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Report NEP-ETS-2023-01-30
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:
- Fresoli, Diego Eduardo & Poncela, Pilar & Ruiz Ortega, Esther, 2022, "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 36251, Dec.
- Wagner, Martin, 2023, "Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions," IHS Working Paper Series, Institute for Advanced Studies, number 44, Jan.
- Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023, "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers, Federal Reserve Bank of Cleveland, number 23-05, Jan, DOI: 10.26509/frbc-wp-202305.
- Yicong Lin & Hanno Reuvers, 2022, "Fully Modified Estimation in Cointegrating Polynomial Regressions: Extensions and Monte Carlo Comparison," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-093/III, Dec.
- Jan Pablo Burgard & Matthias Neuenkirch & Dennis Umlandt, 2023, "(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2023-01.
- Julien Hambuckers & Li Sun & Luca Trapin, 2023, "Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors," Papers, arXiv.org, number 2301.01362, Jan.