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Report NEP-ETS-2024-07-15
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:
- David Kohns & Noa Kallioinen & Yann McLatchie & Aki Vehtari, 2024, "The ARR2 prior: flexible predictive prior definition for Bayesian auto-regressions," Papers, arXiv.org, number 2405.19920, May, revised Feb 2025.
- Francq, Christian & Zakoian, Jean-Michel, 2024, "Finite moments testing in a general class of nonlinear time series models," MPRA Paper, University Library of Munich, Germany, number 121193, Jun.
- Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2024, "On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2024_04, Jun.
- Ippei Fujiwara & Adrian Pagan, 2024, "Re-Examining What We Can Learn About Counterfactual Results from Time Series Regression," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2024-44, Jun.
- Jin Seo Cho, 2024, "Estimating and Inferring the Nonlinear Autoregressive Distributed Lag Model by Ordinary Least Squares," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2024rwp-227, Jun.
- Andrea Bucci, 2024, "A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models," Papers, arXiv.org, number 2406.02152, Jun.
- del Barrio Castro, Tomas & Escribano, Alvaro & Sibbertsen, Philipp, 2024, "Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-722, Jun.
- Bin Peng & Liangjun Su & Yayi Yan, 2024, "A Robust Residual-Based Test for Structural Changes in Factor Models," Papers, arXiv.org, number 2406.00941, Jun, revised Jan 2025.