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Report NEP-ETS-2023-08-28
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:
- Younghoon Kim & Marie-Christine Duker & Zachary F. Fisher & Vladas Pipiras, 2023, "Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series," Papers, arXiv.org, number 2307.10454, Jul, revised Apr 2025.
- Christis Katsouris, 2023, "Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models," Papers, arXiv.org, number 2307.14463, Jul.
- Paolo Andreini & Cosimo Izzo & Giovanni Ricco, 2023, "Deep Dynamic Factor Models," Working Papers, Center for Research in Economics and Statistics, number 2023-08, May.
- Matteo Barigozzi, 2023, "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers, arXiv.org, number 2307.09864, Jul, revised Jun 2024.
- Christis Katsouris, 2023, "Predictability Tests Robust against Parameter Instability," Papers, arXiv.org, number 2307.15151, Jul.
- Ping Wu & Gary Koop, 2022, "Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix," Working Papers, University of Strathclyde Business School, Department of Economics, number 2310, Nov.
- Bruno Feunou, 2023, "Generalized Autoregressive Gamma Processes," Staff Working Papers, Bank of Canada, number 23-40, Aug, DOI: 10.34989/swp-2023-40.
- Jad Beyhum & Jonas Striaukas, 2023, "Testing for sparse idiosyncratic components in factor-augmented regression models," Papers, arXiv.org, number 2307.13364, Jul, revised Jul 2024.
- Kurt Graden Lunsford & Kenneth D. West, 2023, "Random Walk Forecasts of Stationary Processes Have Low Bias," Working Papers, Federal Reserve Bank of Cleveland, number 23-18, Aug, DOI: 10.26509/frbc-wp-202318.
- Lutz Kilian, 2023, "How to Construct Monthly VAR Proxies Based on Daily Futures Market Surprises," Working Papers, Federal Reserve Bank of Dallas, number 2310, Jul, DOI: 10.24149/wp2310.
- Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023, "The Long-Run Phillips Curve is ... a Curve," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2023-37, Aug.