arXiv.org, number 2103.01604, Mar, revised Sep 2024.
- Francq, Christian & Zakoian, Jean-Michel, 2021, "Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models," MPRA Paper, University Library of Munich, Germany, number 106542.
- Gary Cornwall & Jeff Chen & Beau Sauley, 2021, "Standing on the Shoulders of Machine Learning: Can We Improve Hypothesis Testing?," Papers, arXiv.org, number 2103.01368, Mar.
- Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020, "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-021.
- Keilbar, Georg & Zhang, Yanfen, 2020, "On Cointegration and Cryptocurrency Dynamics," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-012.
- Feng, Yuanhua & Härdle, Wolfgang Karl, 2020, "A data-driven P-spline smoother and the P-Spline-GARCH models," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-016.
- Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021, "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers, arXiv.org, number 2103.00060, Feb.
- Fiammetta Menchetti & Fabrizio Cipollini & Fabrizia Mealli, 2021, "Estimating the causal effect of an intervention in a time series setting: the C-ARIMA approach," Papers, arXiv.org, number 2103.06740, Mar, revised Sep 2021.