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Report NEP-ETS-2022-12-05
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:
- Karsten Reichold, 2022, "A Residuals-Based Nonparametric Variance Ratio Test for Cointegration," Papers, arXiv.org, number 2211.06288, Nov, revised Dec 2022.
- Härtl, Tilmann, 2022, "Identifying Proxy VARs with Restrictions on the Forecast Error Variance," VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association, number 264071.
- Fève, Patrick & Beaudry, Paul & Collard, Fabrice & Guay, Alain & Portier, Franck, 2022, "Dynamic Identification in VARs," TSE Working Papers, Toulouse School of Economics (TSE), number 22-1384, Nov.
- Xiao Huang, 2022, "Boosted p-Values for High-Dimensional Vector Autoregression," Papers, arXiv.org, number 2211.02215, Nov, revised Mar 2023.
- Xiaohu Wang & Jun Yu & Chen Zhang, 2022, "On the Optimal Forecast with the Fractional Brownian Motion," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 12-2022, Oct.
- Jaros{l}aw Kwapie'n & Pawel Blasiak & Stanis{l}aw Dro.zd.z & Pawe{l} O'swik{e}cimka, 2022, "Genuine multifractality in time series is due to temporal correlations," Papers, arXiv.org, number 2211.00728, Nov, revised Mar 2023.
- Claudia Foroni & Paolo Gelain & Massimiliano Marcellino, 2022, "The financial accelerator mechanism: does frequency matter?," Working Papers, Federal Reserve Bank of Cleveland, number 22-29, Nov, DOI: 10.26509/frbc-wp-202229.
- Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe, 2022, "Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 22-028, Jun.