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Report NEP-ETS-2021-04-05
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:
- Torben G. Andersen & Rasmus T. Varneskov, 2021, "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers, National Bureau of Economic Research, Inc, number 28568, Mar.
- S. Borağan Aruoba & Marko Mlikota & Frank Schorfheide & Sergio Villalvazo, 2021, "SVARs With Occasionally-Binding Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 28571, Mar.
- Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2021, "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Papers, arXiv.org, number 2103.11371, Mar, revised Oct 2022.
- del Barrio Castro, Tomás, 2021, "Testing for the cointegration rank between Periodically Integrated processes," MPRA Paper, University Library of Munich, Germany, number 106603, revised 2021.
- Greta Goracci & Simone Giannerini & Kung-Sik Chan & Howell Tong, 2021, "Testing for threshold effects in the TARMA framework," Papers, arXiv.org, number 2103.13977, Mar.
- Zhaoxing Gao & Ruey S. Tsay, 2021, "Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data," Papers, arXiv.org, number 2103.14626, Mar.
- Dake Li & Mikkel Plagborg-M{o}ller & Christian K. Wolf, 2021, "Local Projections vs. VARs: Lessons From Thousands of DGPs," Papers, arXiv.org, number 2104.00655, Apr, revised Jan 2024.
- Lukas Boer & Helmut Lütkepohl, 2021, "Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1940.
- Babel Raïssa Guemdjo Kamdem & Jules Sadefo-Kamdem & Carlos Ougouyandjou, 2020, "On Random Extended Intervals and their ARMA Processes," Working Papers, HAL, number hal-03169516, Jul.