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Report NEP-ETS-2022-10-10
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:
- Alban Moura, 2022, "Why you should never use the Hodrick-Prescott Filter: Comment," BCL working papers, Central Bank of Luxembourg, number 162, Aug.
- Prüser, Jan & Blagov, Boris, 2022, "Improving inference and forecasting in VAR models using cross-sectional information," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 960, DOI: 10.4419/96973124.
- Sebastian Letmathe, 2022, "Data-driven P-Splines under short-range dependence," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 152, Sep.
- Lena Sasal & Tanujit Chakraborty & Abdenour Hadid, 2022, "W-Transformers : A Wavelet-based Transformer Framework for Univariate Time Series Forecasting," Papers, arXiv.org, number 2209.03945, Sep.
- Jinyuan Chang & Qing Jiang & Xiaofeng Shao, 2022, "Testing the martingale difference hypothesis in high dimension," Papers, arXiv.org, number 2209.04770, Sep, revised Sep 2022.
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022, "Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP," Papers, arXiv.org, number 2209.01910, Sep.