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Report NEP-ETS-2023-02-20
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:
- Cristina Amado, 2022, "Outlier robust specification of multiplicative time-varying volatility models," NIPE Working Papers, NIPE - Universidade do Minho, number 11/2022.
- Ramis Khabibullin & Sergei Seleznev, 2022, "Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference," Bank of Russia Working Paper Series, Bank of Russia, number wps104, Dec.
- Alexander Chudik & M. Hashem Pesaran & Mahrad Sharifvaghefi, 2023, "Variable Selection in High Dimensional Linear Regressions with Parameter Instability," CESifo Working Paper Series, CESifo, number 10223.
- Faria, Gonçalo & Verona, Fabio, 2023, "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers, Bank of Finland, number 1/2023.
- Michael Dueker & Laura E. Jackson & Michael T. Owyang & Martin Sola, 2022, "A Time-Varying Threshold STAR Model with Applications," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2022_04, Dec.
- Francesco Cordoni & Nicolas Doremus & Alessio Moneta, 2023, "Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2023/07, Jan.
- Chaohua Dong & Jiti Gao & Yundong Tu & Bin Peng, 2023, "Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models," Papers, arXiv.org, number 2301.06631, Jan.
- Zhang, Xinyu & Tong, Howell, 2022, "Asymptotic theory of principal component analysis for time series data with cautionary comments," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 113566, Apr.
- Mikihito Nishi, 2023, "Testing for Coefficient Randomness in Local-to-Unity Autoregressions," Papers, arXiv.org, number 2301.04853, Jan, revised Jan 2023.
- Sylvia Fruhwirth-Schnatter & Darjus Hosszejni & Hedibert Freitas Lopes, 2023, "When it counts -- Econometric identification of the basic factor model based on GLT structures," Papers, arXiv.org, number 2301.06354, Jan.