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Report NEP-ETS-2023-05-15
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:
- Degui Li & Runze Li & Han Lin Shang, 2023, "Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series," Papers, arXiv.org, number 2304.07003, Apr.
- Malte Jahn, 2023, "Artificial neural networks and time series of counts: A class of nonlinear INGARCH models," Papers, arXiv.org, number 2304.01025, Apr.
- Martin Bruns & Helmut Luetkepohl, 2023, "Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions," University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 2023-03, Apr.
- Hall, Viv B. & Thomson, Peter, 2022, "A boosted HP filter for business cycle analysis: evidence from New Zealand’s small open economy," Working Paper Series, Victoria University of Wellington, School of Economics and Finance, number 21184.
- Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2023, "Testing Granger Non-Causality in Expectiles," University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 2023-02, Apr.
- Florian Huber & Massimiliano Marcellino & Tobias Scheckel, 2023, "Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification," Papers, arXiv.org, number 2304.07856, Apr, revised Sep 2025.
- Thomas Wong & Mauricio Barahona, 2023, "Feature Engineering Methods on Multivariate Time-Series Data for Financial Data Science Competitions," Papers, arXiv.org, number 2303.16117, Mar, revised Apr 2023.
- L. Scaffidi Domianello & E. Otranto, 2023, "On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 202304.
- Bulat Gafarov, 2023, "Generalized Automatic Least Squares: Efficiency Gains from Misspecified Heteroscedasticity Models," Papers, arXiv.org, number 2304.07331, Apr.