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Report NEP-ETS-2021-07-26
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:
- Pengyu Chen & Yiannis Karavias & Elias Tzavalis, 2021, "Panel Unit Root Tests with Structural Breaks," Discussion Papers, Department of Economics, University of Birmingham, number 21-12, Jul.
- Florian Huber & Gary Koop, 2021, "Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions," Papers, arXiv.org, number 2107.07804, Jul.
- Martin Bladt & Alexander J. McNeil, 2021, "Time series models with infinite-order partial copula dependence," Papers, arXiv.org, number 2107.00960, Jul.
- Carsten H. Chong & Thomas Delerue & Guoying Li, 2021, "When Frictions are Fractional: Rough Noise in High-Frequency Data," Papers, arXiv.org, number 2106.16149, Jun, revised Nov 2024.
- Giacomo Bormetti & Fulvio Corsi, 2021, "A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters," Papers, arXiv.org, number 2107.05263, Jul, revised Feb 2022.