Report NEP-ETS-2023-02-27

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:

• Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023, "Inference in Non-stationary High-Dimensional VARs," Papers, arXiv.org, number 2302.01434, Feb, revised Sep 2023.
• Jan Pablo Burgard & Matthias Neuenkirch & Dennis Umlandt, 2023, "(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions," CESifo Working Paper Series, CESifo, number 10219.
• Kyung So Im & M. Hashem Pesaran & Yongcheol Shin, 2023, "Reflections on “Testing for Unit Roots in Heterogeneous Panels”," CESifo Working Paper Series, CESifo, number 10228.
• Alain Hecq & Marie Ternes & Ines Wilms, 2023, "Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions," Papers, arXiv.org, number 2301.10592, Jan, revised Nov 2024.
• Liudas Giraitis & Yufei Li & Peter C.B. Phillips, 2023, "Robust Inference on Correlation under General Heterogeneity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2354, Feb.
• Cem Cakmakli & Yasin Simsek, 2023, "Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model," Papers, arXiv.org, number 2301.13692, Jan.
• Matteo Barigozzi & Filippo Pellegrino, 2023, "Multidimensional dynamic factor models," Papers, arXiv.org, number 2301.12499, Jan.
• Mario Forni & Luca Gambetti & Giovanni Ricco, 2023, "External Instrument SVAR Analysis forNoninvertible Shocks," Working Papers, Center for Research in Economics and Statistics, number 2023-03, Jan.
• Richard K. Crump & Nikolay Gospodinov & Hunter Wieman, 2023, "Sparse Trend Estimation," Staff Reports, Federal Reserve Bank of New York, number 1049, Feb.
• V. M. Belyaev, 2023, "HJM Local Volatility Model," Papers, arXiv.org, number 2301.13595, Jan, revised Jan 2025.
• Victor Chernozhukov & Han Hong, 2023, "An MCMC Approach to Classical Estimation," Papers, arXiv.org, number 2301.07782, Jan.

Report NEP-ETS-2023-02-27

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: