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Report NEP-ETS-2023-06-19
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:
- Gary Koop & Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023, "Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting," Working Papers, Federal Reserve Bank of Cleveland, number 23-09, May, DOI: 10.26509/frbc-wp-202309.
- Yichi Zhang & Mihai Cucuringu & Alexander Y. Shestopaloff & Stefan Zohren, 2023, "Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models," Papers, arXiv.org, number 2305.06704, May, revised Sep 2023.
- Florian Huber & Gary Koop, 2023, "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Papers, arXiv.org, number 2305.16827, May.
- Emilija Dzuverovic & Matteo Barigozzi, 2023, "Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices," Papers, arXiv.org, number 2305.08488, May, revised Jul 2024.
- Mugrabi, Farah Daniela, 2023, "Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023001, Mar.
- Christis Katsouris, 2023, "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers, arXiv.org, number 2305.11282, May, revised Jul 2023.
- Mariia Artemova & Francisco Blasques & Siem Jan Koopman, 2023, "A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-021/III, Apr.
- Pablo Guerrón-Quintana & Alexey Khazanov & Molin Zhong, 2023, "Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2023-027, May, DOI: 10.17016/FEDS.2023.027.
- Bo Zhou, 2023, "Semiparametrically Optimal Cointegration Test," Papers, arXiv.org, number 2305.08880, May.
- Nikolaus Bartzsch & Marco Brandi & Lucas Devigne & Raymond de Pastor & Gianluca Maddaloni & Diana Posada Restrepo & Gabriele Sene, 2023, "Forecasting banknote circulation during the COVID-19 pandemic using structural time series models," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 771, May.
- Alvarez, Luis Antonio, 2023, "Approximate Bayesian Computation for Partially Identified Models," MPRA Paper, University Library of Munich, Germany, number 117339, Mar.
- Stefanía D’Iorio & Liliana Forzani & Rodrigo García Arancibia & Ignacio Girela, 2023, "Predictive Power of Composite Socioeconomic Indices in Regression and Classification: Principal Components and Partial Least Squares," Working Papers, Red Nacional de Investigadores en Economía (RedNIE), number 246, May.